THE ROLE OF MACROECONOMIC INDICATORS ON THE FUTURE CONTACTS FOR VOLATILITY, RETURN AND VOLUME: AN APPLICATION ON THE TERM FUTURE AND OPTIONS EXCHANGE

Abstract

Author(s): Utku Altun繹z*

The aim of this study is to determine the power of macroeconomic indicators on the volatility, returns and trading volumes of BIST 30, Dollar and Euro futures contracts traded in the futures option market. In the analysis for 2008-2019 period, GARCH - EGARCH model was used for volatility measurement and stepwise regression model was used for return and volume measurement. With the results obtained, variables that affect the returns can be monitored by financial consultants, portfolio managers, and savings owners interested in stock market and derivative instruments, and this can be a guide in portfolio diversification and risk reduction.

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