Analysis of Relationship Between BIST-100 and BIST Sector Indices with VIX Index

Yıl 2018, , 351 - 374, 15.12.2018

Şakir Sakarya , Hilmi Tunahan Akkuş

https://doi.org/10.31795/baunsobed.492470

Cited By: 25

Öz

The VIX index is an important index
used as an indicator for estimating future expected movements of capital
markets worldwide. The aim of this study is to determine the causality relation
between the VIX index, the BIST National 100 index and the BIST sectoral indices
(Bank, Financial and Technology) for the period between 05.01.2010-22.06.2018.
ADF and PP unit root tests, ARDL boundary test and Toda-Yamamoto causality test
were used for analysis. According to the cointegration test results, there is a
long and statistically significant relationship between VIX index and BIST
National 100 (XU100), BIST Bank (XBANK), BIST Financial (XUMAL) and BIST
Technology (XUTEK) indices. According to Toda-Yamamoto causality test results,
one-way causality relation was found from VIX index towards XU100, XBANK, XUMAL
and XUTEK indices.

Anahtar Kelimeler

VIX Index, ARDL Boundary Testing, Toda-Yamamoto Causality Test

BİST-100 VE BİST SEKTÖR ENDEKSLERİ İLE VIX ENDEKSİ ARASINDAKİ İLİŞKİSİNİN ANALİZİ

Öz

VIX endeksi, tüm dünyada menkul kıymet piyasalarının
gelecekteki beklenen hareketlerinin tahmini için gösterge olarak kullanılan
önemli bir endekstir. Bu çalışmanın amacı, 05.01.2010-22.06.2018 tarihleri
arasındaki dönem için VIX endeksi ile BİST Ulusal 100 endeksi ve BİST sektörel
endeksler (Banka, Mali ve Teknoloji) arasındaki nedensellik ilişkisinin tespit
edilmesidir. Analiz yöntemleri olarak ADF ve PP birim kök testleri, ARDL sınır
testi ve Toda-Yamamoto nedensellik testi kullanılmıştır. Çalışmadan elde edilen
eşbütünleşme testi sonuçlarına göre, VIX endeksi ile BİST Ulusal 100 (XU100),
BİST Banka (XBANK), BİST Mali (XUMAL) ve BİST Teknoloji (XUTEK) endeksleri
arasında uzun dönemli istatistiksel olarak anlamlı bir ilişki bulunmaktadır.
Toda-Yamamoto nedensellik testi sonuçlarına göre ise, VIX endeksinden XU100,
XBANK, XUMAL ve XUTEK endekslerine doğru tek yönlü nedensellik ilişkisi
bulunmuştur.

Anahtar Kelimeler

VIX Endeksi, ARDL Sınır Testi, Toda-Yamamoto Nedensellik Testi

Kaynakça

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