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Abstract
The aim of this article is to examine the presence of volatility transmission between futures index and underlying stock index by using intraday data in Turkey. We first examined the sudden changes in the variance of futures index return and the underlying spot index return. Then we employed the causality in the variance tests proposed by Hong (2001) and Hafner and Herwartz (2006). According to the empirical results, the spot market was found to be Granger cause of futures market and this result suggests that the spot market plays a more dominant role in the price discovery process in Turkey.
Sažetak
Cilj ovog rada je istražiti prisutnost prijenosa volatilnosti između indeksa terminskih ugovora i temeljnog indeksa dionica koristeći unutardnevne podatke u Turskoj. Najprije smo istražili iznenadne promjene u varijanci zarade na terminskim ugovorima i zarade na temeljnom spot indeksu. Nakon toga smo upotrijebili kauzalnost u testovima varijance kojeg su ponudili Hong (2001) i Hafner i Herwartz (2006). Sudeći po empirijskim rezultatima, spot tržište (tržište trenutačnih isporuka) se ispostavilo Grangerovim uzrokom tržišta terminskih ugovora a taj rezultat ukazuje na to da spot tržište igra nešto dominantniju ulogu u procesu otkrivanja cijena u Turskoj.