Olgun, Onur

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Now showing 1 - 3 of 3

Citation - WoS: 14
Citation - Scopus: 15
Determination of Optimal Hedging Strategy for Index Futures: Evidence From Turkey
(M E Sharpe Inc, 2011) Olgun, Onur; Yetkiner, İ Hakan
This paper aims to determine optimal hedge strategy for the Istanbul Stock Exchange (ISE)-30 stock index futures in Turkey by comparing hedging performance of constant and time-varying hedge ratios under mean-variance utility criteria. We employ standard regression and bivariate GARCH frameworks to estimate constant and time-varying hedge ratios respectively. The Turkish case is particularly challenging since Turkey has one of the most volatile stock markets among emerging economies and the turnover ratio as a measure of liquidity is very high for the market. These facts can be considered to highlight the great risk and, therefore, the extra need for hedging in the Istanbul Stock Exchange (ISE). The empirical results from the study reveal that the dynamic hedge strategy outperforms the static and the traditional strategies.
Optimal Hedge Ratio and Hedging Effectiveness of Turkish Stock Index Futures
(İzmir Ekonomi Üniversitesi, 2010) Olgun, Onur; Yetkiner, İ. Hakan
Bu tezin amacı, İMKB-30 endeks vadeli işlem sözleşmelerine ait optimal korunma oranının çeşitli ekonometrik modeller uygulanarak tespit edilmesidir. Optimal korunma oranının hesaplanmasında, Doğrusal Regresyon modeli, Yöney Kendiylebağlaşım (VAR) modeli, Hata Düzeltme modeli (ECM), GARCH modeli ve Çok Değişkenli GARCH (M-GARCH) modeli kullanılmıştır. Modeller tarafından tahminlenen korunma oranlarının, örneklem-içi ve örneklem-dışı veri setlerinde, karşılaştırılmasında korunma etkinliği kriteri baz alınmıştır. Buna göre, M-GARCH modeli tarafından tahminlenen korunma oranının hem örneklem-içi hem de örneklem-dışı veri setleri için en düşük değişirliği sağladığı gözlemlenmiştir. Diğer taraftan, modellerin korunma performansları arasında kayda değer farklılıklar bulunmamaktadır. Analizden elde edilen bulguların Türk hisse senedi piyasasındaki riskini en aza indirmek isteyen yatırımcılar için yararlı olması beklenmektedir.
Citation - WoS: 3
An Empirical Analysis on Estimation of the Optimal Hedge Ratio: the Case of Turkdex
(Bilgesel Yayincilik San & Tic Ltd, 2009) Aksoy, Gökçe; Olgun, Onur
The objective of this paper is to estimate the optimal hedge ratio for ISE-30 stock index futures contract, traded in Turkish Derivatives Exchange by comparing various econometric techniques. Particularly, the conventional regression model, the error correction model (ECM) and the GARCH model are employed in the study considering hedging performance. The hedging effectiveness of each model is determined by variance reduction of returns for in-sample and out-of-sample horizons. The results imply that, the hedge ratio obtained from the GARCH model achieves minimum portfolio variance by outperforming other model's estimates in both horizons. It is expected that the empirical findings derived from the study will be helpful for risk managers and institutional investors dealing with Turkish stock index futures.

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Emergıng Markets Fınance And Trade	1
Iktısat Isletme Ve Fınans	1

Olgun, Onur

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