Abstract
The aim of this study is to analyze the risk transfer mechanism between stock market and exchange rate volatilities by using asymmetric causality method by using daily data of BIST100 Index, US Dollar and VIX Index for the period of 02.01.2009-12.11.2018. The existence of risk transfer in the identified variables is investigated with the asymmetric causality approach of Hatemi-J (2012). The findings show evidence for asymmetric causality in risk transfer. Accordingly, from positive volatility of VIX to negative volatility of BIST100; the causality relationship is determined from the positive volatility of US Dollar to both the positive and negative volatility of BIST100 and from the negative volatility of BIST100 to the negative volatility of US Dollar.
References
- Ayvaz, Ö. (2006). Döviz kuru ve hisse senetleri fiyatlari arasindaki nedensellik ilişkisi, İktisadi ve İdari Bilimler Fakültesi Dergisi, 8(2), 1-14.
- Başarır, Ç. (2018). Korku endeksi (VIX) ile BIST 100 arasındaki ilişki: frekans alanı nedensellik analizi, İşletme Fakültesi Dergisi, 19(2), 177-191.
- Bayrakdaroğlu, A. ve Nazlıoğlu, Ş. (2009). Hisse senedi fiyat -hacim ilişkisi: İMKB’de işlem gören bankalar için doğrusal ve doğrusal olmayan granger nedensellik analizi, İktisat, İşletme ve Finans Dergisi, 24(277), 85-109.
- Bektur, Ç. ve Malcıoğlu, G. (2017). Kredi temerrüt takasları ile BIST 100 endeksi arasındaki ilişki: asimetrik nedensellik analizi, AİBÜ Sosyal Bilimler Enstitüsü Dergisi, 17(3), 73-83.
- Bollersev, T. (1986). Generalized autoreggressive conditional heteroskedasticity, Journal Of Econometrics, 31, 307-327.
- Brooks, C. (2008). Introductory econometric for finance (2. Edition), England: Cambridge University Press.
- Büberkökü, Ö. (2017). İşlem hacmi ile hisse senedi getirileri arasındaki ilişkinin incelenmesi: banka hisselerine dayalı bir analiz, Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 9(19), 457-482.
- Elmas, B. ve Esen, Ö. (2011). Hisse senedi fiyatlari ile döviz kuru arasındaki dinamik ilişkinin belirlenmesi; farkli ülke piyasalari için bir araştırma, Muhasebe ve Finansman Dergisi, 52, 153-170.
- Engle, R.F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of united kingdom inflation, Econometrica, 50(4), 987-1007.
- Eyüpoğlu, S. ve Eyüpoğlu, K. (2018). Borsa istanbul sektör endeksleri ile döviz kurları arasındaki ilişkilerin incelenmesi: ardl modeli, Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 11(1), 8-28.
- Güloğlu, B. ve Akman, A. (2007). Türkiye’de döviz kuru oynaklığının swarch yöntemi ile analizi, Finans Politik & Ekonomik Yorumlar, 44(512), 43-51.
- Gündoğdu, Aysel (Derl.) (2018). Finansın Temel Teorileri (1. Baskı). İstanbul: Beta Yayınları.
- Hatemi-J, A. (2012). Asymmetric causality tests with an application, Emprical Economics, 43(1), 25-33.
- Kanas, A. (1998). Volatility spillovers across equity markets: european evidence, Applied Financial Economies, 8(3), 245-256.
- Mensi, W., Hammoudeh, S., Reboredo, J. C. ve Nguyen, D. K. (2014). Do global factors impact BRICS stock markets? a quantile regression approach, Emerging Markets Review, 19, 1-17.
- Sakarya, Ş. ve Akkuş, H. T. (2018). BIST-100 ve BIST sektör endeksleri ile vix endeksi arasindaki ilişkisinin analizi, Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 21(40), 351-374.
- Umutlu, G. (2008). İşlem hacmi ve fiyat değişimleri arasındaki nedensellik ve dinamik ilişkiler: imkb’de bir ampirik inceleme, Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(1), 231-246.
- Whaley, R.E. (2009). Understanding the vix, The Journal of Portfolio Management, 35(3), 98-105.
- Yamak, N., Kolcu, F. ve Köyel, F. (2018). Döviz kuru oynaklığı ve borsa endeks oynaklığı arasındaki asimetrik ilişki, Balkan Sosyal Bilimler Dergisi, 17(14), 171-187.
