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BORSA İSTANBUL KURUMSAL YÖNETİM ENDEKSİ (XKURY) İLE KORKU ENDEKSİ (CHICAGO BOARD OPTIONS EXCHANGE VOLATILITY INDEX-VIX) ARASINDAKİ İLİŞKİNİN ANALİZİ

Year 2017, Volume: 19 Issue: 2, 27 - 37, 29.12.2017

Veysel Kula , Ender Baykut

Abstract

Bu çalışmada Borsa İstanbul Kurumsal Yönetim Endeksi (XKURY) ile Korku Endeksi (Chicago Board Options Exchange Volatility Index-VIX) arasındaki uzun dönemli ilişki incelenecektir. Kurumsal Yönetim Endeksi'nin hesaplanmaya başladığı tarih olan 31 Ağustos 2007'den 31 Aralık 2015 tarihine kadar olan günlük verileri kapsayan çalışmada Borsa İstanbul Kurumsal Yönetim Endeksi ile Chicago Board Options Exchange Korku Endeksi'ne (VIX Endeksi) ait veriler kullanılmıştır. Endeksler arasındaki uzun dönemli ilişkinin tespiti için ARDL Modeli kullanılmıştır. Araştırmanın sonunda elde edilen bulgulara göre; XKURY ile VIX endeksleri arasında uzun dönemli ilişki tespit edilmiştir. 

Keywords

Borsa İstanbul Kurumsal Yönetim Endeksi Korku Endeksi (VIX) ARDL Modeli Sınır Testi

