Economics, Econometrics and Finance
4 years ago

Futures contracts in Turkish markets show increased volatility as maturity nears.

Journal of Applied Finance and Banking
Determinants of Price Volatility of Futures Contracts: Evidence from an Emerging Market
Eyà ⁄ p KadioÄŸlu, Saim KÉalÉaÃ, Nurcan Öcal

Paper Summary

The study looked at what makes prices of futures contracts change a lot in Turkey. They studied 457 contracts from 2008 to 2015. They found that as contracts get closer to ending, prices change more. Also, when more contracts are traded, prices change more too. But when more people are interested in a contract, prices change less. This shows that different factors affect how much prices change in Turkish markets.

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