Özet:

The aim of the study is to determine the factors that affect the volatility perception of warrant investors. By using 3.187 daily data of 61 call warrants whose underlying asset is BIST-30 Index and traded on BIST in 2012, firstly efficient option pricing model for the related market is confirmed and then volatilities that equalizes the efficient model prices to market prices are calculated and regression analysis is applied to determine factors that affect the volatility. The results of the analysis are revealed that if the closing price of the underlying asset, the days to maturity of the warrant and Turkish Lira Interbank rate increase, the volatility perceived by investors will decrease. Also, there is positive relationship between the closing price of warrants and the perceived volatility. In addition perceived volatility is higher on Monday and first decrease in inflation after 4 months increase reduces the perceived volatility.

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