Determination on the factors affecting futures contracts on the basis of returns, volume and volatility and empirical applications on analysis of their effects

Investors face a number of financial and non-financial risks. For this reason, they prefer futures markets in order to avoid the financial risks they may face in the future. Therefore, it is important for investors to determine the factors affecting the futures contracts traded in these markets. This study has two aims. Firstly to examine macroeconomic variables that affecting Viop30, Dollar and Euro futures contracts traded in futures and options markets in January 2013-December 2017 on the basis of price, return, volume and volatility by using stepwise regression, Granger causality and ARDL analysis methods. In this way, it is aimed to observe the differences that may occur in the results by performing the analysis with different methods. The second aim is to investigate the existence or non-existence of day-of-week, month-of-year and seasonal anomalies on the returns, volume and volatility of mentioned futures contracts. The analysis concluded that some macroeconomic variables had a statistically significant relationship with the price, return, volume and volatility of futures contracts, while had no significant relationships with others. According to the results of the analysis regarding the existence of anomalies, while some findings regarding the existence of anomalies examined in some types of contract were obtained, the existence of some anomalies was not observed. It is thought that the results of the analysis will contribute to the performance of portfolio managers, to manage the risks of investors who want to avoid the risk, as well as to develop investment strategies based on the type of anomaly seen in the relevant market, as well as using technical analysis methods while investing in inefficient markets.