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Volatility Spillover between Bist 30 Futures and Spot Markets: A DCC-GARCH Analyses

Yıl 2022, Cilt: 20 Sayı: 43, 1 - 27, 31.01.2022
https://doi.org/10.35408/comuybd.827041

Öz

Investors should be aware of the information flow across the markets to develop investment policies. The volatility spillover relationships between spot and futures markets includes significant knowledge for the composition of optimal portfolios. In the present study, the relationship between spot and futures markets in Turkey was investigated based on BIST 30 index end-of-day price data for the period between February 2, 2006, and April 30, 2020. The volatility spillover effects and the time-varying dynamic conditional relationships between the markets were investigated with the DCC-GARCH model. The findings reveal the existence of a two-way volatility spillover between markets and a strong dependency between markets’ return volatilities. In addition, the effect of negative and positive shocks on market volatility was analyzed with the GJR-GARCH model and the results demonstrated that both markets responded strongly to negative shocks when compared to positive shocks.

Kaynakça

  • Bhamra, H. S. and Uppal, R. (2009). The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns When Agents Differ in Risk Aversion. The Review of Financial Studies, 22(6), 2303-2330.
  • 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 Futures Markets, 21(9), 833-850.
  • Bhaumik, S., Karanasos, M. and Kartsaklas, A. (2016). The Informative Role of Trading Volume in an Expanding Spot and Futures Market. Journal of Multinational Financial Management, 35, 24-40.
  • Black, F. (1976). Studies in Stock Price Volatility Changes. In Proceedings of the 1976 Meetings of the American Statistical Association, 171-181.
  • Bodnar, T. and Hautsch, N. (2016). Dynamic Conditional Correlation Multiplicative Error Processes. Journal of Empirical Finance, 36, 41-67.
  • Bohl, M. T., Diesteldorf, J. and Siklos, P. L. (2015). The Effect of Index Futures Trading on Volatility: Three Markets for Chinese Stocks. China Economic Review, Vol. 34.
  • Bohl, M. T., Salm, C. A. and Schuppli, M. (2011). Price Discovery and Investor Structure in Stock Index Futures. The Journal of Futures Markets, 31(3), 282-306.
  • Bollerslev, T. (1990). Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model. Review of Economics and Statistics, 72, 498-505.
  • Bose, S. (2007). Understanding the Volatility Characteristics and Transmission Effects in the Indian Stock Index and Index Futures Market. ICRA Bulletin on Money & Finance, 139-162.
  • Corredor, P., Ferrer, E and Santamaria, R. (2015). Sentiment-prone Investors and Volatility Dynamics between Spot and Futures Markets. International Review of Economics and Finance, 35, 180-196.
  • Çelik, İ. (2012). Vadeli İşlem Piyasasında Fiyat Keşfi. Türkiye Bankalar Birliği, İstanbul.
  • Chambers, N. (2009). Türev Piyasalar. Beta Yayınları, 3th Edition, Istanbul.
  • Chance, D. M. and Brooks, R. (2013). An Introduction to Derivatives and Risk Management. 9th Edition, Cengage Learning, USA.
  • Changa, C-L., McAleer, M. and Tansuchat, R. (2013). Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns. North American Journal of Economics and Finance, 25, 116-138.
  • Chatrath, A., Christie-David, R., Dhanda, K. K. and Koch, T. W. (2002). Index Futures Leadership, Basis Behavior and Trader Selectivity. The Journal of Futures Markets, 22(7), 649-677.
  • Chin, K., Chan, K. C. and Karolyi, A. (1991). Intraday Volatility in the Stock Index and Stock Index Futures Market. The Review of Financial Studies, 4(4), 657-684.
  • Ching, H. and Hsieh, S. (2014). The Causal Relationships between Stock Returns, Trading Volume and Volatility Empirical Evidence from Asian Listed Real Estate Companies. International Journal of Managerial Finance, 10(2), 218-240.
  • Christie, A. A. (1982). The Stochastic Behavior of Common Stock Variances: Value, Leverage, and Interest Rate Effect. Journal of Financial Economics, 10(4), 407-432.
  • Danielsson, J., Valenzuela, M. and Zer, İ (2016). Learning from History: Volatility and Financial Crises. SRC Discussion Paper, No.57, 1-40.
  • Danthine, J. P. (1976). Information, Futures Prices, and Stabilizing Speculation.’ Journal of Economic Theory, 17(1), 79-98.
  • Charles C. Cox. (1976). Futures Trading and Market Information. Journal of Political Economy, Vol.84, No.6, 1215-1237.
