VOLATILITY SPILLOVER BETWEEN BIST 30 FUTURES AND SPOT MARKETS: A DCC-GARCH ANALYSES

Authors : Esen KARA, Adem ANBAR, Özer ARABACI

Pages : 1-27

Doi:10.35408/comuybd.827041

View : 29 | Download : 13

Publication Date : 2022-01-31

Article Type : Research Paper

Abstract :Investors should be aware of the information flow across the markets to develop investment policies. The volatility spillover relationships between spot and futures markets includes significant knowledge for the composition of optimal portfolios. In the present study, the relationship between spot and futures markets in Turkey was investigated based on BIST 30 index end-of-day price data for the period between February 2, 2006, and April 30, 2020. The volatility spillover effects and the time-varying dynamic conditional relationships between the markets were investigated with the DCC-GARCH model. The findings reveal the existence of a two-way volatility spillover between markets and a strong dependency between markets’ return volatilities. In addition, the effect of negative and positive shocks on market volatility was analyzed with the GJR-GARCH model and the results demonstrated that both markets responded strongly to negative shocks when compared to positive shocks.
Keywords : Futures Market, Spot Markets, Volatility Spillover, BIST 30 Index, DCC GARCH Model