تاثیر معاملات آتی بر نوسانات دارایی های زیر بنایی در بازار سهام ترکیه

This paper examines the impact of the introduction of stock index futures on the volatility of the Istanbul Stock Exchange (ISE), using asymmetric GARCH model, for the period July 2002–October 2007. The results from EGARCH model indicate that the introduction of futures trading reduced the conditional volatility of ISE-30 index. Results further indicate that there is a long-run relationship between spot and future prices. The results also suggest that the direction of both long- and short-run causality is from spot prices to future prices. These findings are consistent with those theories stating that futures markets enhance the efficiency of the corresponding spot markets.

Stock index futures have been considered as one of the most successful financial products.1 Even though trading in futures market has two decades of history in the US and other developed markets, it is a relatively recent phenomenon in emerging markets. For instance, although the Turkish stock market is one of the fastest growing emerging markets it was not until 4 February 2005 that a futures contract based on the Istanbul Stock Price Index 30 (ISE-30) was introduced on the Turkish Stock Exchange. After futures trading have been introduced in all main stock exchanges, the economic literature intensified the debate on the impact of derivative trading on spot price volatility. On the theoretical front, two different arguments exist. The first group of researchers supports the argument that futures trading increase the volatility of the underlying spot market.2 They argue that futures markets attract uninformed traders because of their high degree of leverage and the activity of those traders increases spot market volatility. The second group of researchers presents arguments in favor of the idea that futures trading have a beneficial effect on the underlying cash market by decreasing its volatility.3 They argue that futures trading increases market depth and enhances efficiency, therefore reduces spot market volatility. In addition, futures market can help to reduce the risk involved in the cash market by providing the hedging opportunities to the market participants. The uncertainty of the existent theoretical literature implies that the issue of how futures market affects the volatility of the underlying spot markets is mainly an empirical issue. At present, however, empirical literature has also presented mixed results. Some researchers alleged that the market of derivatives increases the volatility of the spot market. For instance, Harris [19] observed an increase of volatility of the S&P500 index after the introduction of derivatives in 1983 in his cross-sectional analysis of covariance for the period 1975–1987. Pok and Poshakwale [28] studied the impact of the introduction of futures into the KLSE index of the Malaysian market. They found that the derivatives increased the volatility of the underlying market. Antoniou and Holmes [4] suggested, for the London Stock Exchange, an increased volatility following the introduction of the FTSE100 index futures contracts. Ryoo and Smith [30] investigated the impact on the spot market of trading in KOSPI 200 futures of the Korean market. Their empirical results showed that futures trading increased the speed at which information was impounded into spot market prices, reduced the persistence of information and increased spot market volatility. Several empirical studies suggested that the market of derivatives decreases the volatility of the spot market. Antoniou et al. [3] studied the effects of futures trading on the spot market volatility of six stock markets (Germany, Japan, Spain, Switzerland, UK and US). They found that, for Germany and Switzerland, introduction of futures trading had had a significant negative effect on the volatility of the spot market. Bologna and Cavallo [7], in their studies on the MIB30 index in the Italian market, found that the introduction of stock index futures had led to diminish the stock market volatility. Pilar and Rafael [27] studied the introduction of derivatives in the Ibex35 index of the Spanish market. They found that the derivatives market had diminished the volatility of the underlying market. Baklaci and Tutek [5] examined the impact of futures market on spot volatility in the Turkish derivatives market, using data from 2004 to 2006. Their results indicate that even though it has been in operation for a short period of time, the futures market in Turkey has significant impact in reducing volatility in the spot market. Drimbetas et al. [13] studied the Greek stock market by analyzing the impact of introduction of the futures and options into the FTSE/ASE 20 index on the volatility of the underlying index. Their results suggested that the introduction of derivatives had induced a reduction of the conditional volatility of the FTSE/ASE 20 index. In contrast to the previously mentioned studies, several researchers found that the market of derivatives does not influence the spot market. Freris [17] studied the effect of Hang Seng Index Futures on the behavior of the Hang Seng Index. They found that the introduction of stock index futures trading had no measurable effect on the volatility of the stock price index. Antoniou and Foster [2] examined the effects of introduction of futures contract on Brent Crude Oil on its spot market. They found no substantial change in volatility between the pre- and post-futures periods. Darrat and Rahman [12] studied the S&P500 index and found that the S&P500 futures volume did not affect spot market volatility. Kan [21], in his study on HIS index of the Hong Kong market, found similar results. In this paper, we aim to provide evidence on the impact of the introduction of futures trading on spot market volatility in the Turkish stock market. The contribution of the paper is threefold: First, most of the previous research on the impact of the introduction of futures trading on the spot market volatility, which produced mixed results, has focused on mostly developed markets. Very little work has been done for emerging markets. Hence, the aim of this study is to contribute to the ongoing debate about the impact of derivatives trading on the underlying spot market volatility by providing new evidence from an emerging stock market, Turkey. Most previous studies on the Turkish stock market have focused solely on the Istanbul Stock Exchange (ISE) and only one study, Baklaci and Tutek [5], investigated the linkages of the ISE with the newly established derivatives exchange. Our study significantly differs from that of Baklaci and Tutek [5]. We use a longer period of time and an asymmetric GARCH model to model volatility.4 In contrast to their study, we use a dummy variable, which measures the introduction of futures, in the variance equation to examine the impact of the introduction of futures market on the volatility.5 We also examine the long-run relationship between spot and futures prices, and the direction of long and short-run causality between two series. Second, findings of this study will provide valuable information both for the fund managers and for the policymakers. Excessive volatility of stock market is an important risk for the fund managers. Derivatives trading would help them to manage their risk exposures in emerging markets. Any information related to the impact of derivatives trading on the volatility of the underlying spot market will be beneficial to create a better risk management. As for the policymakers, having information about the effects of derivatives trading on the spot market volatility would help them to decide whether further regulation of financial markets are needed. Third, most empirical studies have examined the impact of futures index by comparing the unconditional variance of returns before and after the introduction of futures trading. Some of those studies have employed a GARCH type model.6 In this study, however, we employ the exponential GARCH (EGARCH) model of Nelson [26] since it has some advantages over GARCH model. The exponential nature of the EGARCH ensures that the conditional variance is always positive even if the parameter values are negative, thus there is no need to impose artificially the nonnegativity constraint. Moreover, EGARCH models allow the conditional volatility to have asymmetric relation with past data. The paper is structured as follows: Section 2 briefly provides information on the Turkish Derivative Exchange and discusses the data. Section 3 discusses econometric methodology. Empirical results are presented in Section 4. Finally, Section 5 contains some concluding remarks.