  • Dutta, A. (2014). Modelling Volatility: Symmetric or Asymmetric GARCH Models? Journal of Statistics: Advances in Theory and Applications, 12(2), 99-108.
  • Enders, W. (2015). Applied Econometric Time Series. Fourth Edition, John Wiley&Sons, Inc., USA.
  • Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Model. Journal of Business & Economic Statistics, 20(3), 339-350.
  • Fan, X. and Du. D. (2017). The spillover effect between CSI 500 index futures market and the spot market. China Finance Review International, 7(2), 249-272.
  • Ghufran, B., Awan, H. M., Khakwani, A. K. and Qureshi, M. A. (2016). What Causes Stock Market Volatility in Pakistan? Evidence from the Field. Economics Research International, 2016, 1-9.
  • Glosten, L.R, Jagannathan, R. and Runkle, D. E. (1993). On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, XLVIII(5), 1779-1801.
  • Gök, İ. Y. and Kalaycı, Ş. (2014). BIST 30 Spot ve Futures Piyasalarında Güniçi Fiyat Keşfi ve Volatilite Yayılımı. Suleyman Demirel University The Journal of Faculty of Economics and Administrative Sciences, 19(3), 109-133.
  • Gulia, S. (2016). Testing of Relationship Between Trading Volume, Return and Volatility. Amity Global Business Review, 11: 96-102.
  • Hamilton, J. D. and Gang, L. (1996). Stock market Volatility and the Business Cycle. Journal of Applied Econometrics, 11(5), 573-593.
  • Hemche, O., Jawadi, F., Maliki, S. B. and Cheffou, A. I. (2016). On the Study of Contagion in the Context of the Subprime Crisis: A Dynamic Conditional Correlation-Multivariate GARCH Approach. Economic Modelling, 52, 292-299.
  • Hinojales, M. and Park, C. Y. (2011). Stock Market Integration: Emerging East Asia’s Experience. Devereux, M. B., Lane, P. R., Park, C. Y. and Wei, S. J. (eds.), The Dynamics of Asian Financial Integration. Routledge, Oxon.
  • Hiraki, T., Maberly, E. D. and Takezawa, N. (1995). The Information Content of end-of-the-day Index Futures Returns: International Evidence From the Osaka Nikkei 225 Futures Contract. Journal of Banking and Finance, 19(5), 921-936.
  • Hou, Y. and 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 and Finance, 66, 166-188.
  • Huo, R. and Ahmed, A. D. (2018). Relationships between Chinese stock market and its index futures market: Evaluating the impact of QFII scheme. Research in International Business and Finance, 44, 135-152.
  • Iihara, Y., Kato, K. and Tokunaga, T. (1996). Intraday Return Dynamics between the Cash and the Futures Markets in Japan. The Journal of Futures Markets, 16(2), 147-162.
  • Imegi, J. C. (2014). Impact of Financial Liberalization on Stock Market Volatility in Nigeria. Journal of Business and Retail Management Research, 8(2), 80-87.
  • International Monetary Fund (2003). Financial Asset Price Volatility: A Source Of Instability? Gobal Financial Stability Report: Market Developments and Issues.
  • James, G. A and Karoglou, M. (2010). Financial Liberalization and Stock Market Volatility: The Case of Indonesia. Applied Financial Economics, 20, 477-486.
  • Kang, S. H., Cheong, C. and Yoon, S. M. (2013). Intraday Volatility Spillovers between Spot and Futures Indices: Evidence from the Korean Stock Market. Physica A: Statistical Mechanics and its Applications, 392(8), 1795-1802.
  • Karabıyık, L and Anbar, A. (2010). Sermaye Piyasası ve Yatırım Analizi. Ekin Kitabevi, Bursa. Kassimatis, K. (2002). Financial Liberalization and Stock Market Volatility in Selected Developing Countries. Applied Financial Economics, 12, 389-394.
  • Kotkatvuori-Örnberg, J. (2016). Dynamic Conditional Copula Correlation and Optimal Hedge Ratios with Currency Futures. International Review of Financial Analysis, 47, 60-69.
  • Koutmos, G and Tucker, M. (1996). Temporal Relationships and Dynamic Interactions Between Spot and Futures Stock Markets. The Journal of Futures Markets, 16(1), 55-69.
  • Kurz, M., Jin, H. and Motolese, M. (2005). Determinants of Stock Market Volatility and Risk Premia. Annals of Finance, 1(2), 109-147.
  • Lafuente-Luengo, J. A. (2009). Intraday Realised Volatility Relationships between the S&P 500 Spot and Futures Market. Journal of Derivatives & Hedge Funds, 15(2), 116-121.
  • Lin, C. C., - Chen, S-Y., Hwang, D-Y. and Lin, C-F. (2002). Does Index Futures Dominate Index Spot? Evidence from Taiwan Market. Review of Pacific Basin Financial Markets and Policies, 5(2), 255-275.
