THE IMPACT OF EXCHANGE TRADED FUNDS ON VOLATILITY OF INDEX MARKETS: AN EMPRICAL ANALYSIS ON THE ISE-30 INDEX

Year 2016, Afro-Avrasya Özel Sayısı, 205 - 234, 27.12.2016

Ferit Karahan , M. Mesut Kayalı Metin Baş

Abstract

This study examines how the inception of IST30
Exchange Traded Funds on April 7, 2009 impacts the volatility between ISE-30
spot and futures index markets in Turkey. Using detailed data from Borsa
Istanbul, we form two periods before and after the introduction of IST30 ETF.
First period includes 427 days before and second period includes 548 days after
introduction of IST30 ETF. We investigate the volatility effects of introduction of IST30 ETF on
index markets in both periods using time series analysis. Our empirical results
show that volatility on both index markets decreases after introduction of
IST30 ETF. We examine volatility of underlying assets of ISE-30 index in both
periods. We find 13 stocks have increasing and 17 stocks have decreasing
volatility levels. Overall results show us that the volatility of underlying
stocks decreases. This result is compatible with the findings of Lin ve Chiang (2005). 

Keywords

Index Instruments, Volatility, Time Series Analysis, Exchange Traded Fund

BORSA YATIRIM FONLARININ ENDEKS PİYASALARINDA VOLATİLİTE ÜZERİNDEKİ ETKİSİ: İMKB-30 ENDEKSİ ÜZERİNE BİR UYGULAMA

Abstract

Çalışmada Türkiye
endeks piyasalarında 7 Nisan 2009 tarihinde işlem görmeye başlayan IST30 Borsa
Yatırım Fonu’nun İMKB-30 spot ve vadeli endeks piyasalara olan volatilite
etkisi fon kurulma tarihinin öncesi ve sonrası olmak üzere iki dönem halinde
ele alınmaktadır.  Borsa yatırım
fonlarının endeks piyasaların volatilitesine etkisini araştırmak için zaman
serisi modelleri kullanılmıştır. Uygulama sonuçları, fonun işleme başlama
tarihinden öncesinde ve sonrasında endeks yatırım araçlarının volatilitesinde
bir düşüş meydana geldiğini göstermektedir. Çalışmada IMKB-30 endeksindeki dayanak
varlıkların her iki dönemdeki volatilitesi de araştırılmıştır. 13 hissenin
volatilitesi yükselirken, 17 hissenin volatilitesinin düştüğü bulunmuştur.
Toplu sonuçlar, dayanak varlıkların volatilitesinin düştüğünü göstermektedir.
Bu sonuç, Lin ve Chiang (2005)’ın bulgularıyla
uyumludur. 

Keywords

Endeks Yatırım Araçları, Volatilite, Zaman Serisi Analizleri, Borsa Yatırım Fonları

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