Show/Hide Menu
Hide/Show Apps
Logout
Türkçe
Türkçe
Search
Search
Login
Login
OpenMETU
OpenMETU
About
About
Open Science Policy
Open Science Policy
Open Access Guideline
Open Access Guideline
Postgraduate Thesis Guideline
Postgraduate Thesis Guideline
Communities & Collections
Communities & Collections
Help
Help
Frequently Asked Questions
Frequently Asked Questions
Guides
Guides
Thesis submission
Thesis submission
MS without thesis term project submission
MS without thesis term project submission
Publication submission with DOI
Publication submission with DOI
Publication submission
Publication submission
Supporting Information
Supporting Information
General Information
General Information
Copyright, Embargo and License
Copyright, Embargo and License
Contact us
Contact us
Volatility indexes and an implementation of the Turkish BIST 30 index
Download
index.pdf
Date
2018
Author
Karakurt, Caner
Metadata
Show full item record
Item Usage Stats
501
views
142
downloads
Cite This
In 1993, by representing of CBOE Vix, global financial markets met volatility indexes. In 2003, methodology of the CBOE Vix is updated and it took the form which used today. Day after day, volatility indexes have attracted more and more investors and financial institutions, and soon volatility indexes have succeeded in becoming one of the most followed financial indicators. Following these developments, many countries have introduced their implied volatility indexes by using CBOE Vix methodology or its variations. Although there are different academic studies and opinions about whether volatility indexes are consistent and successful in reflecting the markets volatility expectation or not. CBOE Vix and its derivatives are the most accepted indicators about reflecting investors volatility expectation. In this study, firstly development of the CBOE Vix and the methodology of this index will be explained in detail. Then, other important volatility indexes, that are created using this methodology will be mentioned. Lastly, an implementation of this methodology to Turkish BIST 30 index will be made. The interest rates, needed for calculation of this index will be obtained by Svensson method.
Subject Keywords
Stock exchanges.
,
Stocks
URI
http://etd.lib.metu.edu.tr/upload/12622237/index.pdf
https://hdl.handle.net/11511/27487
Collections
Graduate School of Applied Mathematics, Thesis
Suggestions
OpenMETU
Core
How does the stock market volatility change after inception of futures trading?
Esen, İnci; Danışoğlu, Seza; Department of Financial Mathematics (2007)
As the trading volume in TURKDEX, the first and only options and futures exchange in Turkey, increases, it becomes more important to have an understanding of the effect of stock index futures trading on the underlying spot market volatility. In this respect, this thesis analyzes the effect of ISE-National 30 index futures contract trading on the underlying stocks’ volatility. In this thesis, spot portfolio volatility is decomposed into two components and this decomposition is applied to a single-factor retu...
Cross sectional determinants of Turkish stock market returns
Çeliker, Umut; Rhoades, Seza; Department of Business Administration (2004)
This thesis analyzes the relationship between stock returns and firm-specific characteristics including market beta, size, book-to-market ratio, leverage, earnings yield, net sales-to-price ratio and prior return performance in Istanbul Stock Exchange during the period 1993-2003. Moreover, the predictability of some macroeconomic variables based on the stock market return behavior is investigated.
Stock market liquidity analysis: evidence from the İstanbul Stock Exchange
Özdemir, Duygu; Gaygısız Lajunen, Esma; Department of Economics (2011)
The purpose of this thesis is to identify the factors playing a key role in the determination of the Turkish stock market liquidity in aggregate terms in a time series context and discuss the joint dynamics of the market-wide liquidity with its selected determinants and the trade volume. The main determinants tested are the level of return, the return volatility and the monetary stance of the Central Bank of the Republic of Turkey. The expected positive relationship between the liquidity and the return is c...
An Examination of betas for Borsa İstanbul
Koca, Onur; Oran, Adil; Department of Business Administration (2016)
This study aims to investigate the Betas, which is called as systematic risk and introduced by Capital Asset Pricing Model (CAPM), of stocks traded in Borsa Istanbul (BIST). Issues about Beta have been examined for many years and mainly focus on its estimation and stability. These topics set up the core of this thesis. The closing prices of 203 eligible stocks between 2005 and 2015 are used in the work and data is collected from Thomson Reuters. The estimation of Beta is performed in four different methods,...
A Note on Cross Section of Stock Returns on the Istanbul Stock Exchange
Kayaçetin, Nuri Volkan; Güner, Zehra Nuray (Boğaziçi Üniversitesi, 2007-01-01)
This paper investigates the explanatory powers of firm size, book-to-market, sales-to-price, debt-toequity ratio, and dividend yield on the cross-section of returns on the Istanbul Stock Exchange (ISE). Our results indicate that each of these variables (except dividend yield), commands a significant return premium when included in a simple regression model with the highest premium being associated with sales-to-price ratio. Our results suggest that sales-to-price ratio and debt-to-equity ratio have higher e...
Citation Formats
IEEE
ACM
APA
CHICAGO
MLA
BibTeX
C. Karakurt, “Volatility indexes and an implementation of the Turkish BIST 30 index,” M.S. - Master of Science, Middle East Technical University, 2018.
