Abstract:

This study, which examines inter-market interactions and asymmetric causal relationships, has studied the bilateral relationships between the BIST100 yields and the Dolar/TL yields, Gold, Raw Petroleum, Gold Playing Index GVZ and Raw Petroleum Playing Index OVX. The study studied the existence and direction of relationships by applying the True Granger Cause Test, the Hiemstra and Jones Non-Reality Cause Test, the Kyrtsou and Labys Non-Reality Cause Test and the Christ-Varsakelis and Kyrtsou Non-Reality Asymmetric Cause Test. In the analysis, 2332 daily price series were used covering the periods from 01.01.2010 to 01.01.2018. According to the findings obtained, various symmetrical and asymmetrical causal relationships have been found between the series mentioned with BIST100.

Abstract:

In this study the bivariate financial market interactions between BIST100 and Dolar/TL Exchange Rate, Gold, Crude Oil, Gold Volatility Index Oil Volatility Index are investigated. Linear Granger Causality Test, Hiemstra and Jones Nonlinear Causality Test, Kyrtsou and Labys Nonlinear Causality Test, and Hristu-Varsakelis and Kyrtsou Nonlinear Asymmetric Causality tests were applied to investigate the existence and direction of interactions. This study covers 2332 daily return series in the period from 01.01.2010 to 01.01.2018. Results show the existence of symmetric and asymmetric casuality between BIST100 and the series used in this study

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