Economics, Econometrics and Finance
4 years ago

Turkish Futures Market Offers Efficient Hedging Mechanism for Investors.

Borsa Istanbul Review
Optimal hedge ratios and hedging effectiveness: An analysis of the Turkish futures market
Göknur Büyükkara, C. Coşkun Küçüközmen, Erkan Uysal

Paper Summary

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The study looked at different futures contracts traded on the Borsa Istanbul to find the best way to protect investments. They used different math models to see how well these contracts could reduce risks. The BIST 30 equity futures contracts were found to be very effective for hedging. After a change in Turkish regulations in 2017, the dynamic GARCH model worked better for currency futures contracts. However, during the COVID-19 pandemic, the effectiveness of currency futures contracts dropped. Gold futures contracts were not very effective for hedging in any period.