Vadeli hisse senedi işlemlerinin spot piyasa üzerine etkisi: İMKB üzerine bir uygulama

One of the fundemantal problems of the Turkish financial market is high volatility and
therefore the occurance of relatively shallow market structure. In recent years, the rapid
capital flows seen in global markets have resulted in increasing amounts of transactions
in futures markets both for investment and speculation. The modelling of any interaction
between the spot and futures markets constitutes a great importance with regard to
determining the direction of information flow in these markets, price formation and risk
measuring.
The aim of this study is to empirically investigate how index futures contracts traded in
the Turkish Derivatives Exchange operating since February 2005 affect the price volatility
and trade volume in the spot stock market, namely Istanbul Stock Exchange. The
analyses are conducted by injecting dummies to the ARCH type models for index return
and trade volume series and results indicate no statistically signigicant change in the
index volatility, while trade volumes increase in the spot stock market. These results are
in line with many of the studies in the literature.