Abstract:

With this study, it is aimed to analyze the interaction between derivatives and spot markets using VOB- IMKB 30, VOB-TL/Dollar Futures Contracts data. Short and long term dynamics between market prices have been researched by the VAR (Vector Autoregressive Regression) Model. According to the general findings of research, including the period of 02.01.2006 – 30.12.2011, causality is unidirectional for IMKB 30 index and bidirectional for USD dollars when short term relations are considered for both variable groups. When the analysis has been done by dividing the analyzed period to sub-periods, it has been observed that there is an effect from derivatives market to spot market for the latest years while there is an interaction from spot market towards derivatives market for the early years.

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