Özet:

Financial data has a complex structure that includes intrinsic releases, sudden changes and the components of the trend that change relatively more slowly. The wave analysis creates time-frequency graphs that contain changes in the components the data has by separating the components concerned. Thus, in order to reveal the dynamics in the data, it is possible to analyze the change of emissions according to time, period and emission intensity. In this study, the causality relationship between the BIST-30 index and the index-term trading contracts was studied taking into account the time size. The BIST 30 index is the main index for the capital markets in Turkey. In this scope, the index, manufacturing industry, banking and financial institutions, including companies operating in many sectors such as retail, Turkey provides an important indicator for capital markets. The determining effect of spot prices on deadline trading prices is seen through this index. In this study, the non-parametric Granger causality test was carried out on the basis of the continuous wave conversion for 1613 daily data in the period 02.07.2012 - 30.11.2018 in order to determine the causality relationship between the BIST-30 Index and the index deadline contractual prices. It was used by the MATLAB program. The data sets used in the study are provided at www.investing.com. The study found that 16 days, 16-128 days periodic, 16-32 days periodic volatility and 256 days and longer periodic volatility, the direction and severity of causality differed by political and financial reasons, and that the causality relationship studied at periodic level appeared in global markets. Therefore, the gameplay of the financial markets varies depending on time, the interesting results of the study that investors determine the deadline trading prices when taking spot positions, the relationships between spot and deadline prices should be taken into account in the future periods of investment.

Özet:

Financial data frequently usually have complex nature consisting slowly changing trends, oscillations interspersed with abrupt changes. Wavelet analysis is useful to distract oscillations and produce time – frequency visualization of data efficiently. Thus, changes in data can be evaluated based on the changes in timing, frequency, and amplitudes of oscillations to reveal the dynamics of data. In this context, the causality relationship between BIST-30 index and index futures contracts was examined by taking into consideration the time dimension. BIST 30 index, is a main index for Turkey's capital markets. BİST 30 index contains various sectors such as manufacturing industry, banking and financial institutions and retail industry. This index is a significant indicator for Turkey capital markets. We can determine the effect of spot prices on future contracts by this index. We use Matlab for analysis. The data sets used in the study were obtained from www.investing.com. This study investigates the causality relationship between BIST-30 spot index and corresponding futures contract for the period of 02.07.2012 – 30.11.2018 with total of daily 1613 observations. This study uses continuous wavelet transformation based nonparametric Granger causality test. This study finds that both direction and amplitude of the causality pattern vary based on fluctuations with the period of 16 days, the periods between 16-128 days, and the periods larger than 256 days. These patterns occur mainly due to political, economics, and financial reasons, which also have effects on global markets. As a result, we found that financial markets volatility change in time, investors can determine the prices of the future contracts with spot prices and have to take care relations between spot and futures prices for future investments

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