Financial Indicator - CEEOL - Article Detail

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Download VIX KORKU ENDEKSİNİN FİNANSAL GÖSTERGELER ÜZERİNDEKİ ETKİSİ: TÜRKİYE ÖRNEĞİ EFFECT OF VIX FEAR INDEX ON FINANCIAL INDICATORS: TURKEY CASE Author(s): Saffet AkdağSubject(s): Evaluation research, Financial MarketsPublished by: Hitit Üniversitesi Sosyal Bilimler EnstitüsüKeywords: Volatility Index; Financial Indicator; Causality Analyses; Cointegration Analysis; Financial Contagion;

Summary/Abstract: The VIX index, which is accepted as an indicator of global risk appetite, is followed by the financial makers of many countries. Because the changes in the VIX index affect many financial indicators in the national markets. In this context, the purpose of the study is to test whether the VIX index is an effect on a variety of financial indicators in Turkey. For this purpose, Granger (1969) causality analysis, Breitung and Candelon frequency causality analysis, and Johansen cointegration analysis were used. As a result of Granger causality analysis, it was determined that the change in VIX index was the cause of changes in BIST 100 index, dollar and Euro exchange rate, industrial production index, real sector and consumer confidence index, purchasing managers index and risk appetite index.

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Journal: Hitit Üniversitesi Sosyal Bilimler Enstitüsü Dergisi

• Issue Year: 12/2019
• Issue No: 1
• Page Range: 235-256
• Page Count: 22
• Language: Turkish

• Content File-PDF

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