Özet:

The deregulation and financial liberalization have caused the increase of price volatility, interest and exchange rate risks. Managers and investors have started using derivatives to manage their risks. Since derivatives markets interact continuously with spot markets, the effect of derivatives markets on spot market volatility has become an important research topic. In this study, the impact of the derivatives markets on the Turkish spot market volatility and liquidity has been examined from January 2001 to December 2014 period. For this purpose, the impact of these futures contracts on spot market volatility and liquidity has been examined using EGARCH model and ARMA model respectively. It is found that derivatives markets reduce the spot market volatility and that they do not have a significant effect on the volume of the spot market. Furthermore, it is found that while an unexpected future trading volume increase the spot market volatility, an expected future trading volume does not have a significant impact on the spot market volatility.

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