  • Malhotra, M. and Sharma, D. K. (2016). Volatility Dynamics in Oil and Oilseeds Spot and Futures Market in India. Vikalpa: The Journal for Decision Makers, 41(2), 132-148.
  • Mathy, G. P. (2016). Stock Volatility, Return Jumps and Uncertainty Shocks during the Great Depression. Financial History Review, 23(2), 165-192.
  • Nelson, D. B. (1996). Modelling Stock Market Volatility Change. Rossi, P. E. (ed.), Modelling Stock Market Volatility, Academic Press, London, 3-15.
  • Okur, M. and Çevik, E. (2013). Testing Intraday Volatility Spillovers in Turkish Capital Markets: Evidence from ISE. Ekonomska Istražıvanja-Economic Research, 26(3), 99-116.
  • Özdemir, L. (2011). Vadeli İşlem Piyasası ile Spot Piyasa Oynaklığı Arasındaki İlişki: İzmir Vadeli İşlem ve Opsiyon Borsası Üzerine Bir Uygulama. Unpublished Doctoral Dissertation, Afyon Kocatepe Üniversitesi Sosyal Bilimler Enstitüsü, Afyon.
  • Özden, Ü. H. (2008). İMKB Bileşik 100 Endeksi Getiri Volatilitesinin Analizi. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 7(13), 339-350.
  • P. Sakthivel - B. Kamaiah, (2010). Price Discovery and Volatility Spillover Between Spot and Futures Markets: Evidence from India. The IUP Journal of Applied Economics, Vol.IX, No.2, 81-97.
  • Pak, Y., Kim, Y-J., Song, M. and Kim, Y-H. (2015). Shock Waves of Political Risk on the Stock Market: The Case of Korean Companies in the U.S. Development and Society, 44(1), 143-165.
  • Pati, P. C. and Rajib, P. (2011). Intraday Return Dynamics and Volatility Spillovers between NSE S&P CNX Nifty Stock Index and Stock Index Futures. Applied Economics Letters, 18(6), 567-574.
  • Patra, G. C. and Mohapatra, S. R. (2011). A Testing of Lead-lag Relationship between Nifty Spot and Futures Index Returns and Volatility. International Journal of Financial Management, 1(4), 13-22.
  • Paul, M. T. and Kimata, J. D. (2016). The Linkages, Persistence, Asymmetry in The Volatility, The Price Discovery and Efficiency and The Effect of The US Subprime Mortgage Financial Crisis on The Spot and The Futures Market’s Returns: The Case of India. Applied Economics, 48(8), 669-683.
  • Sadiq, M., Ahmad, S., Anjum, M. J., Suliman, M., Abrar, S-U. and Khan, S-U-R. (2013). Stock Price Volatility in Relation to Dividend Policy: A Case Study of Karachi Stock Market. Middle-East Journal of Scientific Research, 13(3), 426-431.
  • Schwert, G. W. (1989). Why Does Stock Market Volatility Change Over Time? The Journal of Finance, XLIV(5), 1115-1153.
  • Sehgal, S., Rajput, N. and Deisting, F. (2013). Price Discovery and Volatility Spillover: Evidence from Indian Commodity Markets. The International Journal of Business and Finance Research, 7(3), 57-75.
  • Sehgal, S. and Dutt, M. (2016). Domestic and International Information Linkages between NSE Nifty Spot and Futures Markets: An Empirical Study for India. Decision, 437(3), 239-258.
  • Tokat, E. and Tokat, H. A. (2010). Shock and Volatility Transmission in the Futures and Spot Markets: Evidence from Turkish Markets. Emerging Markets Finance & Trade, 46(4), 92-104.
  • Tse, Y. (1999), “Price Discovery and Volatility Spillovers in the DJIA Index and Futures Markets. The Journal of Futures Markets, 19(8), 911-930.
  • Wan, K-L. and Chen, M-L. (2007). The Dynamics in the Spot, Futures, and Call Options with Basis Asymmetries: An Intraday Analysis in a Generalized Multivariate GARCH-M MSKST Framework. Review of Quantitative Finance and Accounting, 29(4), 371-394.
  • Wang, Y-C. and Ho, W-R (2010). The Relationship of Price Volatility between TSE and TAIFEX Stock Indices Futures with Different Maturities. African Journal of Business Management, 4(17), 3785-3792.
  • Wang, Y-H. and Lin, C-T. (2008). Empirical Analysis of Political Uncertainty on TAIEX Stock Market. Applied Economics Letters, 15, 545-550.
  • Xie, S. and Huang, J. (2014). The Impact of Index Futures on Spot Market Volatility in China. Emerging Markets Finance & Trade, 50, 167-177.
  • Yang, J., Yang, Z. and Zhou, Y. (2012). Intraday Price Discovery and Volatility Transmission in Stock Index and Stock Index Futures Markets: Evidence from China. The Journal of Futures Markets, 32(2), 99-121.
  • Zhou, B. and Wu, C. (2016). Intraday Dynamic Relationships Between CSI 300 Index Futures and Spot Markets: A High-Frequency Analysis. Neural Comput & Applic, 27, 1007-1017.
  • Zhou, Z., Dong, H. and Wang, S. (2014). Intraday Volatility Spillovers between Index Futures and Spot Market: Evidence from China. Procedia Computer Science, 31, 721-730.

