The Effects of Currency Futures Trading on Turkish Currency Market
AbstractIn this article, the impact of the introduction of currency futures trading on the volatility of the underlying currency market for Turkey is studied. Analyzing the data, following results are obtained. First, the results suggest that the introduction of futures trading has decreased the volatility of Turkish currency market. Second, the results show that futures trading increases the speed at which information is impounded into spot market prices. Third, the asymmetric responses of volatility to the arrival of news have increased after the introduction of futures trading.
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Bibliographic InfoArticle provided by Banking Regulation and Supervision Agency in its journal Journal of Banking and Financial Markets.
Volume (Year): 5 (2011)
Issue (Month): 1 ()
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Currency Futures Trading; Turkish Derivatives Exchange; GARCH;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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