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- W2102023962 abstract "This paper investigates the impact of futures trading volume on spot market volatility, using data from the Turkish derivatives and spot markets, and also examines long memory in volatility using the FIGARCH model in order to assess the efficiency of the market in processing information. It is important to take long memory property into account when modeling volatility for the emerging stock markets, since stock returns in these markets behave differently compared to the stock markets of more developed and larger markets. The period analyzed covers from May 2005 to December 2008. The empirical results indicate that the volatility series is a long memory process, which is commonly observed in emerging markets. The results also indicate that futures trading volume contributes information to the volatility process of underlying stock index. Using the Granger causality test, the causal relationship between futures trading volume and spot market volatility is also analyzed. The results suggest the unidirectional causality running from futures trading volume to spot market volatility." @default.
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- W2102023962 date "2010-05-20" @default.
- W2102023962 modified "2023-09-26" @default.
- W2102023962 title "Long memory in spot market volatility and futures trading volume: Evidence from the Turkish stock market" @default.
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