VOLATILITY SPILLOVER BETWEEN BIST 30 FUTURES AND SPOT MARKETS: A DCC-GARCH ANALYSES

Yıl 2022, Cilt: 20 Sayı: 43, 1 - 27, 31.01.2022
https://doi.org/10.35408/comuybd.827041

Öz

In terms of investors, it is essential to be aware of the flow of information across markets and build up investment policies in line with this information. The volatility spillover relationships between futures and spot markets contain important information in the context of optimal portfolio composing. In this study, the relevant relationship between futures and spot markets in Turkey were investigated in the context of BIST 30 index, using the end-of-day pricing data for the period from 2 February 2006 to 30 April 2020.
The volatility spillover effects and the time-varying dynamic conditional relationship between markets was investigated by DCC-GARCH method. The results indicate that there is a strong dependence between markets' return volatilities. Also a significant bidirectional relationship is found in volatility transmissions between the markets. The results of GJR-GARCH analysis, in order to examine the effect of negative and positive shocks on the markets' volatilities indicate that both markets responded more strongly to their negative shocks than to positive shocks. Findings generally indicate that there is a bidirectional causality relationship between price and volatility changes of the markets. This result supports the hypothesis that both markets play a role in volatility spillover.

Kaynakça

  • Bhamra, H. S. and Uppal, R. (2009). The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns When Agents Differ in Risk Aversion. The Review of Financial Studies, 22(6), 2303-2330.
  • 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 Futures Markets, 21(9), 833-850.
  • Bhaumik, S., Karanasos, M. and Kartsaklas, A. (2016). The Informative Role of Trading Volume in an Expanding Spot and Futures Market. Journal of Multinational Financial Management, 35, 24-40.
  • Black, F. (1976). Studies in Stock Price Volatility Changes. In Proceedings of the 1976 Meetings of the American Statistical Association, 171-181.
  • Bodnar, T. and Hautsch, N. (2016). Dynamic Conditional Correlation Multiplicative Error Processes. Journal of Empirical Finance, 36, 41-67.
  • Bohl, M. T., Diesteldorf, J. and Siklos, P. L. (2015). The Effect of Index Futures Trading on Volatility: Three Markets for Chinese Stocks. China Economic Review, Vol. 34.
  • Bohl, M. T., Salm, C. A. and Schuppli, M. (2011). Price Discovery and Investor Structure in Stock Index Futures. The Journal of Futures Markets, 31(3), 282-306.
  • Bollerslev, T. (1990). Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model. Review of Economics and Statistics, 72, 498-505.
  • Bose, S. (2007). Understanding the Volatility Characteristics and Transmission Effects in the Indian Stock Index and Index Futures Market. ICRA Bulletin on Money & Finance, 139-162.
  • Corredor, P., Ferrer, E and Santamaria, R. (2015). Sentiment-prone Investors and Volatility Dynamics between Spot and Futures Markets. International Review of Economics and Finance, 35, 180-196.
  • Çelik, İ. (2012). Vadeli İşlem Piyasasında Fiyat Keşfi. Türkiye Bankalar Birliği, İstanbul.
  • Chambers, N. (2009). Türev Piyasalar. Beta Yayınları, 3th Edition, Istanbul.
  • Chance, D. M. and Brooks, R. (2013). An Introduction to Derivatives and Risk Management. 9th Edition, Cengage Learning, USA.
  • Changa, C-L., McAleer, M. and Tansuchat, R. (2013). Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns. North American Journal of Economics and Finance, 25, 116-138.
