Spot ve Vadeli Piyasalar Arasında Risk Durumunda Nedensellik İlişkisi
Causal Relationships Between Spot and Futures Markets in Risk Situations

Summary/Abstract: In this study, it is aimed to analyze the causality relationships between spot and futures markets in terms of price volatilities. In this context, causality test which was suggested by Hong, Liu and Wang (2009) is applied. Hong’s test method consists of two stages. In the first stage, the first and second moments are estimated for the logarithmic return series. Then value at risk numbers are calculated for the return series for certain risk levels and the excess of VaR values are accepted is a risky period. In the second stage, the downside risk is investigated for the causality relationships between spot and futures markets for BIST 30 Index. Causality test results indicate that a causal relationship from spot market to futures markets. The conclusions reached in this study have an important role in determining the investment strategy of risk managers and portfolio managers. In the case of using futures contracts for hedging purposes, causality in risk situations becomes much more important.

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