The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange

Abstract

One of the fundemantal problems of the Turkish financial market is high volatility and therefore the occurance of relatively shallow market structure. In recent years, the rapid capital flows seen in global markets have resulted in increasing amounts of transactions in futures markets both for investment and speculation. The modelling of any interaction between the spot and futures markets constitutes a great importance with regard to determining the direction of information flow in these markets, price formation and risk measuring.