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Journals / Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi / 2018 / Cilt: 21 - Sayı: 40

Analysis of Relationship Between BIST-100 and BIST Sector Indices with VIX Index

BİST-100 VE BİST SEKTÖR ENDEKSLERİ İLE VIX ENDEKSİ ARASINDAKİ İLİŞKİSİNİN ANALİZİ

Şakir SAKARYA
Hilmi Tunahan AKKUŞ
Pages
351–374
Publication Date
2018-12-15
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

According to Toda-Yamamoto causality test results, one-way causality relation was found from VIX index towards XU100, XBANK, XUMAL and XUTEK indices.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The VIX index is an important index used as an indicator for estimating future expected movements of capital markets worldwide.
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Key Findings & Data:The aim of this study is to determine the causality relation between the VIX index, the BIST National 100 index and the BIST sectoral indices (Bank, Financial and Technology) for the period between 05.01.2010-22.06.2018.
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Conclusion & Impact:According to Toda-Yamamoto causality test results, one-way causality relation was found from VIX index towards XU100, XBANK, XUMAL and XUTEK indices.
🔬Design:Research Article
📍Scope:2010 Verileri
⚙️Variables:VIX Index · ARDL Boundary Testing · Toda-Yamamoto Causality Test

Abstract

The VIX index is an important index used as an indicator for estimating future expected movements of capital markets worldwide. The aim of this study is to determine the causality relation between the VIX index, the BIST National 100 index and the BIST sectoral indices (Bank, Financial and Technology) for the period between 05.01.2010-22.06.2018. ADF and PP unit root tests, ARDL boundary test and Toda-Yamamoto causality test were used for analysis. According to the cointegration test results, there is a long and statistically significant relationship between VIX index and BIST National 100 (XU100), BIST Bank (XBANK), BIST Financial (XUMAL) and BIST Technology (XUTEK) indices. According to Toda-Yamamoto causality test results, one-way causality relation was found from VIX index towards XU100, XBANK, XUMAL and XUTEK indices.

Özet

VIX endeksi, tüm dünyada menkul kıymet piyasalarının gelecekteki beklenen hareketlerinin tahmini için gösterge olarak kullanılan önemli bir endekstir. Bu çalışmanın amacı, 05.01.2010-22.06.2018 tarihleri arasındaki dönem için VIX endeksi ile BİST Ulusal 100 endeksi ve BİST sektörel endeksler (Banka, Mali ve Teknoloji) arasındaki nedensellik ilişkisinin tespit edilmesidir. Analiz yöntemleri olarak ADF ve PP birim kök testleri, ARDL sınır testi ve Toda-Yamamoto nedensellik testi kullanılmıştır. Çalışmadan elde edilen eşbütünleşme testi sonuçlarına göre, VIX endeksi ile BİST Ulusal 100 (XU100), BİST Banka (XBANK), BİST Mali (XUMAL) ve BİST Teknoloji (XUTEK) endeksleri arasında uzun dönemli istatistiksel olarak anlamlı bir ilişki bulunmaktadır. Toda-Yamamoto nedensellik testi sonuçlarına göre ise, VIX endeksinden XU100, XBANK, XUMAL ve XUTEK endekslerine doğru tek yönlü nedensellik ilişkisi bulunmuştur.

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Cite This Article

SAKARYA, Ş., AKKUŞ, H. T. (2018). Analysis of Relationship Between BIST-100 and BIST Sector Indices with VIX Index. Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, Cilt: 21 - Sayı: 40, 351–374. https://ajindex.com/articles/107641

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