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The Impact of Macroeconomic Factors on Futures Contracts: An Application on Turkdex

Author

Listed:
  • Hasibe OZGUMUS
  • Turhan KORKMAZ
  • Emrah Ismail CEVIK

Abstract

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.

Suggested Citation

  • Hasibe OZGUMUS & Turhan KORKMAZ & Emrah Ismail CEVIK, 2013. "The Impact of Macroeconomic Factors on Futures Contracts: An Application on Turkdex," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 7(1), pages 103-136.
    • Handle: RePEc:bdd:journl:v:7:y:2013:i:1:p:103-136
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    More about this item

    Keywords

    TurkDEX; Macroeconomic Factors; Efficient Market Hypothesis (EMH); Regression Analysis; EGARCH.;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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