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SPOT VE VADELİ İŞLEM ENDEKSLERİNDE VOLATİLİTE ETKİLEŞİMİ: BİST 30 ÖRNEĞİ

Year 2025, Issue: 67, 237 - 247

Melih Kutlu

Abstract

Etkin finansal piyasalarda yeni bilgiler spot ve vadeli işlemler piyasalarına eş zamanlı olarak aktarılır. Gerçekte ise birçok faktör bu iki piyasa arasında bilginin aktarımında öncül-ardıl ilişkisi oluşmasına neden olur. Bu çalışmanın amacı BİST 30 spot ve vadeli işlemler endeksleri arasında volatilite etkileşimini araştırmaktır. 2015 ve 2024 yılları arası dönemde günlük endeks kapanış verileri ile gerçekleştiren çalışmada vadeli işlem endeks hacmi de modele dahil edilmiştir. Diyagonal VECH-GARCH modeli ile yapılan analizler spot ve vadeli işlem endeks getirileri arasında volatilite etkileşimi ile ilgili kanıtlar sunmaktadır. Spot ve vadeli işlemler piyasası getirilerinde belirli bir ortalamaya göre meydana gelen önemli değişiklikleri yansıtan volatilite tüm katsayılarda anlamlı ve pozitif çıkmaktadır. Bu durum piyasalar arası yeni bir bilgi geldiğinde etkileşim mekanizmasının mevcut olduğu şeklinde yorumlanabilir. Geçmiş dönem şokları ve varyansları ile vadeli işlem endeks hacmi de bu etkileşim için önemli rol oynamaktadır.

Keywords

BİST 30 Endeksi Vadeli İşlem Piyasaları Spot İşlem Piyasaları Volatilite Etkileşimi Diyagonal VECH-GARCH

Ethical Statement

Bu çalışmanın yazarı, araştırma ve yayın etiği ilkelerine uyduğunu kabul etmektedir.

References

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VOLATILITY INTERACTION IN SPOT AND FUTURES INDEXES: BIST 30 SAMPLE

Year 2025, Issue: 67, 237 - 247

Melih Kutlu

Abstract

In efficient financial markets, new information is transmitted simultaneously to spot and futures markets. Many factors cause a lead-lag relationship in the transmission of information between these two markets in reality. This study aims to investigate the volatility interaction between BIST30 spot and futures indices. Daily index closing data is used between 2015 and 2024, and futures index volume is also included in the model. The analysis with the Diagonal VECH-GARCH model provides evidence of volatility interaction between spot and futures index returns. The volatility, reflecting significant changes in returns in the spot and futures markets relative to a certain average, is found to be significant and positive in all coefficients. This situation can be interpreted as the presence of an interaction mechanism when new information enters the markets. The shock of the past period and their variances and futures index volume also play an important role in this interaction.

Keywords

BİST 30 Index Futures Markets Spot Markets Volatilite Interaction Diagonal VECH-GARCH

