文章基本信息

标题：The Determinants of Volatility of Market Price Returns of US Dollar and Euro Futures Contracts Traded in TurkDEX
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作者：Dr. F. Dilvin TAŞKIN ; Dr. Aysun KAPUCUGİL-İKİZ
期刊名称：Business Management Dynamics
电子版ISSN：2047-7031
出版年度：2013
卷号：2
期号：11
页码：20-29
出版社：Society for Business and Management Dynamics
摘要：The volatility of the futures prices is of crucial importance to all participants in the market, especially in the emerging markets like TurkDEX, the newly established derivatives market, where the high volatility of foreign exchange rates can be usually observed. This paper aims to analyze the determinants of the volatility of the US Dollar and Euro futures contracts that are traded in TurkDEX using daily data of closing price, the contract maturity, the volume of contracts traded, and the volume of open interest of each contract. The paper tests the models of individual effects of futures price volatility determinants on the basis of EGARCH(1,1) process and analyzes empirically the relationship of futures price volatility and time to maturity and trading volume and open interest for the period January 5, 2007 to December 28, 2012. The results show that the Turkish Derivatives Exchange deviates from the other developed markets in terms of the determinants affecting the futures price volatility, due to its infancy.
关键词：Volatility; EGARCH; TurkDEX; futures markets