Abstract:

The aim of the study is to explore the asymmetric effects of the volatility, occurring volatility, exchange rate and liquidity on the return of the Borsa Istanbul 100 (BIST100) index. In the study covering the daily data of the period from January 2, 2012 to November 30, 2020, the Markov Regime Change method was used because of the linearity of the model established with these variables, if necessary, the variables were needed. The results of the analysis reveal the existence of two different return regimes during the examined period. The CBOE VIX index, which represents cyborg volatility, has been shown to have a negative and meaningful impact on the BIST100 return in both regimes. The dollar/TL exchange rate was also significant in both regimes, while taking a negative rate only in the high return period. The volume of transaction representing liquidity has been used by the turn rate and has been statistically meaningful in both regimes. But the rate is positive in high revenue period while negative in low revenue period. The volatility variation has no meaning. The findings show that the Stock Exchange of Istanbul is affected by developments in global markets and that the volume of transactions supports the overall trend of the market.

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