Pay Senedi Endeksleri ile Endeks Vadeli İşlemler Arasındaki Volatilite İlişkisi: Türkiye ve Dünya Örnekleri Arasında Karşılaştırmalı Analiz

Abstract

In studies conducted to investigate the relationship between futures and spot market, generally the volatility relationship between futures and spot market has been investigated and it has been understood that futures reduce spot market volatility. In this study, the volatility relationship between futures and the spot market has been investigated on the basis of spot indices and futures that these indices are the underlying asset. In investigating the volatility relationship between both markets, spot indices of BIST 30 from Turkey, DAX 30 from Germany and S&P 500 from the United States and futures contracts on which these indices are the underlying asset were used. The volatility relationship between markets has been analyzed using GARCH, TARCH, EGARCH and PARCH models. The findings obtained during the implementation phase revealed that there was a bidirectional volatility relationship between both markets in the period covering the years 2006-2021. However, this two-way relationship is not statistically significant because the coefficients of the explanatory variables in the conditional variance equation are very small.