References

  • Balcılar, M. ve Demirer, R. 2015. Impact of Global Shocks and Volatility on Herd Behavior in an Emerging Market: Evidence from Borsa Istanbul, Emerging Markets Finance and Trade Review. 51, 1-20.
  • Black, F. and Scholes, M. 1973. The pricing of options and corporate liabilities. Journal of Political Economy. 81(3), 637-654.
  • Borsa İstanbul Kurumsal Yönetim Endeksi, XKURY. 2016. http://www.borsaistanbul.com/endeksler/bist-pay-endeksleri/kurumsal-yonetim-endeksi.
  • Christie, A.A. 1982. The stochastic behavior of common stock variances: value, leverage, and interest rate effects. Journal of Financial Economics. 10, 407-432.
  • Chung, T.Y. and Chen, D.M. 1997. On the Distribution of CBOE Option Trade Prices Occurring Between Consecutive Stock Trades. Review of Quantitative Finance and Accounting. 9(3), 269-288.
  • Corrado, C. J. and Miller, T. W. 2005. The forecast quality of CBOE implied volatility indexes. Journal of Futures Markets. 25(4), 339-373.
  • Çağlayan, E. 2006 Enflasyon, Faiz Oranı ve Büyümenin Yurtiçi Tasarruflar Üzerindeki Etkileri, Marmara Üniversitesi, İ.İ.B.F. Dergisi, Cilt:XXI, Sayı:1.
  • Dash, S. and Moran, M.T. 2005. VIX as a companion of hedge fund portfolios. The Journal of Alternative Investments. 8, 75-82.
  • Dıckey, D. A. and Fuller W. A. 1981. Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, 49(4), 1057-1072.
  • Dıckey, D. A. and Fuller, W. A. 1979. Distribution of the Estimators for Autoregressive Time Series With a Unit Root, Journal of the American Statistical Association,74(366), 427-431.
  • Ekşi, İ.H. 2011. Firmaların Banka Kredisi Kullanımında Güven Faktörünün Etkisi. Anadolu Üniversitesi Sosyal Bilimler Dergisi, Cilt:11, Sayı:2, 33-42.
  • Engle, R. F., Clive, W., and Granger, J. 1987. Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica, 55(2), 251-276.
  • Erdoğan, S. ve Bozkurt, H. 2008. Türkiye’de Yaşam Beklentisi- Ekonomik Büyüme İlişkisi: ARDL Modeli ile Bir Analiz. Bilgi Ekonomisi ve Yönetimi Dergisi. Cilt:III, Sayı:I.
  • Erdoğdu, H. ve Baykut, E. 2016. BİST Banka Endeksi’nin (XBANK) VIX ve MOVE Endeksleri ile İlişkisinin Analizi, Türkiye Bankalar Birliği Bankacılar Dergisi, Sayı:98, 57-72.
  • Esqueda, O., Luo, Y. and Jackson D. 2013. The linkage between the U.S. “fear index” and ADR premiums under non-frictionless stock markets. Journal of Economics and Finance, 2013 (July), 1-16.
  • Fama, F. 1970. Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance. 25, 338-417.
  • Fernandes, M., Medeiros, M. C. and Scharth, M. 2014. Modeling and predicting the CBOE market volatility index. Journal of Banking & Finance. 40(1), 1-10.
  • Fleming, J., Ostdiek, B. and Whaley, R.E. 1995. Predicting stock market volatility: a new measure. Journal of Futures Markets. 15, 265-302.
  • French, K.R., Schwert, G.W. and Stambaugh, R.F. 1987. Expected stock returns and volatility. Journal of Financial Economics. 19, 3-29.
  • Hao, J. and Zhang, J. E. 2013. GARCH Option Pricing Models, the CBOE VIX, and Variance Risk Premium. Journal of Financial Econometrics, 11, 556-580.
  • Johansen, S. 1988. Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and Control, Vol. 12, No. 2/3, 231-254.
  • Johansen, S. and Juselius, K. 1990. Maximum Likelihood Estimation and Inference on Cointegration-With Applications to the Demand For Money, Oxford Bulletin of Economics and Statistics. 52(2), 169-210.
  • Kamaruddin, R. and Jusoff, K. 2009. An ARDL Approach in Food and Beverages Industry Growth Process in Malaysia, International Business Research, Vol.2, No.3.