- Yılancı, V. ve Bozoklu, Ş. (2014). Türk sermaye piyasasında fiyat ve işlem hacmi ilişkisi zamanla değişen asimetrik nedensellik analizi, Ege Akademik Bakış, 14(2), 211-220.
Abstract
Keywords
References
- Ayvaz, Ö. (2006). Döviz kuru ve hisse senetleri fiyatlari arasindaki nedensellik ilişkisi, İktisadi ve İdari Bilimler Fakültesi Dergisi, 8(2), 1-14.
- Başarır, Ç. (2018). Korku endeksi (VIX) ile BIST 100 arasındaki ilişki: frekans alanı nedensellik analizi, İşletme Fakültesi Dergisi, 19(2), 177-191.
- Bayrakdaroğlu, A. ve Nazlıoğlu, Ş. (2009). Hisse senedi fiyat -hacim ilişkisi: İMKB’de işlem gören bankalar için doğrusal ve doğrusal olmayan granger nedensellik analizi, İktisat, İşletme ve Finans Dergisi, 24(277), 85-109.
- Bektur, Ç. ve Malcıoğlu, G. (2017). Kredi temerrüt takasları ile BIST 100 endeksi arasındaki ilişki: asimetrik nedensellik analizi, AİBÜ Sosyal Bilimler Enstitüsü Dergisi, 17(3), 73-83.
- Bollersev, T. (1986). Generalized autoreggressive conditional heteroskedasticity, Journal Of Econometrics, 31, 307-327.
- Brooks, C. (2008). Introductory econometric for finance (2. Edition), England: Cambridge University Press.
- Büberkökü, Ö. (2017). İşlem hacmi ile hisse senedi getirileri arasındaki ilişkinin incelenmesi: banka hisselerine dayalı bir analiz, Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 9(19), 457-482.
- Elmas, B. ve Esen, Ö. (2011). Hisse senedi fiyatlari ile döviz kuru arasındaki dinamik ilişkinin belirlenmesi; farkli ülke piyasalari için bir araştırma, Muhasebe ve Finansman Dergisi, 52, 153-170.
- Engle, R.F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of united kingdom inflation, Econometrica, 50(4), 987-1007.
- Eyüpoğlu, S. ve Eyüpoğlu, K. (2018). Borsa istanbul sektör endeksleri ile döviz kurları arasındaki ilişkilerin incelenmesi: ardl modeli, Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 11(1), 8-28.
- Güloğlu, B. ve Akman, A. (2007). Türkiye’de döviz kuru oynaklığının swarch yöntemi ile analizi, Finans Politik & Ekonomik Yorumlar, 44(512), 43-51.
- Gündoğdu, Aysel (Derl.) (2018). Finansın Temel Teorileri (1. Baskı). İstanbul: Beta Yayınları.
- Hatemi-J, A. (2012). Asymmetric causality tests with an application, Emprical Economics, 43(1), 25-33.
- Kanas, A. (1998). Volatility spillovers across equity markets: european evidence, Applied Financial Economies, 8(3), 245-256.
- Mensi, W., Hammoudeh, S., Reboredo, J. C. ve Nguyen, D. K. (2014). Do global factors impact BRICS stock markets? a quantile regression approach, Emerging Markets Review, 19, 1-17.
- Sakarya, Ş. ve Akkuş, H. T. (2018). BIST-100 ve BIST sektör endeksleri ile vix endeksi arasindaki ilişkisinin analizi, Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 21(40), 351-374.
- Umutlu, G. (2008). İşlem hacmi ve fiyat değişimleri arasındaki nedensellik ve dinamik ilişkiler: imkb’de bir ampirik inceleme, Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(1), 231-246.
- Whaley, R.E. (2009). Understanding the vix, The Journal of Portfolio Management, 35(3), 98-105.
- Yamak, N., Kolcu, F. ve Köyel, F. (2018). Döviz kuru oynaklığı ve borsa endeks oynaklığı arasındaki asimetrik ilişki, Balkan Sosyal Bilimler Dergisi, 17(14), 171-187.
- Yılancı, V. ve Bozoklu, Ş. (2014). Türk sermaye piyasasında fiyat ve işlem hacmi ilişkisi zamanla değişen asimetrik nedensellik analizi, Ege Akademik Bakış, 14(2), 211-220.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Makaleler |
| Authors | |
| Publication Date | April 27, 2020 |
| Acceptance Date | February 14, 2020 |
| Published in Issue | Year 2020 Issue: 55 |
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