  • Chatrath, A., Christie-David, R., Dhanda, K. K. and Koch, T. W. (2002). Index Futures Leadership, Basis Behavior and Trader Selectivity. The Journal of Futures Markets, 22(7), 649-677.
  • Chin, K., Chan, K. C. and Karolyi, A. (1991). Intraday Volatility in the Stock Index and Stock Index Futures Market. The Review of Financial Studies, 4(4), 657-684.
  • Ching, H. and Hsieh, S. (2014). The Causal Relationships between Stock Returns, Trading Volume and Volatility Empirical Evidence from Asian Listed Real Estate Companies. International Journal of Managerial Finance, 10(2), 218-240.
  • Christie, A. A. (1982). The Stochastic Behavior of Common Stock Variances: Value, Leverage, and Interest Rate Effect. Journal of Financial Economics, 10(4), 407-432.
  • Danielsson, J., Valenzuela, M. and Zer, İ (2016). Learning from History: Volatility and Financial Crises. SRC Discussion Paper, No.57, 1-40.
  • Danthine, J. P. (1976). Information, Futures Prices, and Stabilizing Speculation.’ Journal of Economic Theory, 17(1), 79-98.
  • Charles C. Cox. (1976). Futures Trading and Market Information. Journal of Political Economy, Vol.84, No.6, 1215-1237.
  • Dutta, A. (2014). Modelling Volatility: Symmetric or Asymmetric GARCH Models? Journal of Statistics: Advances in Theory and Applications, 12(2), 99-108.
  • Enders, W. (2015). Applied Econometric Time Series. Fourth Edition, John Wiley&Sons, Inc., USA.
  • Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Model. Journal of Business & Economic Statistics, 20(3), 339-350.
  • Fan, X. and Du. D. (2017). The spillover effect between CSI 500 index futures market and the spot market. China Finance Review International, 7(2), 249-272.
  • Ghufran, B., Awan, H. M., Khakwani, A. K. and Qureshi, M. A. (2016). What Causes Stock Market Volatility in Pakistan? Evidence from the Field. Economics Research International, 2016, 1-9.
  • Glosten, L.R, Jagannathan, R. and Runkle, D. E. (1993). On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, XLVIII(5), 1779-1801.
  • Gök, İ. Y. and Kalaycı, Ş. (2014). BIST 30 Spot ve Futures Piyasalarında Güniçi Fiyat Keşfi ve Volatilite Yayılımı. Suleyman Demirel University The Journal of Faculty of Economics and Administrative Sciences, 19(3), 109-133.
  • Gulia, S. (2016). Testing of Relationship Between Trading Volume, Return and Volatility. Amity Global Business Review, 11: 96-102.
  • Hamilton, J. D. and Gang, L. (1996). Stock market Volatility and the Business Cycle. Journal of Applied Econometrics, 11(5), 573-593.
  • Hemche, O., Jawadi, F., Maliki, S. B. and Cheffou, A. I. (2016). On the Study of Contagion in the Context of the Subprime Crisis: A Dynamic Conditional Correlation-Multivariate GARCH Approach. Economic Modelling, 52, 292-299.
  • Hinojales, M. and Park, C. Y. (2011). Stock Market Integration: Emerging East Asia’s Experience. Devereux, M. B., Lane, P. R., Park, C. Y. and Wei, S. J. (eds.), The Dynamics of Asian Financial Integration. Routledge, Oxon.
  • Hiraki, T., Maberly, E. D. and Takezawa, N. (1995). The Information Content of end-of-the-day Index Futures Returns: International Evidence From the Osaka Nikkei 225 Futures Contract. Journal of Banking and Finance, 19(5), 921-936.
  • Hou, Y. and 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 and Finance, 66, 166-188.
  • Huo, R. and Ahmed, A. D. (2018). Relationships between Chinese stock market and its index futures market: Evaluating the impact of QFII scheme. Research in International Business and Finance, 44, 135-152.
