Do Stock Index Futures Affect Economic Growth? Evidence from 32 Countries

Şendeniz Yüncü, İlkay
Aydoğan, Kürşat
This article investigates the relationship between stock index futures markets development and economic growth using time-series methods for 32 developed and developing countries. Evidence of cointegration between stock index futures and real economy in 29 countries suggests the presence of co-movements among the variables, indicating long-run stationarity in those countries. Our findings show that there is Granger-causality from stock index futures markets development to economic growth for middle-income countries with relatively low real per capita GDP, and Granger-causality in the reverse direction for the countries with high real per capita GDP. Variance decomposition and impulse-response function (IRF) analyses results support the existence of a relationship between stock index futures and real economy.
Emerging Markets Finance and Trade


Managing financial instability in emerging markets: A Keynesian perspective
Akyüz, Yılmaz (Orta Doğu Teknik Üniversitesi (Ankara, Turkey), 2008-6)
The Keynesian analysis of financial instability as developed by Hyman Minsky provides considerable insights into understanding the nature and dynamics of boom-bust cycles driven by international capital flows in emerging markets. Its main policy conclusion that financial control rather than macroeconomic policy holds the key to financial stability is equally valid. There is, however, need to develop a new approach to financial control and place greater emphasis on managing capital inflows than has hitherto ...
Is food financialized? Yes, but only when liquidity is abundant
ORDU, Beyza Mina; Oran, Adil; Soytaş, Uğur (2018-10-01)
In this paper, we investigate whether commodity index trader (CIT) positions help to explain the increase in the correlations between agricultural commodities and equities starting around 2008. Some argue institutional investors who invest both in stock and commodity markets demolish the borders between these two seemingly unrelated markets and increase correlations, a recent phenomenon known as financialization. Yet, some others argue recently correlations have decreased back to historical levels and the i...
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...
Do global risk perceptions influence world oil prices?
Sarı, Ramazan; Soytaş, Uğur (2011-05-01)
This paper investigates the information transmission mechanism between world oil, gold, silver, dollar/euro exchange rate markets, and volatility index (VIX) accommodating for global risk perceptions. We find that there is a unique long run equilibrium relationship, where gold, silver, exchange rate, and risk perceptions appear as long run forcing variables of world oil prices. We uncover that global risk perceptions have a significantly suppressing effect on oil prices in the long run. We also discover tha...
Do Global Risk Perceptions Play a Role in Emerging Market Equity Return Volatilities?
Hacihasanoglu, Erk; Simga-Mugan, F. N. Can; Soytaş, Uğur (2012-07-01)
This paper investigates whether global risk perceptions lead emerging market return volatilities. In so doing, we analyzed the period of interest in three parts to determine the effects of the changes in global risk perceptions on the volatility of emerging markets. We uncovered volatility spillover from risk perceptions to the MXEF returns before the crisis. Our results show that all the effects on emerging market volatilities are severed in 2008, during which MXEF follows a downward trend. However, we obs...
Citation Formats
İ. Şendeniz Yüncü and K. Aydoğan, “Do Stock Index Futures Affect Economic Growth? Evidence from 32 Countries,” Emerging Markets Finance and Trade, pp. 410–429, 2018, Accessed: 00, 2020. [Online]. Available: