The effect of margin changes on futures market volume and trading

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Tezin Türü: Yüksek Lisans

Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü, Türkiye

Tezin Onay Tarihi: 2016

Öğrenci: ÇİĞDEM ERKEN GÜRAK

Danışman: SEZA DANIŞOĞLU

Özet:

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 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.