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Journals / Maliye Dergisi / 2022 / Cilt: 0 - Sayı: 182

The Relationship Between VIX Index and BRICS-T Countries' Stock Exchanges: Findings from Frequency Domain Causality Test

VIX Endeksi ile BRICS-T Ülke Borsalarının İlişkisi: Frekans Alanı Nedensellik Testinden Bulgular

Fatih GÜZEL
Yüksel İLTAŞ
Pages
64–83
Publication Date
2023-10-16
DOI
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AI Summary & Key Takeaways

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

On the other hand, no causality relationship could be detected at any frequency between the Indian stock market and the VIX Index.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this study, the relationship between the BRICS-T countries’ stock exchanges and the VIX Index is investigated.
📊
Key Findings & Data:Breitung and Candelon (2006) frequency domain causality test was used in the analysis process.
💡
Conclusion & Impact:On the other hand, no causality relationship could be detected at any frequency between the Indian stock market and the VIX Index.
🔬Design:Makale
📍Scope:2006 Verileri
⚙️Variables:Domain Parameters

Abstract

In this study, the relationship between the BRICS-T countries’ stock exchanges and the VIX Index is investigated. It is aimed to determine the interaction of fast developing countries with the VIX Index, which is accepted as an indicator of global fear or uncertainty. Breitung and Candelon (2006) frequency domain causality test was used in the analysis process. The data set consists of daily frequency data covering the years January 2015-June 2021. The findings of the study show that there is a unidirectional causality relationship at all frequencies from the VIX Index to the BRICS-T countries, with the exception of India. On the other hand, no causality relationship could be detected at any frequency between the Indian stock market and the VIX Index.

Özet

Bu çalışmada BRICS-T ülke borsaları ile VIX endeksi arasındaki ilişki araştırılmaktadır. Hızlı gelişmekte olan ülkeler ile küresel korku veya belirsizlik göstergesi olarak kabul edilen VIX endeksinin etkileşiminin tespiti amaçlanmaktadır. Breitung ve Candelon (2006) frekans alanı nedensellik testi analiz sürecinde kullanılmıştır. Veri seti Ocak 2015-Haziran 2021 yılını kapsayan günlük frekanslı verilerden oluşmaktadır. Çalışma bulguları, Hindistan hariç olmak üzere, VIX endeksinden BRICS-T ülkelerine doğru bütün frekanslarda tek yönlü nedensellik ilişkisi bulunduğu yönündedir. Hindistan borsası ile VIX endeksi arasında ise hiçbir frekansta nedensellik ilişkisi tespit edilememiştir.

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Cite This Article

GÜZEL, F., İLTAŞ, Y. (2023). The Relationship Between VIX Index and BRICS-T Countries' Stock Exchanges: Findings from Frequency Domain Causality Test. Maliye Dergisi, Cilt: 0 - Sayı: 182, 64–83. https://ajindex.com/articles/967564

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