THE DYNAMIC RELATIONSHIP BETWEEN VOLATILITY INDEX AND ASYMMETRIC INFORMATION IN BORSA ISTANBUL

Yıl 2023, Cilt: 13 Sayı: 26, 353 - 363, 29.12.2023

Melih Kutlu Havvanur Feyza Kaya

Öz

In this study, the causal relationships between asymmetric information in Borsa Istanbul and volatility index are investigated using daily data from 2003-2022. We first construct the asymmetric information series using the method of Llorente et al. (2002) and then apply the asymmetric causality test developed by Hatemi-J (2012) to investigate the causality between these variables. The approach captures nonlinear effects in the series by dividing them into positive and negative shocks. The results of the symmetric causality test indicate that there is no bidirectional causality between asymmetric information in Borsa İstanbul and volatility index. However, the results of the asymmetric causality test show that positive financial volatility shocks do cause positive asymmetric information shocks. An increase in financial volatility causes an increase in asymmetric information. Overall, this study highlights the asymmetric relationship between volatility index and asymmetric information in Borsa Istanbul, providing valuable insights for investors and policymakers in the Türkiye.

Anahtar Kelimeler

Asymmetric Information, Volatility Index, Asymmetric Causality

VOLATİLİTE ENDEKSİ VE BORSA İSTANBUL’DAKİ ASİMETRİK BİLGİ ARASINDA DİNAMİK İLİŞKİLER

Öz

Bu çalışmada Borsa İstanbul'daki asimetrik bilgi ile volatilite endeksi arasındaki nedensel ilişkiler 2003-2022 dönemine ait günlük veriler kullanılarak araştırılmaktadır. Bu çalışmada öncelikle Llorente vd.(2002) yöntemini kullanılarak asimetrik bilgi serisi oluşturulmuştur. Daha sonra bu değişkenler arasındaki nedenselliği araştırmak için Hatemi-J (2012) tarafından geliştirilen asimetrik nedensellik testi uygulanmıştır. Asimetrik nedensellik yaklaşımı, serideki doğrusal olmayan etkileri pozitif ve negatif şoklara bölerek yakalamaktadır. Simetrik nedensellik testi sonuçları, Borsa İstanbul’daki asimetrik bilgi ile volatilite endeksi arasında her iki yönde de bir nedensellik olmadığını göstermektedir. Ancak, asimetrik nedensellik testinin sonuçları, pozitif finansal volatilite şoklarının pozitif asimetrik bilgi şoklarına neden olduğunu göstermektedir. Öte yandan, finansal volatilitenin artması asimetrik bilginin artmasına neden olmaktadır. Genel olarak, bu çalışma, Borsa İstanbul'daki asimetrik bilgi ve volatilite endeksi arasındaki asimetrik ilişkiyi araştırarak Türkiye’deki yatırımcılar ve politika yapıcılar için değerli bilgiler sağlamaktadır.

Anahtar Kelimeler

Asimetrik Bilgi, Volatilite Endeksi, Asimetrik Nedensellik

Kaynakça

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