Özet:

The main purpose of this study is to determine the interaction of return and volatility between futures and spot markets. In this respect, the daily data of the BIST 30 Futures, BIST 100, BIST 30, BIST Bank, BIST Services, BIST Tourism and BIST Industry indices traded on spot markets with the BIST 30 futures contracts index for the period 29.06.2012-28.07.2021 were used. The interaction of return and volatility between futures and spot markets is analyzed with the help of VAR-EGARCH model. As a result of the analyzes made, a one-way return interaction with BIST Bank, BIST Service, BIST 100, BIST Industry and BIST 30 Term is realized. There is a one-way volatility spread towards BIST 100, BIST 30, BIST Bank, BIST Tourism, BIST Industry and BIST 30 Futures. There is a bidirectional volatility spread only between BIST Service and BIST 30 Futures.

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