Causality Relationship Between Futures and Spot Markets: The Case of Borsa Istanbul

The aim of this study is to determine the relationship between futures markets and spot markets. For this purpose, the causal relationship between the futures and the spot markets was investigated with the daily closing data of the futures contracts on BIST 30 Index and indexes selected from the spot market for the period of 29.06.2012-08.03.2018. As a result, it was determined that there was no Granger causality from futures markets to spot markets but there was Granger causality from spot markets that is BIST100, BIST 30 and BIST Bank indexes to futures markets