Özet:

This study examines how the inception of IST30 Exchange Traded Funds on April 7, 2009 impacts the volatility between ISE-30 spot and futures index markets in Turkey. Using detailed data from Borsa Istanbul, we form two periods before and after the introduction of IST30 ETF. First period includes 427 days before and second period includes 548 days after introduction of IST30 ETF. We investigate the volatility effects of introduction of IST30 ETF on index markets in both periods using time series analysis. Our empirical results show that volatility on both index markets decreases after introduction of IST30 ETF. We examine volatility of underlying assets of ISE-30 index in both periods. We find 13 stocks have increasing and 17 stocks have decreasing volatility levels. Overall results show us that the volatility of underlying stocks decreases. This result is compatible with the findings of Lin ve Chiang (2005). 

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