The impact of futures on the volatility of spot market has worried regulators and investors. The main argument against futures trading is that futures market increases stock market volatility. It has been thought that the volatility increase might be due to destabilizing effects of futures trading associated with speculation. However, the derivatives trading add a new dimension to the market by providing a new set of instruments to facilitate hedging. This paper, using the EGARCH model, examined whether or not stock index futures trading has negative impact on the volatility of spot market in Turkey. The results show that there has been a decrease in volatility following the introduction of stock index futures. Our results are in line with those of Antoniou et al. [3], Bologna and Cavallo [7], Pilar and Rafael [27] and Drimbetas et al. [13], that the introduction of futures trading decreases the volatility of the spot market and hence, it has stabilizing effects. This result implies that, the introduction of derivative markets in markets that have similar characteristics of Turkish stock market (small size and scarce liquidity) could help to stabilize their spot markets. Our result also implies that policymakers do not need to impose a larger regulation to the derivative markets since they could limit the possibility of investment and decrease the efficiency of the markets. MSCI Euro index is used in the estimation of the EGARCH model to capture international systematic factors. The results suggest that the significant spill-over effects exist from the European markets. Considering the fact that Turkey’s major economic partners, in terms of trade and investment are located in Europe, our findings are not surprising. We further investigated the long-run equilibrium relationship between ISE-30 spot and futures prices using Engle–Granger [16] and Johansen [20] cointegration techniques. The results of both techniques provided evidence of significant long-run relationship between stock index futures and spot prices. Granger causality test was also used to check the causation. The results indicate that there is a unidirectional Granger causality running from spot market to futures market both in the short-run and the long-run. This result differs from most of the previous research on developed markets which found unidirectional causality from futures to spot markets. The results suggest that news disseminates first in the spot market and then in the futures market. In summary, our results indicate that the impact of futures trading has been beneficial for the Turkish stock market by reducing the underlying market volatility, hence increasing the market efficiency.