RETURN AND VOLATILITY INTERACTION BETWEEN FUTURE AND SPOT MARKETS: AN APPLICATION ON BORSA ISTANBUL

Öz

The main purpose of this study is to determine the interaction of return and volatility between futures and spot markets. In this respect, the daily data of the BIST 30 Futures, BIST 100, BIST 30, BIST Bank, BIST Services, BIST Tourism and BIST Industry indices traded on spot markets with the BIST 30 futures contracts index for the period 29.06.2012-28.07.2021 were used. The interaction of return and volatility between futures and spot markets is analyzed with the help of VAR-EGARCH model. As a result of the analyzes made, a one-way return interaction with BIST Bank, BIST Service, BIST 100, BIST Industry and BIST 30 Term is realized. There is a one-way volatility spread towards BIST 100, BIST 30, BIST Bank, BIST Tourism, BIST Industry and BIST 30 Futures. There is a bidirectional volatility spread only between BIST Service and BIST 30 Futures.

Anahtar Kelimeler

• Futures Makets,
• Spot Markets,
• VAR-EGARCH

VADELİ VE SPOT PİYASALAR ARASINDAKİ GETİRİ VE VOLATİLİTE ETKİLEŞİMİ: BORSA İSTANBUL ÜZERİNE BİR UYGULAMA

Öz

Bu çalışmanın temel amacı vadeli ve spot piyasaları arasındaki getiri ve volatilite etkileşimi belirlemektir. Bu doğrultuda BIST 30 vadeli işlem sözleşmeleri endeksi ile spot piyasalarında işlem gören BIST 30 Vadeli, BIST 100, BIST 30, BIST Banka, BIST Hizmet, BIST Turizm ve BIST Sanayi Endekslerinin 29.06.2012 – 28.07.2021 dönemine ait günlük verileri kullanılmıştır. Vadeli ve spot piyasaları arasındaki getiri ve volatilite etkileşimi VAR-EGARCH modelinin yardımıyla analiz edilmiştir. Yapılan analizler sonucunda BIST Banka, BIST Hizmet, BIST 100, BIST Sanayiye ile BIST 30 Vadeli tek yönlü getiri etkileşimi gerçekleşmektedir. BIST 100, BIST 30, BIST Banka, BIST Turizm, BIST Sanayi ile BIST 30 Vadeli doğru tek yönlü volatilite yayılımı mevcuttur. Elde edilen bulgulara göre sadece BIST Hizmet ile BIST 30 Vadeli arasında çift yönlü volatilite yayılımı bulunmaktadır.

Anahtar Kelimeler

• Vadeli Piyasalar,
• Spot Piyasaları,
• VAR-EGARCH

Kaynakça

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