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Journals / Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu Dergisi / 2026 / Cilt: 29 Sayı: 2026

The Volatility Analysis of Exchange-Traded Funds Under the DXY Index

DXY Endeksi Altında Borsa Yatırım Fonlarının Volatilite Analizi

İsmail Şencan0000-0002-9349-9669
Pages
58–69
Publication Date
2026-05-04
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AI Summary & Key Takeaways

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

The analysis results showed that the DXY Index had a positive effect on the volatility of Türkiye's ETF and a negative effect on the volatility of all other countries' ETFs.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In recent years, the popularity of Exchange-Traded Funds (ETFs), which emerged as a result of developments in financial engineering, has increased and they have become a global financial instrument for passive investments.
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Key Findings & Data:In this context, the volatility dynamics of ETFs of four different countries (the UK, Brazil, the US, and Türkiye) traded in the US markets, under the impact of the Dollar Index (DXY), were analyzed using the CCC GARCH-X model.
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Conclusion & Impact:The analysis results showed that the DXY Index had a positive effect on the volatility of Türkiye's ETF and a negative effect on the volatility of all other countries' ETFs.
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Porföy Çeşitlendirme · ETF · DXY Endeksi

Abstract

In recent years, the popularity of Exchange-Traded Funds (ETFs), which emerged as a result of developments in financial engineering, has increased and they have become a global financial instrument for passive investments. In this context, the volatility dynamics of ETFs of four different countries (the UK, Brazil, the US, and Türkiye) traded in the US markets, under the impact of the Dollar Index (DXY), were analyzed using the CCC GARCH-X model. The analysis results showed that the DXY Index had a positive effect on the volatility of Türkiye's ETF and a negative effect on the volatility of all other countries' ETFs. In addition, a positive co-movement relationship was found among the examined ETFs, consistent with the integration of global markets. These findings are expected to contribute to the deepening and broadening of the literature, as well as to the strategy development and decision-making processes of market participants.

Özet

Son yıllarda, finansal mühendislik alanındaki gelişmelerin bir sonucu olarak ortaya çıkan Borsa Yatırım Fonları’nın (ETF’lerin) popülaritesi artmış ve pasif yatırımlar için küresel bir finansal araç haline gelmiştir. Bu kapsamda, Dolar Endeksi (DXY) etkisi altında, ABD piyasalarında işlem gören dört farklı ülkenin (İngiltere, Brezilya, ABD ve Türkiye) ETF'lerinin volatilite dinamikleri CCC GARCH-X modeli kullanılarak analiz edilmiştir. Analiz sonuçları, DXY Endeksi'nin Türkiye'nin ETF'sinin volatilitesi üzerinde pozitif, diğer tüm ülkelerin ETF'lerinin volatilitesi üzerinde ise negatif bir etkiye sahip olduğunu göstermiştir. Ayrıca, küresel piyasaların entegrasyonuyla uyumlu olarak, incelenen ETF'ler arasında pozitif bir ortak hareketlilik ilişkisi tespit edilmiştir. Bu bulgular, literatürün derinleşmesine ve genişlemesine katkı sağlamakla birlikte, piyasa katılımcılarının strateji geliştirme ve karar alma süreçlerine de katkı sağlaması beklenmektedir.

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Cite This Article

Şencan, İ. (2026). The Volatility Analysis of Exchange-Traded Funds Under the DXY Index. Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu Dergisi, Cilt: 29 Sayı: 2026, 58–69. https://doi.org/10.29249/selcuksbmyd.1782610

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