Özet:

Thanks to global financialization, gold has become the world's most liquid trading entity. Gold plays a vital role in short and long term investment decisions for portfolio managers. In order to protect against risks arising from fluctuations in gold prices and to better manage risk, investors evaluate futures markets. The role of price discovery in the futures markets and the possibility of reducing certain risks increase the importance of researching the relationship between spot and futures prices. The purpose of this study is to determine whether there is a relationship between the Gold spot market and the Gold futures market. For this purpose, the relationship between the two markets is analyzed by using Johansen Cointegration analysis and Vector Error Correction Model (VECM) using the daily data of the period 02.01.2009 - 31.05.2018. Unit root tests show that each series is not stationary at the level values and that the first differences of the series are stationary. The results of the cointegration analysis show that there is a long term equilibrium relationship between the gold spot market and the gold futures market and it is a single cointegration vector. To determine the causality relationship between the series, vector error correction model was used and it was determined that there is a bidirectional causality relationship between the gold spot market and the gold futures market. These results show that markets are integrated with each other and mutual information flow is provided.