KORKU ENDEKSİ (VIX) İLE BIST 100 ARASINDAKİ İLİŞKİ: FREKANS ALANI NEDENSELLİK ANALİZİ

Year 2018, Volume: 19 Issue: 2, 177 - 191, 28.12.2018

Çağatay Başarır

https://doi.org/10.24889/ifede.468802

Cited By: 21

Abstract

Bu
çalışmanın amacı Korku Endeksi (VIX) ile BIST 100 arasındaki nedensellik ilişkisini
tespit etmektir. Çalışmada 03.01.2000 - 09.02.2018 zaman aralığındaki günlük
verilerin kullanılarak, VIX ile BIST 100 arasındaki nedensellik ilişkisi
frekans alanı nedensellik testi yardımıyla incelenmiştir. Analiz sonuçlarına
göre, BİST 100 endeksinden, VIX endeksine doğru ne geçici ne de kalıcı bir
nedensellik ilişkisi bulunamamıştır. Bununla birlikte, VIX endeksinden, BİST
100 endeksine doğru hem geçici hem de kalıcı nedensellik ilişkisi tek yönlü
olarak tespit edilmiştir. Sonuç olarak, yatırımcılar, BIST100 endeksi için hem
kısa hem de uzun dönemde öngörüde bulunurken, VIX endeksinden faydalanabilecektir.

Keywords

BIST 100 Endeksi, VIX Volatilite Endeksi, Frekans Alanı Nedensellik Testi

RELATIONSHIP BETWEEN VIX AND BIST 100: FREQUENCY DOMAİN CAUSALİTY TEST

Abstract

The objective of this study is to determine the
relationship between VIX (Volatility Index) and BIST 100 index. The causality
relationship between VIX and BIST 100 index is analyzed using daily data for
the period 03.01.2000 - 09.02.2018 with frequency domain causality test. According
to the results of the analysis, neither a temporary nor a permanent causality
relationship from BIST 100 index to VIX is found. However, both a temporary and
a permanent causality relationship is found from VIX to BIST 100 index unidirectionally.
Consequently, investors can use the information of VIX index to make estimation
of VIX in the short and in the long run.

Keywords

BIST 100 Index, VIX Volatility Index, FREQUENCY DOMAİN CAUSALİTY TEST

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