Özet:

The Volatility Index (VIX) is one of the key indicators used to predict future movements of capital market instruments in financial markets. Purpose: This study aims to investigate the short- and long-term relationship of the volatility index (VIX) with the developing country stock markets of Turkey (BIST 100), India (BSE Sensex 30), Brazil (Bovespa-BVSP), Russia (MOEX Russia) and China (Shanghai Composite-SSEC) for the monthly data between January 1st, 2009 and June 1st, 2020. Method: For the stationarity tests, Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) tests were used. The Bayer-Hanck (2013) Cointegration Analysis was used for investigating the long-term relationship. In order to investigate the short-term dynamics of variables moving together in the long-term, the Vector Error Correction Model (VECM) was used. Findings: As a result of the study, the Volatility Index (VIX) was found to negatively affect the developing country stock markets. Among the exchange markets studied, the BIST100 index of Turkey was found to be the most affected index by the change in the Volatility Index (VIX). The least affected stock market was Brazil's (Bovespa-BVSP) index. The effect of the Volatility Index (VIX) on stock markets was higher in the short-term, and gradually decreasing in the long-term. Originality: Looking at the research on this subject, studies were found to often investigate whether the VIX Index has an effect on various financial indicators and the BIST 100 index. In this study, the scope was widened to study the effect of fear climate on the developing country stock markets.

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