Relationship between futures contracts and macroeconomic variables: viop30 and dollar futures contracts application
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Date
2021
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Abstract
As a result of the fluctuations in financial markets and an increase ofuncertainties in markets, the investors are obliged to make effective risk management. Dueto this obligation, one of the methods preferred by investors in managing their risks has beento perform their transactions in futures markets. In this context, the aim of the study is todetermine the macroeconomic dynamics that affect the VIOP30 and Dollar futures contractstraded in the Futures and Options Market in January 2013 and December 2017, based onreturn and volatility. For this purpose, monthly frequency data of 11 macroeconomicvariables, which are frequently used in the related literature and expected to affect returnand volatility, were used. In the study, the relationship between variables was examined bythe ARDL bounds testing method. In the results of the study, while there were statisticallysignificant results in the short and long term between some macroeconomic variables andthe futures contract returns and volatility in question, no significant results were obtainedwith some variables. It is thought that the findings will contribute to the related literature.