Spot Ve Vadeli Işlem Fiyatlarinin Varyanslari Arasindaki Nedensellik Testi [Causality in variance test between spot and futures prices]

Volatility in financial markets urges importance of risk management with respect to investors and especially firms. Information and interaction between spot and futures markets plays an important role on formation of market prices. In this study, causality and information flows are examined on spot and futures prices of ISE 100 Index, US Dollar, and Euro which are traded at Turkish Derivatives Exchange (VOB). Dynamic causality test that is originally created by Cheung and Ng (1996) is applied. Dynamic causality test results show that in the ISE 100 Index model spot prices affect futures prices and in the exchange model futures prices affect spot prices.