Detection of Anomalies in Spot and Futures Markets and Their Directional Effects: An Analysis of the BIST 100 Index

The occurrence of market anomalies has been steadily increasing in contemporary stock markets, particularly within the context of the current economic climate.The volatility of stock markets, exacerbated by the recent inflation crisis, has heightened the need for anomaly detection and informed investment decisions.This study focuses on the BIST 100 index in Turkey, specifically examining the XU030 spot market and the XU030D1 futures market, where significant economic fluctuations are prevalent.The Three Sigma Rule was applied to establish threshold values for anomaly detection, and a directional impact analysis was conducted based on these thresholds.The findings indicate that a positive anomaly in the spot market leads to an average increase of 7.65% in the futures market, while a negative anomaly in the spot market results in an average decrease of 8.69% in the futures market.Conversely, a positive anomaly in the futures market has an average positive impact of 7.82% on the spot market, while a negative anomaly in the futures market results in an average negative impact of 3.99% on the spot market.These results underscore the interconnected nature of the spot and futures markets, particularly in times of economic volatility, and provide insights into how anomalies in one market can influence the other.The studys findings have significant implications for investors, highlighting the need for careful monitoring of market anomalies and their potential directional effects on investment strategies.