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AI Summary & Key Takeaways
AI Insight⚡ TL;DR(Too Long; Didn't Read)
But, there is not lead-lag relationshipbetween spot and futures markets; there is two-way causality between spot andfutures markets.
📌 3 Key Takeaways
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Objective & Hypothesis: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.
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Key Findings & Data:The results of these tests have been reached that spot andfutures markets are cointegrated.
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Conclusion & Impact:But, there is not lead-lag relationshipbetween spot and futures markets; there is two-way causality between spot andfutures markets.
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Futures Markets · TurkDEX · Lead-Lag Relationship
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.
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Cite This Article
ERSOY, E., BAYRAKDAROĞLU, A. (2013). The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts. Istanbul Business Research, Cilt: 42 - Sayı: 1, 26–40. https://ajindex.com/articles/91064