Three essays on derivatives markets

buir.advisorŞensoy, Ahmet
dc.contributor.authorOmole, Oluwakayode John
dc.date.accessioned2022-02-02T13:37:58Z
dc.date.available2022-02-02T13:37:58Z
dc.date.copyright2022-01
dc.date.issued2022-01
dc.date.submitted2022-02-01
dc.descriptionCataloged from PDF version of article.en_US
dc.descriptionIncludes bibliographical references (leaves 98-105).en_US
dc.description.abstractThis 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.en_US
dc.description.statementofresponsibilityby Oluwakayode John Omoleen_US
dc.format.extentxvii, 105 leaves : illustrations ; 30 cm.en_US
dc.identifier.itemidB160753
dc.identifier.urihttp://hdl.handle.net/11693/76974
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectBorsa Istanbulen_US
dc.subjectCommonalityen_US
dc.subjectDelta-hedgingen_US
dc.subjectMarket microstructureen_US
dc.subjectOptions marketen_US
dc.subjectOrder imbalanceen_US
dc.subjectVBIen_US
dc.titleThree essays on derivatives marketsen_US
dc.title.alternativeTürev piyasalar üzerine üç makaleen_US
dc.typeThesisen_US
thesis.degree.disciplineBusiness Administration
thesis.degree.grantorBilkent University
thesis.degree.levelDoctoral
thesis.degree.namePh.D. (Doctor of Philosophy)

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