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Journals / Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi / 2018 / Cilt: 19 - Sayı: 2

RELATIONSHIP BETWEEN VIX AND BIST 100: FREQUENCY DOMAİN CAUSALİTY TEST

KORKU ENDEKSİ (VIX) İLE BIST 100 ARASINDAKİ İLİŞKİ: FREKANS ALANI NEDENSELLİK ANALİZİ

Çağatay BAŞARIR
Pages
177–191
Publication Date
2018-12-28
DOI
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AI Summary & Key Takeaways

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

According to the results of the analysis, neither a temporary nor a permanent causality relationship from BIST 100 index to VIX is found.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The objective of this study is to determine the relationship between VIX (Volatility Index) and BIST 100 index.
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Key Findings & Data:The causality relationship between VIX and BIST 100 index is analyzed using daily data for the period 03.01.2000 - 09.02.2018 with frequency domain causality test.
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Conclusion & Impact:According to the results of the analysis, neither a temporary nor a permanent causality relationship from BIST 100 index to VIX is found.
🔬Design:Research Article
📍Scope:2000 Verileri
⚙️Variables:BIST 100 Endeksi · VIX Volatilite Endeksi · Frekans Alanı Nedensellik Testi

Abstract

The objective of this study is to determine the relationship between VIX (Volatility Index) and BIST 100 index. The causality relationship between VIX and BIST 100 index is analyzed using daily data for the period 03.01.2000 - 09.02.2018 with frequency domain causality test. According to the results of the analysis, neither a temporary nor a permanent causality relationship from BIST 100 index to VIX is found. However, both a temporary and a permanent causality relationship is found from VIX to BIST 100 index unidirectionally. Consequently, investors can use the information of VIX index to make estimation of VIX in the short and in the long run.

Özet

Bu çalışmanın amacı Korku Endeksi (VIX) ile BIST 100 arasındaki nedensellik ilişkisini tespit etmektir. Çalışmada 03.01.2000 - 09.02.2018 zaman aralığındaki günlük verilerin kullanılarak, VIX ile BIST 100 arasındaki nedensellik ilişkisi frekans alanı nedensellik testi yardımıyla incelenmiştir. Analiz sonuçlarına göre, BİST 100 endeksinden, VIX endeksine doğru ne geçici ne de kalıcı bir nedensellik ilişkisi bulunamamıştır. Bununla birlikte, VIX endeksinden, BİST 100 endeksine doğru hem geçici hem de kalıcı nedensellik ilişkisi tek yönlü olarak tespit edilmiştir. Sonuç olarak, yatırımcılar, BIST100 endeksi için hem kısa hem de uzun dönemde öngörüde bulunurken, VIX endeksinden faydalanabilecektir.

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Cite This Article

BAŞARIR, Ç. (2018). RELATIONSHIP BETWEEN VIX AND BIST 100: FREQUENCY DOMAİN CAUSALİTY TEST. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi, Cilt: 19 - Sayı: 2, 177–191. https://ajindex.com/articles/74404

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