DERIVATIVE USE OF TURKISH INVESTMENT FUNDS DURING THE 2008-09 FINANCIAL CRISIS

Journal Title: Asian Economic and Financial Review - Year 2017, Vol 7, Issue 1

Abstract

This paper centers on the question of how derivatives were utilized by investment fund managers in the course of 2008-09 global financial crisis. In this vein, we analyze investment funds defined as mutual funds and investment trusts, by comparing them in terms of derivative use under three fund categories. With respect to 193 investment funds, our first categorization is ?investment objectives? and our results show that the 43.40 % (22.12%) [51.85%] of the funds invested in only equity (bonds) [both equity and bonds] used derivatives. Secondly, in terms of their ?legal structures?, we find that 56.67% of the closed-ended and 27.61% of the open-ended funds used derivatives. In the final category, i.e. ?fund-type?, it is observed that 51.89% (8.03%) of the A-type (B-type) funds used derivatives. We proceed with logit analysis in order to identify the relation between of fund characteristics and derivative use. We find for each category that the likelihood of derivative use increased as the turnover of funds escalated. Furthermore, we make univariate analyses to compare distributional parameters between derivative users and non-users. In terms of ?investment objectives?, users having bond-dominated portfolios had higher standard deviation, idiosyncratic risk and skewness, while those of non-users had higher beta and timing beta. For the structural categorization, users significantly had higher standard deviation, idiosyncratic risk and skewness and yet non-users had a higher beta and timing beta. In case of ?fund type?, non-users had a higher beta yet a lower kurtosis. Lastly, we apply regression analyses to test relation between risk change and fund?s previous performance. The empirical results indicate that there was a negative relationship, which was weaker for derivative users.

Authors and Affiliations

Burak Pirgaip*| Assist. Prof., Department of Banking and Finance, Cankaya University, Aslıhan Taşdemir| Research Assist., Department of Business Administration, Hacettepe University

Keywords

Related Articles

CONTRIBUTION OF ADVANCED TECHNOLOGY AND FOREIGN CAPITAL TO GROWTH OF DIFFERENT STAGE OF DEVELOPMENT COUNTRIES

This study determines influence of advanced technology and foreign capital on economic growth apart from contribution of the other major domestic inputs. The countries were classified into four groups; i.e., lower and lo...

THE COMPOSITION AND REGULATION OF THE FINANCIAL SERVICES SECTOR IN ZIMBABWE

Zimbabwe’s financial services sector continues to be found falling short in terms of observing corporate governance principles. The majority of the problems racking the sector are due to the existence of a number of regu...

THE EFFECT OF MACROECONOMIC & MARKET SPECIFIC DYNAMICS ON STOCK MARKET DEVELOPMENT IN GLOBAL GROWTH GENERATOR COUNTRIES

As the global financial crisis dethrones the developed world from its economic supremacy, by leading the global economic recovery and growth, the global growth generator (3G) countries are expected to fill the vacuum. Ca...

THE DISTRIBUTION OF THE RETURNS OF JAPANESE STOCKS AND PORTFOLIOS

The behaviour of the distribution of stock returns is of fundamental importance in financial economics, in view of its direct bearing on the descriptive validity of any theoretical model. We analysed the behaviour of Jap...

EFFECT OF DISAGREEMENT ON CORPORATE FINANCING POLICY AND INVESTMENT LEVEL

This study models firm?s financing policy and investment level when manager and outside investors has disagreement. It shows that the firm is more likely to over invest when the level of disagreement is high, and prefers...

Download PDF file
  • EP ID EP2320
  • DOI -
  • Views 516
  • Downloads 41

How To Cite

Burak Pirgaip*, Aslıhan Taşdemir (2017). DERIVATIVE USE OF TURKISH INVESTMENT FUNDS DURING THE 2008-09 FINANCIAL CRISIS. Asian Economic and Financial Review, 7(1), 1-14. https://europub.co.uk/articles/-A-2320