The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts

Abstract

The aim of this study is to investigate whether there is a lead-lag relationship between spot and futures markets using daily closing prices belonging to the Istanbul Stock Exchange 30 (ISE 30) Index and Turkish Derivatives Exchange (TurkDEX)-ISE 30 index future contracts. For the analysis, Johansen Cointegration Test, Vector Error Correction Model and causality tests are employed. The results of these tests have been reached that spot and futures markets are cointegrated. But, there is not lead-lag relationship between spot and futures markets; there is two-way causality between spot and futures markets.