@article{2017,title={THE RELATIONSHİP BETWEEN FUTURES MARKET AND STOCK MARKET VOLATILITY: AN APPLICATION ON IZMIR FUTURES AND OPTIONS MARKET},abstractNode={Volatilities in financial markets increase the importance of risk management and futures markets in terms of investors. Derivative market interacts with the spot markets continously. Therefore, the question of how the direction of the interaction between the two markets turns out to be an important research topic for academicians, brokers and market makers. For that reason, this study aims to investigate the relationship between the derivative market and the stock market volatility by using the data belonging to the period of 02.05.2005-30.07.2010. In this study, to analyze the causality relation between the futures market and stock market volatility, firstly the time series are examined whether they are stationary. In order to model stock market volatility after the stationarity test, linear static stochastic models (ARMA) and general autoregressive conditionally varying variance (GARCH) models are applied. Then, the Granger causality test is used to see whether there is a relationship between the futures market and stock market volatility. In the result of the study, two-way causality relation is found between the futures market and stock market volatility.},author={Letife ÖZDEMİR},year={2017},journal={The Journal of Academic Social Science}}