The main purpose of this comprehensive study is to determine the optimal hedge ratios and hedging effectiveness of different futures contracts traded on the Borsa Istanbul (BIST), namely the BIST 30 equity index, US dollar–Turkish lira currency futures (USD-TRY), euro–Turkish lira (EUR-TRY) currency futures, and gold futures. The efficiency of hedge ratios estimated through constant and time-varying econometric models, such as ordinary least squares (OLS) and diagonal VECH—a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model—are compared with a minimum variance hedge ratio framework. The periods before and after the merger of the Turkish Derivatives Exchange are analyzed with the models to capture changes in the hedging effectiveness of the contracts. We find that the diagonal VECH and constant models produce almost identical positive results for both periods, suggesting similar high hedging effectiveness for BIST 30 equity futures contracts. We conclude that BIST 30 equity futures contracts provide an efficient hedging mechanism for investors aiming to protect their spot equity portfolios. However, after Turkey's foreign exchange regulation amendment in 2017, the percentage of variance reduction improves greatly for the dynamic GARCH model, compared to the static OLS model, for USD-TRY and EUR-TRY futures contracts. Furthermore, the hedging effectiveness of currency futures contracts is negatively affected during the COVID-19 pandemic period beginning in 2020. Unlike other contracts, the hedging effectiveness of gold contracts is low in all periods.

这项综合研究的主要目的是确定在伊斯坦布尔证券交易所 (BIST) 交易的不同期货合约的最佳对冲比率和对冲有效性，即 BIST 30 股票指数、美元-土耳其里拉货币期货 (USD-TRY)、欧元-土耳其里拉 (EUR-TRY) 货币期货和黄金期货。将通过常数和时变计量经济学模型（例如普通最小二乘法 (OLS) 和对角线 VECH（一种多元广义自回归条件异方差 (GARCH) 模型）估计的对冲比率的效率与最小方差对冲比率框架进行比较。使用模型分析土耳其衍生品交易所合并前后的时期，以捕捉合约对冲有效性的变化。我们发现，对角线 VECH 和常数模型在两个时期产生几乎相同的积极结果，表明 BIST 30 股票期货合约具有相似的高对冲有效性。我们得出结论，BIST 30 股票期货合约为旨在保护其现货股票投资组合的投资者提供了一种有效的对冲机制。然而，在土耳其于 2017 年修订外汇法规后，与静态 OLS 模型相比，动态 GARCH 模型对于 USD-TRY 和 EUR-TRY 期货合约的方差减少百分比大大提高。此外，货币期货合约的对冲有效性在 2020 年开始的 COVID-19 大流行期间受到负面影响。与其他合约不同，黄金合约的对冲有效性在所有时期都较低。