ISSN:1308-2140

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Johansen Cointegration and Frequency Domain Causality Analysis Between Volatility Index (VIX) and BIST 100


Along with the development of information and communication technologies, the integration between financial markets has gradually increased with the elimination of obstacles limiting the movement of capital. However, the financial liberalization process brought about by this integration, in addition to the positive aspects in the developing countries, the transition to financial liberalization without creating the necessary macroeconomic conditions increased the volatility in the financial market. The aim of this study is to determine the relationship between the VIX index and the BIST 100, also called fear or zymni volatility index, in the short, medium and long term with causality analysis. In this study, the relationship between VIX and BIST 100 was discussed by means of frequency domain causality and Johansen mapping tests and Vector Error Correction (VEC). The difference of the study from other studies that Frequency domain causality and Johansen co-integration tests and VEC model are very limited studies. BIST 100 and VIX index is that the two variables can provide useful information in predicting each other. As a result of the study, neither the short, medium nor long-term causality relationship from the BIS 100 index to the VIX index could be predicted. On the other hand, from the VIX index to BIST 100, one-way causality relationship was determined in both short and medium and long terms. This situation has shown that investing in BIST 100 could provide foreseen about BIST 100 for the VIX index for investors.


Keywords


BIST 100, VIX Index, Financial Integration, Frequency Domain Causality Test, Vector Error Correction

Yazar: Serdar KUZU -
Sayfa Sayısı: 479-493
DOI: http://dx.doi.org/10.7827/TurkishStudies.14943
Tam Metin:
Turkish Studies
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