The Effect of Margin Changes on Futures Market Volume and Trading

2017-01-08
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.
37th Annual Meetings of MEEA - 2017

Suggestions

The Effect of margin changes on futures market volume and trading
Erken, Çiğdem; Danışoğlu, Seza; Department of Financial Mathematics (2016)
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 optimal margin rules, regulations on margins and the impact of margin levels on trading activity. The aim of this study is to determine the impact of margin levels and margin changes on trading ...
The role of trading volume, open interest and trader positions on volatility transmission between spot and futures markets
Ordu-Akkaya, Beyza Mina; Ugurlu-Yildirim, Ecenur; Soytaş, Uğur (2019-06-01)
In this paper, we investigate the role of open interest, trading volume and trading positions of trader groups on volatility spillover between futures and spot markets of two major commodities; oil and gold during the last two decades. The initial analysis including only spot and futures markets imply that the relationship is bi-directional for crude oil, and uni-directional for gold. Though, including open interest and trading volume enrich our results indicating open interest and spot markets are closely ...
An Analysis of momentum and mean reversion effects on equity indices
Özbilge, Armağan; Yolcu Okur, Yeliz; Nazlıben, Kamil Korhan; Department of Financial Mathematics (2015)
Momentum and mean-reversion effects have become very popular in finance literature for the last two decades since their presence can generate abnormal profit patterns by applying either relative strength or contrarian trading strategy accordingly. Even though there are some common factor explanations for return reversals, they might not provide the full picture for return persistence. In our theoretical framework, we analyse some of the well-known discrete time momentum studies including the initial one and...
The Impact of credit rating changes on the government cost of borrowing in Turkey
Gürer, Murat; Derin Güre, Pınar; Department of Economics (2014)
Standard and Poor’s (S&P), Moody’s and Fitch have been producing credit ratings for government bonds and corporate bonds. Changes in credit ratings affect the investors’ decisions and government cost of borrowing as well. 2008 global financial crisis is an important milestone for the credit rating agencies since during the crisis period high rated countries faced with deep economic fluctuations which decreased the creditworthiness of these agencies. This thesis investigates the relationship between sovereig...
EXAMINATION OF BOND RISK PREMIA FROM THE BANKING PERSPECTIVE
Orhan, Selim; Danışoğlu, Seza; Department of Financial Mathematics (2022-5-10)
Banks are considered as the marginal and sophisticated investors of financial markets. This is evident in the Haddad and Sraer (2020) study that examines the US government bond excess returns. This study extends the Haddad/Sraer analysis to the Turkish government bond market. According to the forecasting results, exposure ratio provides explanatory power over bond excess returns, especially for longer maturities. On the other hand, output gap and industrial growth present strong in-sample forecasting power ...
Citation Formats
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.