| In this study, it has been investigated by Granger causality test whether the changes in VIOP BIST30 index futures contract trading volume have been caused by changes in index collateral amount by using daily data in the period 27.11.2018 – 27.05.2020. Firslyt, the logarithmic returns of the variables have been taken and series distributions have been presented in graphical form, then descriptive statistics and correlation relations between the variables have been mentioned. After the general tests, the main tests to be used in the study have been passed. First of all ADF and PP unit root tests have been performed and the stationary of the series have been tested, then the optimal delay length has been determined and the Vector Autoregressive Model (VAR) has been established. Autocorrelation test, varying variance test and AR root tests which are diagnostic tests of the VAR model, have been also included. In addition to these tests, effect-response and variance decomposition tests have been used to determine the effects of variables on each other. After all these explanatory tests, the Granger causality test has been applied. In order to ensure the integrity of the study, all tests have been described in detail. According to the analysis results obtained, the changes in the trading volume of VIOP BIST30 index futures contract in the period covered consideration are not due to changes in the collateral amount. In other words, changes in the collateral amount do not affect the trading volume. On the other hand, it is seen that in the periods when the risk and volatility increase in the markets and the uncertainty occurs, more trading volume has been realized in the derivative markets. |
Turkish
