Abstract:

The aim of the study is to examine the relations between the Bist 30 index and USD-TRY futures contracts traded in Borsa Istanbul and the underlying spot markets. In the study, which was carried out using daily logarithmic returns for the period of August 5, 2013-April 28, 2021, the lead-lag relationships between spot and futures markets and the price discovery function as well as volatility spillovers were tried to be revealed. Thus, it is aimed to shed light on which market the new information is priced in first, and therefore which market has the higher efficiency. Findings obtained from the VAR-BEKK-GARCH and VAR-DCC-GARCH models reveal the leadership of the spot market in the index and the presence of bidirectional interaction in the foreign exchange markets. Results also showes that dynamic conditional correlations between markets are significant and the effect of positive information on volatility is stronger.

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