Abstract:

ABSTRACT This study investigates short-run relationships among spot and derivatives market (including futures and options market) in Turkey. We examine the relationships among BIST-30 Index, BIST-30 Index Futures and BIST-30 Index Options by employing Granger causality and variance decomposition tests for the period from April 4, 2013 and December 31, 2015 by using daily data. Our results show that there is a two-way granger causality relationship between the spot and futures market. However, the effect from spot market to futures market is stronger than the effect from futures market to spot market indicating a weak arbitrage opportunity. On the other hand, we observe a one-way causality from options market to other two markets, which is quite weak.  

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