Business Management Dynamics

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ISSN: 2047-7031

bmd Business and Management Dynamics bmd
ISSN: 2047-7031  
Volume  2   Issue 11  2013  
Article Abstract
The Determinants of Volatility of Market Price Returns of US Dollar and Euro Futures Contracts Traded in TurkDEX
Keywords:  Volatility, EGARCH, TurkDEX, futures markets
Dr. F. Dilvin TAŞKIN and Dr. Aysun KAPUCUGİL-İKİZ
The volatility of the futures prices is of crucial importance to all participants in the market, especially in the emerging markets like TurkDEX, the newly established derivatives market, where the high volatility of foreign exchange rates can be usually observed. This paper aims to analyze the determinants of the volatility of the US Dollar and Euro futures contracts that are traded in TurkDEX using daily data of closing price, the contract maturity, the volume of contracts traded, and the volume of open interest of each contract. The paper tests the models of individual effects of futures price volatility determinants on the basis of EGARCH(1,1) process and analyzes empirically the relationship of futures price volatility and time to maturity and trading volume and open interest for the period January 5, 2007 to December 28, 2012. The results show that the Turkish Derivatives Exchange deviates from the other developed markets in terms of the determinants affecting the futures price volatility, due to its infancy.
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