  • Iihara, Y., Kato, K. and Tokunaga, T. (1996). Intraday Return Dynamics between the Cash and the Futures Markets in Japan. The Journal of Futures Markets, 16(2), 147-162.
  • Imegi, J. C. (2014). Impact of Financial Liberalization on Stock Market Volatility in Nigeria. Journal of Business and Retail Management Research, 8(2), 80-87.
  • International Monetary Fund (2003). Financial Asset Price Volatility: A Source Of Instability? Gobal Financial Stability Report: Market Developments and Issues.
  • James, G. A and Karoglou, M. (2010). Financial Liberalization and Stock Market Volatility: The Case of Indonesia. Applied Financial Economics, 20, 477-486.
  • Kang, S. H., Cheong, C. and Yoon, S. M. (2013). Intraday Volatility Spillovers between Spot and Futures Indices: Evidence from the Korean Stock Market. Physica A: Statistical Mechanics and its Applications, 392(8), 1795-1802.
  • Karabıyık, L and Anbar, A. (2010). Sermaye Piyasası ve Yatırım Analizi. Ekin Kitabevi, Bursa. Kassimatis, K. (2002). Financial Liberalization and Stock Market Volatility in Selected Developing Countries. Applied Financial Economics, 12, 389-394.
  • Kotkatvuori-Örnberg, J. (2016). Dynamic Conditional Copula Correlation and Optimal Hedge Ratios with Currency Futures. International Review of Financial Analysis, 47, 60-69.
  • Koutmos, G and Tucker, M. (1996). Temporal Relationships and Dynamic Interactions Between Spot and Futures Stock Markets. The Journal of Futures Markets, 16(1), 55-69.
  • Kurz, M., Jin, H. and Motolese, M. (2005). Determinants of Stock Market Volatility and Risk Premia. Annals of Finance, 1(2), 109-147.
  • Lafuente-Luengo, J. A. (2009). Intraday Realised Volatility Relationships between the S&P 500 Spot and Futures Market. Journal of Derivatives & Hedge Funds, 15(2), 116-121.
  • Lin, C. C., - Chen, S-Y., Hwang, D-Y. and Lin, C-F. (2002). Does Index Futures Dominate Index Spot? Evidence from Taiwan Market. Review of Pacific Basin Financial Markets and Policies, 5(2), 255-275.
  • Malhotra, M. and Sharma, D. K. (2016). Volatility Dynamics in Oil and Oilseeds Spot and Futures Market in India. Vikalpa: The Journal for Decision Makers, 41(2), 132-148.
  • Mathy, G. P. (2016). Stock Volatility, Return Jumps and Uncertainty Shocks during the Great Depression. Financial History Review, 23(2), 165-192.
  • Nelson, D. B. (1996). Modelling Stock Market Volatility Change. Rossi, P. E. (ed.), Modelling Stock Market Volatility, Academic Press, London, 3-15.
  • Okur, M. and Çevik, E. (2013). Testing Intraday Volatility Spillovers in Turkish Capital Markets: Evidence from ISE. Ekonomska Istražıvanja-Economic Research, 26(3), 99-116.
  • Özdemir, L. (2011). Vadeli İşlem Piyasası ile Spot Piyasa Oynaklığı Arasındaki İlişki: İzmir Vadeli İşlem ve Opsiyon Borsası Üzerine Bir Uygulama. Unpublished Doctoral Dissertation, Afyon Kocatepe Üniversitesi Sosyal Bilimler Enstitüsü, Afyon.
  • Özden, Ü. H. (2008). İMKB Bileşik 100 Endeksi Getiri Volatilitesinin Analizi. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 7(13), 339-350.
  • P. Sakthivel - B. Kamaiah, (2010). Price Discovery and Volatility Spillover Between Spot and Futures Markets: Evidence from India. The IUP Journal of Applied Economics, Vol.IX, No.2, 81-97.
  • Pak, Y., Kim, Y-J., Song, M. and Kim, Y-H. (2015). Shock Waves of Political Risk on the Stock Market: The Case of Korean Companies in the U.S. Development and Society, 44(1), 143-165.
  • Pati, P. C. and Rajib, P. (2011). Intraday Return Dynamics and Volatility Spillovers between NSE S&P CNX Nifty Stock Index and Stock Index Futures. Applied Economics Letters, 18(6), 567-574.
