Volatilite Endeksi (Vıx) ile Gelişmekte Olan Ülke Hisse Senedi Piyasası Endeksleri Arasındaki Engel-Granger Eş-Bütünleşme ve Granger Nedensellik Analizi

Öner, Hakan; İçellioğlu, Cansu Şarkaya; Öner, Selma

doi:10.14784/marufacd.460670

Cited by 24 publications

(2 citation statements)

References 3 publications

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“…There is a limited number of recent studies that concentrate on the relationship between uncertainty in stock and some commodity markets (such as oil and gold) and Turkish stock market (e.g. Kaya, 2015;Hatipoğlu & Tekin, 2017;Öner et al, 2018;Başarır, 2018;Sadeghzadeh & Elmas, 2018;Cihangir, 2018). However, there is a gap of knowledge on the impact of uncertainty in currency markets on the Turkish stock market.…”

Section: Introductionmentioning

confidence: 99%

Volatility Spillover between Uncertainty in Financial and Commodity Markets and Turkish Stock Market

Kocaarslan¹

2020

berj

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The aim of this study is to investigate risk spillovers between uncertainty about financial and commodity markets and Turkish stock market by using a causality-invariance test. To this end, we use implied volatility indexes (the implied volatility of the gold, oil, stock, and currency prices from options markets) and Morgan Stanley Capital International (MSCI) Turkish stock market index. The volatility model estimates demonstrate that implied volatilities and Turkish stock market index are strongly influenced by long-run volatility. The causality-in-variance test results provide evidence of a significant one-way volatility spillover effect from uncertainty in financial and commodity markets to the Turkish stock market. The results suggest that Turkish stock market returns are highly sensitive to uncertainty shocks in global markets, and hence this high-sensitivity reduces the attractiveness of investments in the Turkish market. Our findings present important implications for the implementation of sound economic policies and for the formation of optimal portfolios.

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Section: Introductionmentioning

confidence: 99%

Volatility Spillover between Uncertainty in Financial and Commodity Markets and Turkish Stock Market

Kocaarslan¹

2020

berj

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“…When the studies examining the relationship between the VIX index and the stock indices are concerned, some studies have determined just the existence of relationship (Baykut & Diyar, 2021;Kaya, 2015;Lin & Chang, 2010), while some studies have posited that there is negative relationship between the variables (Akgüneş, 2021b;Chandra & Thenmozhi, 2015;Ersin et al, 2022;Giot, 2005;González & Novales, 2009;Kaya & Çoşkun, 2015;Kula & Baykut, 2017;Nefelli & Resta, 2018;Sarwar, 2012;Uçar & Kıdemli, 2021). In some of the studies on the causality relationship between stock indices and VIX index, one-way causality was found (Erdoğdu & Baykut, 2016;Kaya & Çoşkun, 2015;Ögel & Fındık, 2020;Öner et al, 2018), some other studies, whereas, detected bidirectional causality (Emna & Myriam, 2017;Öner et al, 2018;Ozair, 2014).…”

Section: Literature Reviewmentioning

confidence: 99%

Which Index is More Affected by CDS Premium and VIX Index: BIST-30 or Participation-30?

Bayramli¹,

Kula²,

Özdemir³

2023

JCGIRM

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Purpose: This study aims at determining the existence and, if any, the extent of comparative effects of the CDS premium and the VIX index on the BIST-30 and the Participation-30 indices before and during the pandemic. Methodology: The study explores the relationships of the CDS premium and VIX index to the BIST-30 index and the Participation-30 index for two time periods, as pre-pandemic and pandemic. The date range is set as 02.01.2018-10.03.2020 for the pre-pandemic period and as 11.03.2020-31.12.2021 for the pandemic period. Following the Johansen cointegration and ARDL tests employed to detect the long run relationships between the variables, FMOLS regression tests were used to determine the effect sizes. Results: As a result of the cointegration tests, long-term cointegration relationships of both the BIST-30 and the Participation-30 indices with the variables of the CDS premiums and the VIX index were determined before and during the pandemic period. FMOLS regression results posited that the VIX index had greater effect on the Participation 30 index in both periods. Originality and Practical Implications: The fact that the literature review does not reveal the existence of any study providing the comparative effects of the CDS premiums and the VIX index on both the BIST-30 and Participation-30 indices contributes to the originality of this paper.

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VIX or ınvestors scare?

Yıldırım

2021

Qual Quant

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Volatilite Endeksi (Vıx) ile Gelişmekte Olan Ülke Hisse Senedi Piyasası Endeksleri Arasındaki Engel-Granger Eş-Bütünleşme ve Granger Nedensellik Analizi

Cited by 24 publications

References 3 publications

Volatility Spillover between Uncertainty in Financial and Commodity Markets and Turkish Stock Market

Volatility Spillover between Uncertainty in Financial and Commodity Markets and Turkish Stock Market

Which Index is More Affected by CDS Premium and VIX Index: BIST-30 or Participation-30?

VIX or ınvestors scare?

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