The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts

ERSAN ERSOY, ALİ BAYRAKDAROĞLU
855 312

Abstract


The aimof this study is to investigate whether there is a lead-lag relationshipbetween spot and futures markets using daily closing prices belonging to theIstanbul Stock Exchange 30 (ISE 30) Index and Turkish Derivatives Exchange(TurkDEX)-ISE 30 index future contracts. For the analysis, JohansenCointegration Test, Vector Error Correction Model and Granger Causality Testsare employed. The results of these tests have been reached that spot andfutures markets are cointegrated. But, there is not lead-lag relationshipbetween spot and futures markets; there is two-way causality between spot andfutures markets.

Keywords


Futures Markets, TurkDEX, Lead-Lag Relationship, Fiyat Keşfi

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