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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(BALIKESİR ÜNİVERSİTESİ)0000-0003-2510-7384
Hilmi Tunahan Akkuş(BALIKESİR ÜNİVERSİTESİ)0000-0002-8407-1580
Pages
351–374
Publication Date
2018-12-15
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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

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Objective & Hypothesis:Normal 0 21 false false false TR X-NONE X-NONE /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Normal Tablo"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-priority:99; mso-style-parent:""; mso-padding-alt:0cm 5.4pt 0cm 5.4pt; mso-para-margin:0cm; mso-para-margin-bottom:.0001pt; mso-pagination:widow-orphan; font-size:10.0pt; font-family:"Calibri","sans-serif";} 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:Araştırma Makalesi
📍Scope:2010 Verileri
⚙️Variables:VIX Endeksi · ARDL Sınır Testi · Toda-Yamamoto Nedensellik Testi

Abstract

Normal 0 21 false false false TR X-NONE X-NONE /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Normal Tablo"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-priority:99; mso-style-parent:""; mso-padding-alt:0cm 5.4pt 0cm 5.4pt; mso-para-margin:0cm; mso-para-margin-bottom:.0001pt; mso-pagination:widow-orphan; font-size:10.0pt; font-family:"Calibri","sans-serif";} 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.

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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://doi.org/10.31795/baunsobed.492470

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