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The Effect of Margin Changes on Futures Market Volume and Trading
Date
2017-01-08
Author
Danışoğlu, Seza
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Margins are performance bonds that are designed to protect market participants and the market as a whole against investor default. Academic interest in analyzing margins started in the late 1960s and the number of studies increased parallel to the growth of the derivatives markets. Studies on margins mostly focus on the margin regulations, impact of margin levels on trading activity and optimal margin rules. The aim of this study is to determine the impact of margin levels and margin changes on trading activity as measured by the open interest and trading volume of the most liquid futures contracts traded on the Turkish derivatives exchange. These contracts are the BIST 30 INDEX, USD/TRY FX, and TRY GOLD futures contracts and the sample period is from January 2009 to October 2014. The impact of margin levels and margin changes are examined separately by using time series regressions and an event study methodology. Since margin levels do not affect all trader types uniformly, their impact on trading activity also is examined by considering the composition of traders in the market as well as the trading activity of the entire market.
Subject Keywords
Margins
,
Trading volume
,
Open Interest
,
Derivatives Market
,
Borsa Istanbul
URI
https://hdl.handle.net/11511/77825
https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=MEEA17&paper_id=138
Conference Name
37th Annual Meetings of MEEA - 2017
Collections
Department of Business Administration, Conference / Seminar
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S. Danışoğlu, “The Effect of Margin Changes on Futures Market Volume and Trading,” presented at the 37th Annual Meetings of MEEA - 2017, Chicago, IL, 2017, Accessed: 00, 2021. [Online]. Available: https://hdl.handle.net/11511/77825.
