Effects of Macroeconomic Factors on Futures Contracts: A Study on Dollar and Euro Contracts

• Main Authors: Yasemin KARATAŞ ELÇİÇEK, Koray KAYALIDERE
• Format: Article
• Language: deu
• Published: Celal Bayar University 2020-12-01
• Series: Yönetim ve Ekonomi
• Subjects: futures contract; return; volatility

This study aims to examine the factors that affect the volatility of contract returns, transaction volumes and the volatility of USD and EUR denominated derivative instruments using two-way stepwise regression analysis. The period analyzed in the study covers from January 2013 to December 2017. In light of the reviewed literature, instrument returns and transaction volume is regressed alongside 11 macroeconomic variables that are thought to have an effect of volatility in monthly frequency. In the analysis results, a significant relationship between macroeconomic variables and USD and EUR contract returns, transaction volumes, volatility is found. For some variables, it is observed that there is no significant relationship. The results of the study are thought to be a contribution to the literature.