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  Citation Number 34
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Endnote
Borsa İstanbul (BIST) 100 Endeksi İle Zımni Volatilite (VIX) Endeksi Arasındaki Eş-Bütünleşme Ve Granger Nedensellik
2015
Journal:  
Karamanoğlu Mehmetbey Üniversitesi Sosyal Ve Ekonomik Araştırmalar Dergisi
Author:  
DOI:  
10.18493/kmusekad.24268
Abstract:

Depending on the financial liberalization, financial markets have begun to move together. The aim of this study made on the basis of integration of financial markets is to determine the causality relationship between BIST 100 index and VIX index. In the study covering 02/01/2009-11/01/2013 period, time series related to BIST 100 index and VIX index are used. In the research, Johansen-Juselius cointegration test and vector error correction model are applied. Johansen-Juselius cointegration test results show that there is cointegration between BIST 100 index and VIX index; however error correction model indicates BIST 100 index are affected by VIX index

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Karamanoğlu Mehmetbey Üniversitesi Sosyal Ve Ekonomik Araştırmalar Dergisi

Field :   Sosyal, Beşeri ve İdari Bilimler

Journal Type :   Ulusal

Metrics
Article : 635
Cite : 8.436
2023 Impact : 0.333
Details
Karamanoğlu Mehmetbey Üniversitesi Sosyal Ve Ekonomik Araştırmalar Dergisi