References

  • Alemany, N., Arago, V. ve Salvador, E. (2020). “Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching models”, International Review of Economics and Finance, 68, 269-280. https://doi.org/10.1016/j.iref.2020.03.009
  • Ali, M., Alam, N., ve Rizvi, S. A. R. (2020). “Coronavirus (COVID-19)-An epidemic or pandemic for financial markets. Journal of Behavioral and Experimental Finance”, 27, 1-6. https://doi.org/10.1016/j.jbef.2020.100341
  • Antonakakis, N., Floros, C., & Kizys, R. (2016). Dynamic spillover effects in futures markets: UK and US evidence. International Review of Financial Analysis, 48, 406-418. https://doi.org/10.1016/j.irfa.2015.03.008
  • Antoniou, A., Pescetto, G. ve Violaris, A. (2003). “Modelling international price relationships and interdependencies between the stock index and stock index futures markets of three EU countries: a multivariate analysis”, Journal of Business Finance ve Accounting, 30(5), 645-667. https://doi.org/10.1111/1468- 5957.05409
  • Bhar, R. (2001), Return and volatility dynamics in the spot and futures markets in Australia: An intervention analysis in a Bivariate EGARCH-X framework. Journal of Future Markets, 21: 833-850. https://doi.org/10.1002/fut.1903
  • Bollerslev, T. (1986). “Generalized autoregressive conditional heteroskedasticity”, Journal of Econometrics, 31: 307–327. https://doi.org/10.1016/0304-4076(86)90063-1
  • Bollerslev, T., Engle, R. F., ve Wooldrıdge, J. M. (1988). “A capital asset pricing model with timevarying covariances”, Journal of Political Economy, 96(1), 116-131.
  • Chan, K, Chan, K. C. ve Karolyi, G. A. (1991). “Intraday volatility in the stock ındex and stock ındex futures markets”, The Review of Financial Studies, 4 (4), 657-684. https://doi.org/10.1093/rfs/4.4.657
  • Chang, E. C., Cheng, J. W., & Pinegar, J. M. (1999). Does futures trading increase stock market volatility? The case of the Nikkei stock index futures markets. Journal of Banking & Finance, 23(5), 727-753. https://doi.org/10.1016/S0378-4266(98)00069-7
  • Chen, R., ve Zheng, Z. (2008). “Unbiased estimation, price discovery and market efficiency: futures prices and spot prices”, Systems Engineering Theory and Practice, 28(8), 2-11. https://doi.org/10.1016/S1874-8651(09)60031-4
  • Çelik, İ. (2012). “Vadeli işlem piyasasında fiyat keşfi: İzmir vadeli işlem ve opsiyon borsasında ampirik bir uygulama. Türkiye Bankalar Birliği”, Yayın No. 283, İstanbul.
  • Çevik, E. İ., ve Pekkaya, M. (2007). “Spot ve vadeli işlem fiyatlarının varyansları arasındaki nedensellik testi”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22(2), 49-66.
  • Dickey, D. A., ve Fuller, W. A. (1979). “Distribution of the estimators for autoregressive time series with a unit root”, Journal of the American Statistical Association, 74, 366, 427-431. https://doi.org/10.2307/2286348
  • Engel, R. F. (1982). “Autoregressive conditional heteroscedasticity with estimates of variance of United Kingdom inflation”, Econometrica, 50: 987–1007. https://doi.org/10.2307/1912773
  • Eraslan, M., & Koç, S. (2022). Pay Senedi Endeksleri ile Endeks Vadeli İşlemler Arasındaki Volatilite İlişkisi: Türkiye ve Dünya Örnekleri Arasında Karşılaştırmalı Analiz. Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 23(3), 655-671. https://doi.org/10.37880/cumuiibf.1084248
  • Ferreira, J. L. (2003). “Strategic interaction between futures and spot markets”.,Journal of Economic Theory, 108, 141-151. https://doi.org/10.1016/S0022-0531(02)00012-1
  • Floros, C. (2009). “Price discovery in the South African stock index futures market”, International Research Journal of Finance and Economics, 34, 148-159. https://doi.org/10.1080/10800379.2001.12106311
  • Garbade, K. D., ve Silber, W. L. (1983). “Price movements and price discovery in futures and cash markets”, The Review of Economics and Statistics, 65(2), 289-297. https://doi.org/10.2307/1924495
  • Gong, C. C., Ji, S. D., Su, L. L., Li, S. P. I., ve Ren, F. (2016). “The lead-lag relationship between stock index and stock index futures: A thermal optimal path method”, Physica A, 444, 63-72. https://doi.org/10.1016/j.physa.2015.10.028
  • Gürbüz, S., & Şahbaz, A. (2022). Investigating the volatility spillover effect between derivative markets and spot markets via the wavelets: The case of Borsa İstanbul. Borsa Istanbul Review, 22(2), 321-331. https://doi.org/10.1016/j.bir.2021.05.006
  • Gök, İ. Y., ve Kalaycı, Ş. (2014). “BIST 30 spot ve futures piyasalarında gün içi fiyat keşfi ve volatilite yayılımı”, Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 19(3), 109-133.
  • Göçmen Yağcılar, G. (2022). “Türkiye’de spot ve vadeli işlem piyasaları arasında bilgi etkinliği ve etkileşim: öncül-ardıl ilişkiler ve volatilite iletimi”, Uluslararası Yönetim İktisat ve İşletme Dergisi, 18(2), 470-491. https://doi.org/10.17130/ijmeb.969177
  • Haroon, O., Ali, M., Khan, A., Khattak, M. A., ve Rizvi, S. A. R. (2021). “Financial market risks during the COVID-19 pandemic”, Emerging Markets Finance and Trade, 57(8), 2407-2414. https://doi.org/10.1080/1540496X.2021.1873765
  • Hildebrand, P. M. (2006). “Monetary policy and financial markets”, Financial Markets and Portfolio Management, 20, 7-18. https://doi.org/10.1007/s11408-006-0004-8
  • Hu, Y. (2016). “Study on effects of CSI 300 stock index futures on Chinese stock market volatility”, In 2016 International Forum on Management, Education and Information Technology Application. Atlantis Press. https://doi.org/10.2991/ifmeita-16.2016.65
  • Hou, Y. G., & Li, S. (2020). Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China. International Review of Economics & Finance, 66, 166-188. https://doi.org/10.1016/j.iref.2019.11.003
  • Iihara, Y., Kato, K. ve Tokunaga, T. (1996). “Intraday return dynamics between the cash and the futures markets in Japan”, The Journal of Futures Markets, 16(2), 147-162. https://doi.org/10.1002/(SICI)1096-9934(199604)16:2<147::AID-FUT2>3.0.CO;2-K
  • İşeri, M., ve Kaçmazer, M. (2016). “2005-2015 yılları arasında BIST30 endeksi ve BIST30 endeks vadeli işlem sözleşmeleri arasındaki nedensellik (öncül-ardıl) ilişkisinin irdelenmesi”, Finans Politik ve Ekonomik Yorumlar, (615), 9-21.
  • İşeri, M., & Kaçmazer, M. (2017). 2011-2015 yılları arasında Bist 30 endeksi ve Bist 30 endeks vadeli işlem sözleşmeleri arasındaki volatilite ilişkisinin irdelenmesi. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 39(1), 171-194. https://doi.org/10.14780/muiibd.329920
  • Jiang, T., Bao, S., ve Li, L. (2019). “The linear and nonlinear lead-lag relationship among three SSE 50 index markets: The index futures, 50ETF spot and options markets”, Physica A, 525, 878-893. https://doi.org/10.1016/j.physa.2019.04.056
  • Kara E., Anbar A. ve Arabacı Ö. (2022). “BİST 30 vadeli işlem ve spot piyasaları arasında volatilite yayılımı ilişkisi: DCC GARCH analizi”, Yönetim Bilimleri Dergisi, 20(43), 1-27. https://doi.org/10.35408/comuybd.827041
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There are 56 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Research Article
Authors

