Three essays in macroeconomics and financial economics

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Title: Three essays in macroeconomics and financial economics
Author: Oduncu, Arif
Abstract: In the first chapter , I analyze the question that whether the elasticity of intertemporal substitution or risk aversion is more important determinant of precautionary savings . This is an important question since a significant fraction of the capital accumulation is due to precautionary savings according to studies . Thus , knowing the important determinant of precautionary savings will be helpful to understand the capital accumulation mechanism . I look into the effects of the elasticity of intertemporal substitution and risk aversion on precautionary savings separately by performing simulations in order to obtain numerical results . I find that the elasticity of intertemporal substitution is more important determinant than risk aversion . In the second chapter , I study the impact of the introduction of futures trading on the volatility of the underlying spot market for Turkish Istanbul Stock Exchange (ISE ) .The economic literature intensified the debate on the negative or positive impact of futures trading on the stock market volatility . Although there are empirical studies for different countries with mixed results , most of them focus on developed countries . There are a few empirical researches on emerging markets . Analyzing the data , following results are obtained for ISE . First , the results suggest that the introduction of futures trading has decreased the volatility of ISE . Second , the results show that futures trading increases the speed at which information is impounded into spot market prices . Third , the asymmetric responses of volatility to the arrival of news for ISE have increased after the introduction of futures trading . In the third chapter , I investigate the presence of calendar anomalies in ISE by using GARCH models . The presence of calendar anomalies and their persistence presence since their first discovery still remains a puzzle to be solved . On the other hand , there are some claims that general anomalies are much less pronounced after they became known to the public . Most of the studies have examined the developed financial markets . However , it is important to test the calendar effects in data sets that are different from those in which they are originally discovered and so ISE is a good case to test the calendar effects for a developing country .
URI: http : / /hdl .handle .net /2152 /ETD -UT -2009 -12 -521
Date: 2010-08-19

Citation

Three essays in macroeconomics and financial economics. Doctoral dissertation, The University of Texas at Austin. Available electronically from http : / /hdl .handle .net /2152 /ETD -UT -2009 -12 -521 .

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