  • Kaya, A. ve Çoşkun, A. 2015. VIX Endeksi Menkul Kıymet Piyasalarının Bir Nedeni midir? Borsa İstanbul Örneği. Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 16(1), 175-186.
  • Kaya, A., Güngör, B. ve Özçomak, M. S. 2015. Is VIX Index a Fear Index for Investors? OECD Countries Stock Exchange Example with ARDL Approach. International Review of Research in Emerging Markets and the Global Economy (IRREM), Vol. 1, Issue 1, 254-272.
  • Kaya, E. 2015. Borsa İstanbul (BIST) 100 Endeksi ile Zımni Volatilite (VIX) Endeksi Arasındaki Eş-Bütünleşme ve Granger Nedensellik. KMÜ Sosyal ve Ekonomik Araştırmalar Dergisi. 17(28), 1-6.
  • Kliger, D. and Kudryavtsev A. 2013. Volatility expectations and the reaction to analyst recommendations. Journal of Economic Psychology, 2013, vol. 3, issue C, 1-6.
  • Korkmaz, T. ve Çevik, E. İ. 2009. Zımni Volatilite Endeksinden Gelişmekte Olan Piyasalara Yönelik Volatilite Yayılma Etkisi. BDDK Bankacılık ve Finansal Piyasalar, 3, 87-105.
  • Köse, A. K. ve Akkaya, M. 2016. Beklenti ve Güven Anketlerinin Finansal Piyasalara Etkisi: BİST-100 Üzerine Bir Uygulama, Türkiye Bankalar Birliği Bankacılar Dergisi, Sayı:99, 3-15.
  • Kumar, S. 2012. A first look at the properties of India’s volatility index. Int J Emerg Mark 7(2):160-176.
  • Merton, R. C. 1973. The theory of rational option pricing. Journal of Economics and Management Science, 4(1), 141-183.
  • Neng, L. Y. 2013. VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation. Journal of Banking & Finance. 37(11), 4432-4446.
  • Nossman, M. and Wilhelmson, A. 2009.Is the VIX Futures Market Able to Predict the VIX Index? A Test of the Expectation Hypothesis, The Journal of Alternative Investment, Fall, 54-67.
  • Paudel, R. C. and Jayanthakumaran, K. 2009, Financial Liberalizaton and Performance in Sri Lanka: The ARDL Approach, South Asia Economic Journal, 10(1), 127-156.
  • Pesaran, M. H. and Shin Y. 1999. An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis in Steinar STROM (Ed.), Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium, UK: Cambridge University Press, 371-413.
  • Pesaran, M. H., Shin, Y. and Smith R. J. 2001. Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16, 289-326.
  • Pesaran, M.H., Y. Shin and R.J. Smith 1996. Testing for the Existence of a Long-Run Relationship, D A E Working Papers Am algam ated Series, No.9622, University of Cambridge An Autoregressive Distributed Lag Modeling Approach to Co-integration Analysis,
  • Phillips, P.C.B. and Perron, P. 1988. Testing for a Unit Root in Time Series Regression, Biometrica, Vol. 75, 335-346.
  • Sarwar, G. 2012. Is VIX an investor fear gauge in BRIC equity markets? Journal of Multinatl. Finance Management. 22(3), 55-65
  • Shaikh, I. and Padhi, P. 2014. The forecasting performance of implied volatility index: evidence from India VIX. Economic Change and Restructuring, 47(4), 251-274.
  • Stulz, R.M. 1986. Interest Rates and Monetary Policy Uncertainty. Journal of Monetary Economics. 17, 331-347.
  • Ting, C. 2007. Fear in the Korea stock market. Review of Futures Markets, 16(1), 106-140.
  • Umutlu, M., Akdeniz, L. and A. Altay-Salih. 2013. Foreign Equity Trading and Average Stock-Return Volatility, World Economy. 36(9), 1209-1228.
  • Wang, J. 2007. Foreign Equity Trading and Emerging Market Volatility Evidence from Indonesia and Thailand. Journal of Development Economics, 84, 798-811.
  • Whaley, R. E. 2000. The investor fear gauge. Journal of Portfolio Management. 26, 12-26.
  • Whaley, R. E. 2009. Understanding the VIX. Journal of Portfolio Management. 35, 98-105.

