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Bilgi ve iletişim teknolojilerinde yaşanan gelişimle birlikte, sermayenin hareketini sınırlayan engellerin ortadan kalkmasıyla birlikte, finansal piyasalar arasında ki entegrasyon giderek artmıştır. Ancak bu entegrasyonun beraberinde getirdiği finansal liberalizasyon süreci gelişmekte olan ülkelerde olumlu yönlerinin yanı sıra, gerekli makroekonomik şartlar oluşturulmadan finansal liberalizasyona geçilmesi, finansal piyasada volatiliteyi arttırmıştır. Bu çalışmanın amacı piyasada korku ya da zimni volatilite endeksi olarak ta adlandırılan VIX endeksi ile BIST 100 arasındaki ilişkiyi nedensellik analizi ile kısa, orta ve uzun vadede ortaya koymaktır. Çalışmada 03.01.2000-23.01.2019 dönemleri arasında işgücü verilerini ele alarak VIX ile BIST 100 arasındaki ilişki hem frekans alanı nedensellik ve Johansen eş bütünleşme testleri ile Hata Düzeltme Modeli (Vector Error Correction, VEC) vasıtasıyla yorumlanmıştır. Çalışmanın diğer çalışmalardan farkı BIST 100 ile VIX endeksi arasında her iki değişkenin bir birlerinin öngörüsünde faydalı bilgiler sunup sunamadığı konusunda Frekans alanı nedensellik ile Johansen eş bütünleşme testleri ve VEC modeli ile yapılan çalışmaların çok kısıtlı olmasıdır. Çalışma sonucunda BIS 100 endeksinden VIX endeksine doğru ne kısa, orta ne de uzun vadede bir nedensellik ilişkisi öngörülememiştir. Buna karşın VIX endeksinden, BIST 100’e hem kısa hem de orta ve uzun vadede tek yönlü nedensellik ilişkisi tespit edilmiştir. Bu durum BIST 100 de yatırım yapmayı düşünün yatırımcılar için VIX endeksinin, BIST 100 hakkında öngörü sağlayabileceğini göstermiştir
With the development of information and communication technologies, with the disappearance of the obstacles to the movement of capital, the integration between financial markets has increased. But the financial liberalization process accompanied by this integration, in addition to its positive aspects in developing countries, the transition to financial liberalization without creating the necessary macroeconomic conditions, has increased volatility in the financial markets. The aim of this study is to reveal the relationship between the VIX index and BIST 100, which is known as the fear or zimni volatility index in the market, in the short, medium and long term by causal analysis. In the study 03.01.2000-23.01. The relationship between VIX and BIST 100 was interpreted through both the frequency field causality and Johansen integration tests and the Vector Error Correction (VEC) model. The difference of the study from other studies is that the studies with the Johansen matching integration tests and the VEC model are very limited to the fact that both variables are not able to provide useful information in the forecast of one of the BIST 100 and VIX index. A short, medium or long-term causal relationship from the BIS 100 to the VIX index was unpredictable. However, from the VIX index, BIST 100 has been identified a one-way causal relationship both in the short and medium and long term. This situation has shown investors to think about investing in BIST 100 that the VIX index can provide forecast about BIST 100.
Along with the development of information and communication technologies, the integration between financial markets has gradually increased with the elimination of obstacles limiting the movement of capital. However, the financial liberalization process brought about by this integration, in addition to the positive aspects in the developing countries, the transition to financial liberalization without creating the necessary macroeconomic conditions increased the volatility in the financial market. The aim of this study is to determine the relationship between the VIX index and the BIST 100, also called fear or zymni volatility index, in the short, medium and long term with causality analysis. In this study, the relationship between VIX and BIST 100 was discussed by means of frequency domain causality and Johansen mapping tests and Vector Error Correction (VEC). The difference of the study from other studies that Frequency domain causality and Johansen co-integration tests and VEC model are very limited studies. BIST 100 and VIX index is that the two variables can provide useful information in predicting each other. As a result of the study, neither the short, medium nor long-term causality relationship from the BIS 100 index to the VIX index could be predicted. On the other hand, from the VIX index to BIST 100, one-way causality relationship was determined in both short and medium and long terms. This situation has shown that investing in BIST 100 could provide foreseen about BIST 100 for the VIX index for investors.
Field : Eğitim Bilimleri; Filoloji; Güzel Sanatlar; Hukuk; İlahiyat; Sosyal, Beşeri ve İdari Bilimler; Spor Bilimleri
Journal Type : Uluslararası
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