Melih Kutlu 0000-0002-8634-6330

Early Pub Date March 4, 2025
Publication Date
Submission Date April 3, 2024
Acceptance Date January 20, 2025
Published in Issue Year 2025 Issue: 67

Cite

APA Kutlu, M. (2025). SPOT VE VADELİ İŞLEM ENDEKSLERİNDE VOLATİLİTE ETKİLEŞİMİ: BİST 30 ÖRNEĞİ. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi(67), 237-247. https://doi.org/10.30794/pausbed.1464423
AMA Kutlu M. SPOT VE VADELİ İŞLEM ENDEKSLERİNDE VOLATİLİTE ETKİLEŞİMİ: BİST 30 ÖRNEĞİ. PAUSBED. March 2025;(67):237-247. doi:10.30794/pausbed.1464423
Chicago Kutlu, Melih. “SPOT VE VADELİ İŞLEM ENDEKSLERİNDE VOLATİLİTE ETKİLEŞİMİ: BİST 30 ÖRNEĞİ”. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, no. 67 (March 2025): 237-47. https://doi.org/10.30794/pausbed.1464423.
EndNote Kutlu M (March 1, 2025) SPOT VE VADELİ İŞLEM ENDEKSLERİNDE VOLATİLİTE ETKİLEŞİMİ: BİST 30 ÖRNEĞİ. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 67 237–247.
IEEE M. Kutlu, “SPOT VE VADELİ İŞLEM ENDEKSLERİNDE VOLATİLİTE ETKİLEŞİMİ: BİST 30 ÖRNEĞİ”, PAUSBED, no. 67, pp. 237–247, March 2025, doi: 10.30794/pausbed.1464423.
ISNAD Kutlu, Melih. “SPOT VE VADELİ İŞLEM ENDEKSLERİNDE VOLATİLİTE ETKİLEŞİMİ: BİST 30 ÖRNEĞİ”. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 67 (March 2025), 237-247. https://doi.org/10.30794/pausbed.1464423.
JAMA Kutlu M. SPOT VE VADELİ İŞLEM ENDEKSLERİNDE VOLATİLİTE ETKİLEŞİMİ: BİST 30 ÖRNEĞİ. PAUSBED. 2025;:237–247.
MLA Kutlu, Melih. “SPOT VE VADELİ İŞLEM ENDEKSLERİNDE VOLATİLİTE ETKİLEŞİMİ: BİST 30 ÖRNEĞİ”. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, no. 67, 2025, pp. 237-4, doi:10.30794/pausbed.1464423.
Vancouver Kutlu M. SPOT VE VADELİ İŞLEM ENDEKSLERİNDE VOLATİLİTE ETKİLEŞİMİ: BİST 30 ÖRNEĞİ. PAUSBED. 2025(67):237-4.
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