Browsing by Subject "Borsa Istanbul"

Now showing 1 - 5 of 5

Open Access
Impact of global and domestic macroeconomic variables on Borsa Istanbul Stock returns
(2013-08) Fırat, Mustafa
This study investigates the impact of global and domestic macroeconomic variables on the monthly returns of stocks traded in Borsa Istanbul during 1998- 2011 period. 13 variables are chosen as the candidates of source of variations in stock returns: BIST 100 index, one month lagged series of BIST 100 index, realized volatility of BIST 100 index, price-to-earnings (P/E) ratio, trade volume, S&P 500 index, inflation, foreign trade balance, industrial production index, oil prices, gold prices, foreign exchange rate and interest rate on short term government bonds. Taking the return of BIST 100 index as the dependent variable, 5 of the remaining 12 variables, namely, S&P 500 index, trade volume, industrial production index, foreign exchange rate and interest rate on short term government bonds are selected as the best model by using an algorithm based on model selection criteria, AIC and LASSO. These variables are regressed on return of BIST 100 index and residual of this regression (market residual) is regarded as the 6th factor, then the explanatory power of this 6-factor model is analyzed on Fama-French size and book-to-market portfolios. Market residual, S&P 500 index and trade volume are found to have a statistically significant explanatory power on all portfolios, whereas industrial production index and foreign exchange rate are found to be effective with significance level of above 5%. On the other hand, interest rate on short term government bonds has no significant effect on stock returns.
Open Access
Information content of order imbalance in the index options market
(Elsevier BV, 2021-12-12) Şensoy, Ahmet; Omole, John
We use proprietary transaction level data of Borsa Istanbul to compute the order imbalance of index options in order to investigate the linkages between option trades and spot index returns. Our findings show that weeks with higher call (put) order imbalance are associated with higher (lower) contemporaneous spot index returns. In addition, higher call order imbalance significantly predicts negative next-week index returns. The spot index return predictability by call options is absorbed neither by the stock order imbalance nor the index futures imbalance. Indeed, this predictability is consistent with the view that the hedging demand of counterparties in the option market that leads to the transfer of order imbalance from option market to stock market is the driver of predictability. Results are robust after controlling for various factors.
Open Access
News releases and stock market volatility: intraday evidence from borsa Istanbul
(Elsevier Inc., 2015) Solakoglu, M. N.; Demir, N.
In this study, we investigate the effect of public information arrival on return volatility for Borsa Istanbul (BIST) using intraday, 60-min returns between October 3, 2013 and March 31, 2014. Stock return and return volatility is expected to react to news arrival if such news causes market participants to adjust their portfolios. To measure new information arrival, we count the number of daily news headlines for Turkey, the United States, and a sample of European countries with close trading ties with Turkey. Furthermore, we focus on economic news and particularly on news on real economy and inflation. In addition, along with the BIST100 index, which is the most commonly used market portfolio index, we also utilize Second National Market (SNM) index. Our results show that news arrival influences return volatility negatively, and it has no significant effect on index returns. Moreover, return volatility responds significantly to negative surprises in GDP and inflation announcements. Finally, we do not provide evidence that indicates differences in the usage of information that arrives to the market between BIST100 and SNM investors. © 2015 Elsevier Inc. All rights reserved.
Open Access
Order imbalance and commonality: Evidence from the options market
(Borsa Istanbul Anonim Sirketi, 2022-01) Omole, John; Şensoy, Ahmet; Gulay, Guzhan
Using a market model and principal component analysis, we investigate the existence of common effects in order imbalance in the Borsa Istanbul's option market. Accordingly, we find the presence of commonality in order imbalance for call options and an even more dominant presence in put options. We investigate the impact of this commonality on the underlying equity market's price discovery; however, the results indicate no significant impact. Our results suggest that, from the order imbalance perspective, equity order imbalance contributes more than options to explaining stock return variations. © 2021 The Authors
Open Access
Three essays on derivatives markets
(2022-01) Omole, Oluwakayode John
This thesis comprises of three essays on derivatives markets. The first essay revisits the model-free methodology of the implied volatility index (VIX) and its global counterparts as empirically estimated. Then, we modify the model parameter selection procedure to be compatible with the microstructure characteristics of emerging derivative markets. Applying this approach on Turkish market data, we introduce the implied volatility index of Borsa Istanbul (VBI). We find that VBI is a significant predictor of the future realized volatility, is significantly correlated with Turkey’s own financial indicators, but not with many global financial indicators. Additionally, we find that the presence of implied volatility spillover from US equity market to Borsa Istanbul, but not the other way around. The second essay uses proprietary transaction level data of Borsa Istanbul to compute the order imbalance of index options to investigate the linkages between option trades and spot index returns. Our findings show that weeks with higher call (put) order imbalance are associated with higher (lower) contemporaneous spot index returns. In addition, higher call order imbalance significantly predicts negative next-week index returns. The result of the chapter is consistent with the view that the hedging demand of counterparties in the option market that leads to the transfer of order imbalance from option market to stock market drives the predictability of index call options. In the third essay, we investigate the existence of common effects in order imbalance in the Borsa Istanbul’s option market. Accordingly, we find the presence of commonality in order imbalance for call options and an even more dominant presence in put options. The results suggest that, from the order imbalance perspective, equity order imbalance contributes more than options to explaining stock return variations.