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The Feature of Being Leading Indicator of Futures and Spot Markets That Based on Share Market: Evidence From Istanbul Stock Exchange

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  • Abdulkadir KAYA

Abstract

The aim of this study is to demonstrate that the share market based futures and spot markets reflect the information at faster prices and are the leading indicators to other markets. For this purpose, the BIST 30 Futures Index and the indexes selected from the share market were used in the analyzes by calculating the growth rates of the daily closing data for the period of 02.07.2012-28.04.2017. In the study, Granger causality test, VAR analysis, Variance decomposition analysis were made and effect response graphs were created. As a result of the study, it was determined that the futures and spot market move together in the long run, the futures market affects the spot markets in general, the causality effect is positive.

Suggested Citation

  • Abdulkadir KAYA, 2016. "The Feature of Being Leading Indicator of Futures and Spot Markets That Based on Share Market: Evidence From Istanbul Stock Exchange," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 10(1), pages 35-64.
    • Handle: RePEc:bdd:journl:v:10:y:2016:i:1:p:35-64
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    More about this item

    Keywords

    Futures Market; Spot Market; Leading Indýcator; Borsa Istanbul;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics

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