Thesis Defence – Atakan Özkan (MSFE)

Atakan Özkan - M.Sc. Financial Engineering

Asst. Prof. Dr. Satı Mehmet Özsoy – Advisor

Date: 23.12.2024

Time: 17.15

Location: Özyeğin University Altunizade Campus - Classroom ALT 101

“An Empirical Analysis of Risk Premia in Equity Futures : The Case of   Borsa Istanbul”

Asst. Prof. Dr. Satı Mehmet Özsoy, Özyeğin University

Asst. Prof. Dr. Emrah Ahi, Özyeğin University

Prof. Dr. Şükriye Tüysüz, Yeditepe University

Abstract:

     This study investigates the futures risk premia in Türkiye’s equity futures market, focusing on spot and term premiums. By applying concepts traditionally used in ommodity futures to equity futures, the study captures spot premiums through nearest maturity contracts and captures term premiums through a long-short strategy. Utilizing factor pricing models and portfolio sorting methodology, it examines the explanatory power of basis, momentum and the recently introduced basis-momentum characteristics. After determining the significant risk premiums, the study examines the interaction between the risk premia and main macro financial variables that have a profound effect on the macro economy via Newey West OLS and Vector Autoregressive modelling methods. The study aims to provide new insights into the term structure of equity futures and contribute significantly to the literature on futures risk premia and their application to financial markets.

Keywords:

      Spot Risk Premium, Futures Basis, Basis-Momentum, Momentum, Cost-of-Carry, Newey West Standard Erros, Vector Autoregressive Models, Variance Decomposition Analysis

Bio:       

     Atakan Özkan, having graduated from the Business Administration Department at Middle East Technical University in 2020, currently works at the Central Bank of the Republic of Türkiye as an assistant specialist at the Markets Operations division.