Volatility Spillovers between Spot and Futures Markets and the Analysis of Their Persistence

Öz

Futures markets and spot markets of the underlying assets are closely interrelated. These relationships are observed on the basis of prices and returns, or in terms of risk transmissions. One of the important risk sources for investors is volatility spillovers between markets. Determining volatility spillovers between markets plays an important role in estimating the future volatility of the markets. Volatility spillovers, which occur due to many different factors such as information transfer between markets, volatility shocks, sudden price changes in the markets, and increased integration, can occur mutually or from one market to another. On the other hand, these spillovers may be temporary or permanent. In this context, the aim of the study is to test the existence of volatility spillovers between spot and futures stock markets in 27 developed and developing countries and to determine the direction and persistence structure of the spillovers for the period from January 4, 2000, to March 25, 2025. In line with the determined purpose, the Hafner and Herwartz (2006) causality-in-variance test and the causality-in-variance test extended with Fourier functions were applied in the study. The results show that there are volatility spillovers between spot and futures markets in almost all of the countries considered, and these spillovers are bidirectional for 21 countries. Also, it was determined that most of the volatility spillovers are persistent in nature.

Anahtar Kelimeler

• Stock Markets
• Causality in Variance
• Persistency

Spot ve Future Piyasalar Arasındaki Oynaklık Yayılımları ve Yayılımların Kalıcılığının Analizi

Öz

Future piyasalar ve dayanak varlığa ait spot piyasalar birbiriyle yakından ilişkilidir. Bu ilişkiler fiyatlar ve getiriler bazında veya risk geçişleri olarak gözlemlenmektedir. Yatırımcılar için önemli risk kaynaklarından biri piyasalar arasındaki oynaklık yayılımlarıdır. Piyasalar arasındaki oynaklık yayılımlarının belirlenmesi, piyasaların geleceğe ilişkin oynaklık tahmininde önemli bir rol oynamaktadır. Piyasalar arasındaki bilgi aktarımı, piyasalarda meydana gelen oynaklık şokları ve ani fiyat değişimleri, artan entegrasyon gibi pek çok farklı faktöre bağlı olarak ortaya çıkan oynaklık yayılımları karşılıklı veya bir piyasadan diğerine doğru gerçekleşebilmektedir. Öte yandan, bu yayılımlar geçici olabilmekte veya kalıcılık sergileyebilmektedir. Bu bağlamda çalışmanın amacı, 4 Ocak 2000-25 Mart 2025 tarihleri arasında 27 gelişmiş ve gelişmekte olan ülkede spot ve future hisse senedi piyasaları arasındaki oynaklık yayılımlarının varlığının sınanması, yayılımların yönünün ve kalıcılık yapısının belirlenmesidir. Belirlenen amaç doğrultusunda çalışmada Hafner ve Herwartz (2006) varyansta nedensellik testi ve Li ve Enders (2018) Fourier fonksiyonları ile genişletilmiş varyansta nedensellik testi uygulanmıştır. Sonuçlar, ele alınan ülkelerin hemen hepsinde spot ve future piyasalar arasında oynaklık yayılımları bulunduğunu ve 21 ülkede bu yayılımların karşılıklı olduğunu ortaya koymuştur. Ayrıca oynaklık yayılımlarının çoğunun kalıcı nitelikte olduğu tespit edilmiştir.

Anahtar Kelimeler

• Hisse Senedi Piyasaları
• Varyansta Nedensellik
• Kalıcılık

Kaynakça

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