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...

In this study monthly equity index values of twenty two emerging and twelve developed markets are used for the determination of cointegration relations developed by Johansen. The results of cointegration analysis show that Turkish stock market is cointegrated with seven developed and five...

This study has investigated the effect of VIX, created as an implied volatility in the US, on 15 emerging stock markets with the application of GJR-GARCH model. According to the results obtained, the emerging stock markets have leverage effect in conditional variance and emerging bad news...