Sökning: "Emre Akcakmak"

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  1. 1. The Impact of Futures Trading on Spot Price Volatility: Evidence from Turkey

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Emre Akcakmak; [2006]
    Nyckelord :futures; volatility; GARCH; speculation; Turkey;

    Sammanfattning : The main goal of this thesis is to investigate the effect of the introduction of futures trading on the nature of spot price volatility. Specifically, changes in volatility, speed of information flow, persistence of volatility shocks and asymmetric response are examined in Istanbul Stock Exchange (ISE) National-30 Index contracts for the period before and after the introduction of Turkish Derivatives Exchange (TurkDEX) in February, 2005. LÄS MER