Abstract
Investors seek to hedge against potential risks by utilizing various instruments such as futures contracts. From this point of view, considering the relationship between financial markets will be beneficial. Although the motivation that comes with the possibility of high return which is a big factor for those who invest in futures markets, the level of risk undertaken can be ignored by some, especially in the markets where the financial literacy level is relatively low. This can lead to a negative perception particularly for futures markets. Thus, this paper aims to reveal the cointegration relationship between BIST 30 Futures Market and VIX Volatility Index for the 04.01.2010-31.12.2020 period by employing the ARDL model. The findings assert a negative relationship between VIX Volatility Index and BIST 30 futures contracts in the long run and, the relationship between the variables affects the returns of BIST 30 futures contracts.