  • Patra, G. C. and Mohapatra, S. R. (2011). A Testing of Lead-lag Relationship between Nifty Spot and Futures Index Returns and Volatility. International Journal of Financial Management, 1(4), 13-22.
  • Paul, M. T. and Kimata, J. D. (2016). The Linkages, Persistence, Asymmetry in The Volatility, The Price Discovery and Efficiency and The Effect of The US Subprime Mortgage Financial Crisis on The Spot and The Futures Market’s Returns: The Case of India. Applied Economics, 48(8), 669-683.
  • Sadiq, M., Ahmad, S., Anjum, M. J., Suliman, M., Abrar, S-U. and Khan, S-U-R. (2013). Stock Price Volatility in Relation to Dividend Policy: A Case Study of Karachi Stock Market. Middle-East Journal of Scientific Research, 13(3), 426-431.
  • Schwert, G. W. (1989). Why Does Stock Market Volatility Change Over Time? The Journal of Finance, XLIV(5), 1115-1153.
  • Sehgal, S., Rajput, N. and Deisting, F. (2013). Price Discovery and Volatility Spillover: Evidence from Indian Commodity Markets. The International Journal of Business and Finance Research, 7(3), 57-75.
  • Sehgal, S. and Dutt, M. (2016). Domestic and International Information Linkages between NSE Nifty Spot and Futures Markets: An Empirical Study for India. Decision, 437(3), 239-258.
  • Tokat, E. and Tokat, H. A. (2010). Shock and Volatility Transmission in the Futures and Spot Markets: Evidence from Turkish Markets. Emerging Markets Finance & Trade, 46(4), 92-104.
  • Tse, Y. (1999), “Price Discovery and Volatility Spillovers in the DJIA Index and Futures Markets. The Journal of Futures Markets, 19(8), 911-930.
  • Wan, K-L. and Chen, M-L. (2007). The Dynamics in the Spot, Futures, and Call Options with Basis Asymmetries: An Intraday Analysis in a Generalized Multivariate GARCH-M MSKST Framework. Review of Quantitative Finance and Accounting, 29(4), 371-394.
  • Wang, Y-C. and Ho, W-R (2010). The Relationship of Price Volatility between TSE and TAIFEX Stock Indices Futures with Different Maturities. African Journal of Business Management, 4(17), 3785-3792.
  • Wang, Y-H. and Lin, C-T. (2008). Empirical Analysis of Political Uncertainty on TAIEX Stock Market. Applied Economics Letters, 15, 545-550.
  • Xie, S. and Huang, J. (2014). The Impact of Index Futures on Spot Market Volatility in China. Emerging Markets Finance & Trade, 50, 167-177.
  • Yang, J., Yang, Z. and Zhou, Y. (2012). Intraday Price Discovery and Volatility Transmission in Stock Index and Stock Index Futures Markets: Evidence from China. The Journal of Futures Markets, 32(2), 99-121.
  • Zhou, B. and Wu, C. (2016). Intraday Dynamic Relationships Between CSI 300 Index Futures and Spot Markets: A High-Frequency Analysis. Neural Comput & Applic, 27, 1007-1017.
  • Zhou, Z., Dong, H. and Wang, S. (2014). Intraday Volatility Spillovers between Index Futures and Spot Market: Evidence from China. Procedia Computer Science, 31, 721-730.
Toplam 70 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Araştırma Makalesi
Yazarlar

Esen Kara 0000-0002-5156-4653

Adem Anbar 0000-0001-8909-6851

Özer Arabacı Bu kişi benim 0000-0002-5434-2458

Yayımlanma Tarihi 31 Ocak 2022
Gönderilme Tarihi 17 Kasım 2020
Yayımlandığı Sayı Yıl 2022 Cilt: 20 Sayı: 43

Kaynak Göster

APA Kara, E., Anbar, A., & Arabacı, Ö. (2022). VOLATILITY SPILLOVER BETWEEN BIST 30 FUTURES AND SPOT MARKETS: A DCC-GARCH ANALYSES. Yönetim Bilimleri Dergisi, 20(43), 1-27. https://doi.org/10.35408/comuybd.827041

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