İzvob impact of index contracts trading volume on İMKB indexes postgraduate

ABSTRACT Mirrasoul SEYEDGHOMI, İZVOB Impact of Index Contracts? Trading Volume on IMKB Indexes Postgraduate Thesis, Ankara, 2013 Relationships between futures and spot markets have been the subject of many researches. Futures have been examined in various directions especially with regard to the estimation on the direction of expectations in capital markets. In the thesis, it is examined whether futures have impacts on stock exchange securities transacted in IMKB (Stock Exchange Istanbul) and indexes, if exist, how powerful they are and in which way they have impacts. ARCH, GARCH and regression method are used in the study. It has been determined that volume changes in most of stock exchange securities within the scope of study have been affected by trading volumes of VOB İMKB index contracts, 30 and 100 at the same day and up to the preceding 2nd, 3rd, 4th, 5th, 6th, 7th ve 8th day, besides, these stock exchange securities have been affected by their own volumes up to the 10th day prior to the transaction. Price changes in stock exchange securities are affected by the same index contracts? price changes at the same day and preceding 2nd, 3rd, and 4th day, and by its own price change up to 5th day prior to the transaction. Modellings of stock excange securities as GARCH and EGARCH included in index and IMKB indexes indicate the existence of asymmetric impact, and it has been determined that good news that will affect the trading volumes of index contracts, IMKB 30 and 100 in spot market will increase the volatility of these indexes and stock exchange securities included in these indexes, bad news that will affect the price change in same index contracts will increase the volatility of these indexes and stock exchange securities included in these indexes. Key Words 1.VOB 2.İMKB-30 3.İMKB-100 4.Trading Volume 5.Price chang