Abstract:

The VIX (Fear Index), the MOVE and the DXY (US Dollar Index) are among the three most important indicators of the international financial markets, which have an impact on the exchange rates of developed and developing countries. This is why many countries are closely traced by the financers. According to the study, there are many literature that study the effects of the different stock exchange index and these stock exchanges. These studies often result in different results, which lead to controversy. This has led to a lot of research on the stock markets. However, there is no literature to measure the relationship between the dollar index (DXY) and the fear index (VIX), which is expected to be closely followed. The aim of the study is to investigate the impact of price changes in the U.S. Dollar Index on the VIX Fear Index (CBOE Volatility Index). For this purpose, the study took the working day data between 01.01.2010 and 31.03.2020 and analyzed by comparing the U.S. Dollar Index with the VIX Fear Index. The impact of the dollar index on the VIX returns has been studied with regard to its short and long-term relationships with the ARDL method. Finally, the Granger causality test was conducted to analyze whether there is a causal relationship between the variables. The analysis of the ARDL equalization has revealed a long-term relationship between the dollar index and the VIX fear index. According to Granger's causality analysis, it was concluded that there was one-way causality from the Fear Index to the Dollar Index.

Keywords: