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Abstract:
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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 . |