The Volatility Relationship Between Stock Indices and Index Futures: A Comparative Analysis Between Türkiye and World Examples

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dc.contributor.authorEraslan, Mehmet
dc.contributor.authorKoç, Selahattin
dc.date.accessioned2024-10-26T17:42:37Z
dc.date.available2024-10-26T17:42:37Z
dc.date.issued2022
dc.departmentSivas Cumhuriyet Üniversitesi
dc.description.abstractIn studies conducted to investigate the relationship between futures and spot market, generally the volatility relationship between futures and spot market has been investigated and it has been understood that futures reduce spot market volatility. In this study, the volatility relationship between futures and the spot market has been investigated on the basis of spot indices and futures that these indices are the underlying asset. In investigating the volatility relationship between both markets, spot indices of BIST 30 from Türkiye, DAX 30 from Germany and S&P 500 from the United States and futures contracts on which these indices are the underlying asset were used. The volatility relationship between markets has been analyzed using GARCH, TARCH, EGARCH and PARCH models. The findings obtained during the implementation phase revealed that there was a bidirectional volatility relationship between both markets in the period covering the years 2006-2021. However, this two-way relationship is not statistically significant because the coefficients of the explanatory variables in the conditional variance equation are very small.
dc.identifier.doi10.37880/cumuiibf.1084248
dc.identifier.endpage671
dc.identifier.issn1303-1279
dc.identifier.issue2
dc.identifier.startpage655
dc.identifier.trdizinid1112781
dc.identifier.urihttps://doi.org/10.37880/cumuiibf.1084248
dc.identifier.urihttps://search.trdizin.gov.tr/tr/yayin/detay/1112781
dc.identifier.urihttps://hdl.handle.net/20.500.12418/24707
dc.identifier.volume23
dc.indekslendigikaynakTR-Dizin
dc.language.isoen
dc.relation.ispartofCumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectVolatility
dc.subjectIndex futures
dc.subjectSpot index
dc.subjectGARCH models
dc.titleThe Volatility Relationship Between Stock Indices and Index Futures: A Comparative Analysis Between Türkiye and World Examples
dc.typeArticle

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