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.

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Year of publication:	2011
Authors:	Oduncu, Arif
Published in:	Journal of BRSA Banking and Financial Markets. - Bankacılık Düzenleme ve Denetleme Kurumu. - Vol. 5.2011, 1, p. 97-109
Publisher:	Bankacılık Düzenleme ve Denetleme Kurumu
Subject:	Currency Futures Trading \| Turkish Derivatives Exchange \| GARCH

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models ; G10 - General Financial Markets. General ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009275556