Abstract:

It is frequently observed in the literature that futures contracts added to a portfolio with effective hedging ratios reduce portfolio risks. It is possible to determine the effective hedge ratios used by static and dynamic methods. The aim of this study and its difference from other studies in the literature is to determine the most effective hedging strategy for crisis periods in Türkiye by comparing static and dynamic models using the ISE-30 spot index and the ISE-30 futures index. The paper covers three different periods that stand out according to the volatility of the ISE-30 index. The first of these is the 23 May 2013 Gezi Park Events; the second is the 15 July 2016 Coup Attempt; and the third is the 11 March 2020 COVID-19 pandemic. According to the findings, static hedge models provide more effective protection for the Gezi Park Events period, while the dynamic hedged DCC-GARCH model provides the most effective protection for the Coup Attempt and COVID-19 pandemic. In addition, research findings reveal that investors should add futures market contracts to their portfolios to hedge against unhedged portfolios, although the differences between the results of hedged portfolios are small.

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