Özet:

This study aimed to investigate the causality structure between the futures market and the spot market, and to test the basic principles and hypotheses of finance that can be related to the framework of the given relationship. For this purpose, spot and forward price series of BIST 30 Index and USD/TL and Euro/TL rates in the period covering 04.01.2010-31.12.2020 (2764 observations) were examined. Ruble/TL and Yuan/TL spot and futures price series were also included in the analysis in the period of 11.08.2017-31.12.2020 (875 observations). For each variable group, Granger Causality Analysis was applied to the variables after determining the short/long relationship between them with the VAR (Vector Autoregressive Regression) or VECM (Vector Error Correction Model) process according to the level of stationarity of the series. When the analysis results are analyzed at the 0.05 significance level, the variables Euro/TL, Ruble/TL and Yuan/TL are bidirectional; In the BIST 30 Index, from the spot market to the futures market; For the USD/TL rate, it was concluded that there is a causal relationship from the forward market to the spot market. According to the results obtained, the assumptions of the Efficient Market Hypothesis and the Diversification opportunity are not supported among the researched markets; The Transport Cost Hypothesis is supported in Euro/TL, Ruble/TL and Yuan/TL markets; It can be stated that the Transaction Cost and Leverage Hypothesis is supported only between the markets of USD/TL rate.

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