Hasibe ÖZGÜMÜŞ, TURHAN KORKMAZ, EMRAH İSMAİL ÇEVİK

Makroekonomik faktörlerin vadeli işlem (futures) sözleşmelerine etkisi: Vob'ta bir uygulama

Bu çalışmada Şubat 2005 - Kasım 2011 tarihleri arasında, makroekonomik faktörlerin VOBta işlem gören İMKB 100, İMKB 30, Dolar ve Euro vadeli işlem sözleşmelerinin getiri, işlem hacmi ve volatilitesine etkisi incelenmiş ve volatilite tahminlemesi yapılmıştır. Analiz sonucunda, farklı makroekonomik faktörlerin vadeli işlem sözleşmelerinin getiri, işlem hacmi ve volatilitesi üzerinde farklı etkilerinin olduğu ve volatilitenin etkili değişkenler ile daha iyi öngörülebileceği sonucuna ulaşılmıştır.

The impact of macroeconomic factors on futures contracts: An application on turkdex

In this study, the impact of macroeconomic factors on return, volume and volatility of futures contracts traded in TurkDEX with underlying asset of ISE 100, ISE 30, Dollar and Euro, were examined for the period between February 2005 - November 2011; and volatility forecasting has been tested. As a result, different macroeconomic factors have a different effect on the return, volume and volatility of futures contracts, and the inclusion of these variables help better volatility forecasting.

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