The Effects of Currency Futures Trading on Turkish Currency Market
In 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.
Volume (Year): 5 (2011)
Issue (Month): 1 ()
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- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
- Evangelos Drimbetas & Nikolaos Sariannidis & Nicos Porfiris, 2007. "The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 139-148.
- Eric V. Clifton, 1985. "The currency futures market and interbank foreign exchange trading," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(3), pages 375-384, 09.
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