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Bu çalışmanın amacı BIST100 Endeksi, ABD Doları ve VIX Endeksi’nin 02.01.2009–12.11.2018 dönemi günlük verileri aracılığıyla, pay senedi piyasaları ve döviz kuru piyasası oynaklıkları arasındaki risk transfer mekanizmasını asimetrik nedensellik yöntemi ile ele almaktır. Belirlenen piyasa dinamikleri risk transferinin varlığı, Hatemi-J (2012) asimetrik nedensellik yaklaşımıyla araştırılmıştır. Bulgular, risk transferinde asimetrik nedenselliğe yönelik kanıtlar göstermektedir. Buna göre VIX’in pozitif oynaklığından BIST100’ün negatif oynaklığına ABD Dolarının pozitif oynaklığından BIST100’ün hem pozitif hem negatif oynaklığına ve BIST100’ün negatif oynaklığından ABD Dolarının negatif oynaklığına nedensellik ilişkisi tespit edilmiştir.
The aim of this study is to tackle the risk transfer mechanism between the stock markets and the exchange rate market games through the daily data of the BIST100 Index, U.S. Dollar and VIX Index for the period 02.01.2009-12.11.2018 by an asymmetric causality method. The presence of determined market dynamics of risk transfer has been studied by the asymmetric causality approach Hatemi-J (2012). The findings show evidence of asymmetric causality in risk transfer. According to this, from the positive play of VIX to the negative play of BIST100; from the positive play of the U.S. dollar to the positive and negative play of BIST100 and from the negative play of BIST100 to the negative play of the U.S. dollar has been identified a causal relationship.
The aim of this study is to analyze the risk transfer mechanism between stock market and exchange rate volatilities by using asymmetric causality method by using daily data of BIST100 Index, US Dollar and VIX Index for the period of 02.01.2009-12.11.2018. The existence of risk transfer in the identified variables is investigated with the asymmetric causality approach of Hatemi-J (2012). The findings show evidence for asymmetric causality in risk transfer. Accordingly, from positive volatility of VIX to negative volatility of BIST100; the causality relationship is determined from the positive volatility of US Dollar to both the positive and negative volatility of BIST100 and from the negative volatility of BIST100 to the negative volatility of US Dollar.
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Ulusal
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