Özet:

The subject of this study is the analysis of the volatility effect of stock index futures on stock indices. This study aims to determine the direction of the volatility effect of index futures on spot indices. For this purpose, a data set including selected samples from Asia-Pacific countries was created. In this study, the indices of S&P/ASX 200 (Australia), FTSE/KLCI (Malaysia), NIFTY 50 (India), TOPIX (Japan), KOSPI 200 (Korea) and futures contracts on which these indices are the underlying asset, between 01 January 2006 - 26 February 2022 closing (settlement) prices were used. The main purpose of this study is to examine the volatility effect of stock index futures selected from Asia-Pacific countries on spot stock indices by econometric methods, to make comparisons between indices and to evaluate the analysis results. Since Autoregressive Conditional Heteroskedasticity (ARCH) Models are used for volatility estimates regarding returns and trading volumes, the volatility effect of stock index futures on spot stock indices was analyzed with GARCH, TARCH, EGARCH and PARCH models. All the findings obtained during the implementation phase showed that index futures decreased the spot index volatility in the period covering the years 2006-2022.

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