ANALYSIS OF THE RELATIONSHIP BETWEEN BIST CORPORATE GOVERNANCE INDEX (XKURY) AND THE FEAR INDEX (CHICAGO BOARD OPTIONS EXCHANGE VOLATILITY INDEX-VIX)

Year 2017, Volume: 19 Issue: 2, 27 - 37, 29.12.2017

Veysel Kula , Ender Baykut

Abstract











This paper attempts to examine the long run and the short run interactions of Fear Index (Chicago Board Options Exchange Volatility Index, also called VIX Index) and XKURY Index (Borsa Istanbul Corporate Governance Index). The empirical investigation employed daily data between 31 August 2007 to 31 December 2015, as 31 August 2007 is the starting date of calculating XKURY Index. In this study, it was used daily return data of Borsa Istanbul XKURY Index and Chicago Board Options Exchange VIX Index. The Autoregressive Distributed Lag (ARDL) analytical-cointegration technique is used to capture the dynamics of long-run relationship between the indices. The results of the analysis reveal long run relationship between Fear (VIX) Index and XKURY Index. 

Keywords

Borsa Istanbul Corporate Governance Index Fear Index (VIX) ARDL Model Bound Test

References

  • Balcılar, M. ve Demirer, R. 2015. Impact of Global Shocks and Volatility on Herd Behavior in an Emerging Market: Evidence from Borsa Istanbul, Emerging Markets Finance and Trade Review. 51, 1-20.
  • Black, F. and Scholes, M. 1973. The pricing of options and corporate liabilities. Journal of Political Economy. 81(3), 637-654.
  • Borsa İstanbul Kurumsal Yönetim Endeksi, XKURY. 2016. http://www.borsaistanbul.com/endeksler/bist-pay-endeksleri/kurumsal-yonetim-endeksi.
  • Christie, A.A. 1982. The stochastic behavior of common stock variances: value, leverage, and interest rate effects. Journal of Financial Economics. 10, 407-432.
  • Chung, T.Y. and Chen, D.M. 1997. On the Distribution of CBOE Option Trade Prices Occurring Between Consecutive Stock Trades. Review of Quantitative Finance and Accounting. 9(3), 269-288.
  • Corrado, C. J. and Miller, T. W. 2005. The forecast quality of CBOE implied volatility indexes. Journal of Futures Markets. 25(4), 339-373.
  • Çağlayan, E. 2006 Enflasyon, Faiz Oranı ve Büyümenin Yurtiçi Tasarruflar Üzerindeki Etkileri, Marmara Üniversitesi, İ.İ.B.F. Dergisi, Cilt:XXI, Sayı:1.
  • Dash, S. and Moran, M.T. 2005. VIX as a companion of hedge fund portfolios. The Journal of Alternative Investments. 8, 75-82.
  • Dıckey, D. A. and Fuller W. A. 1981. Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, 49(4), 1057-1072.
  • Dıckey, D. A. and Fuller, W. A. 1979. Distribution of the Estimators for Autoregressive Time Series With a Unit Root, Journal of the American Statistical Association,74(366), 427-431.
  • Ekşi, İ.H. 2011. Firmaların Banka Kredisi Kullanımında Güven Faktörünün Etkisi. Anadolu Üniversitesi Sosyal Bilimler Dergisi, Cilt:11, Sayı:2, 33-42.
  • Engle, R. F., Clive, W., and Granger, J. 1987. Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica, 55(2), 251-276.
  • Erdoğan, S. ve Bozkurt, H. 2008. Türkiye’de Yaşam Beklentisi- Ekonomik Büyüme İlişkisi: ARDL Modeli ile Bir Analiz. Bilgi Ekonomisi ve Yönetimi Dergisi. Cilt:III, Sayı:I.
  • Erdoğdu, H. ve Baykut, E. 2016. BİST Banka Endeksi’nin (XBANK) VIX ve MOVE Endeksleri ile İlişkisinin Analizi, Türkiye Bankalar Birliği Bankacılar Dergisi, Sayı:98, 57-72.
  • Esqueda, O., Luo, Y. and Jackson D. 2013. The linkage between the U.S. “fear index” and ADR premiums under non-frictionless stock markets. Journal of Economics and Finance, 2013 (July), 1-16.
  • Fama, F. 1970. Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance. 25, 338-417.
  • Fernandes, M., Medeiros, M. C. and Scharth, M. 2014. Modeling and predicting the CBOE market volatility index. Journal of Banking & Finance. 40(1), 1-10.
  • Fleming, J., Ostdiek, B. and Whaley, R.E. 1995. Predicting stock market volatility: a new measure. Journal of Futures Markets. 15, 265-302.
  • French, K.R., Schwert, G.W. and Stambaugh, R.F. 1987. Expected stock returns and volatility. Journal of Financial Economics. 19, 3-29.
  • Hao, J. and Zhang, J. E. 2013. GARCH Option Pricing Models, the CBOE VIX, and Variance Risk Premium. Journal of Financial Econometrics, 11, 556-580.
  • Johansen, S. 1988. Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and Control, Vol. 12, No. 2/3, 231-254.
  • Johansen, S. and Juselius, K. 1990. Maximum Likelihood Estimation and Inference on Cointegration-With Applications to the Demand For Money, Oxford Bulletin of Economics and Statistics. 52(2), 169-210.
  • Kamaruddin, R. and Jusoff, K. 2009. An ARDL Approach in Food and Beverages Industry Growth Process in Malaysia, International Business Research, Vol.2, No.3.
  • Kaya, A. ve Çoşkun, A. 2015. VIX Endeksi Menkul Kıymet Piyasalarının Bir Nedeni midir? Borsa İstanbul Örneği. Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 16(1), 175-186.
  • Kaya, A., Güngör, B. ve Özçomak, M. S. 2015. Is VIX Index a Fear Index for Investors? OECD Countries Stock Exchange Example with ARDL Approach. International Review of Research in Emerging Markets and the Global Economy (IRREM), Vol. 1, Issue 1, 254-272.
  • Kaya, E. 2015. Borsa İstanbul (BIST) 100 Endeksi ile Zımni Volatilite (VIX) Endeksi Arasındaki Eş-Bütünleşme ve Granger Nedensellik. KMÜ Sosyal ve Ekonomik Araştırmalar Dergisi. 17(28), 1-6.
  • Kliger, D. and Kudryavtsev A. 2013. Volatility expectations and the reaction to analyst recommendations. Journal of Economic Psychology, 2013, vol. 3, issue C, 1-6.
  • Korkmaz, T. ve Çevik, E. İ. 2009. Zımni Volatilite Endeksinden Gelişmekte Olan Piyasalara Yönelik Volatilite Yayılma Etkisi. BDDK Bankacılık ve Finansal Piyasalar, 3, 87-105.
  • Köse, A. K. ve Akkaya, M. 2016. Beklenti ve Güven Anketlerinin Finansal Piyasalara Etkisi: BİST-100 Üzerine Bir Uygulama, Türkiye Bankalar Birliği Bankacılar Dergisi, Sayı:99, 3-15.
  • Kumar, S. 2012. A first look at the properties of India’s volatility index. Int J Emerg Mark 7(2):160-176.
  • Merton, R. C. 1973. The theory of rational option pricing. Journal of Economics and Management Science, 4(1), 141-183.
  • Neng, L. Y. 2013. VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation. Journal of Banking & Finance. 37(11), 4432-4446.
  • Nossman, M. and Wilhelmson, A. 2009.Is the VIX Futures Market Able to Predict the VIX Index? A Test of the Expectation Hypothesis, The Journal of Alternative Investment, Fall, 54-67.
  • Paudel, R. C. and Jayanthakumaran, K. 2009, Financial Liberalizaton and Performance in Sri Lanka: The ARDL Approach, South Asia Economic Journal, 10(1), 127-156.
  • Pesaran, M. H. and Shin Y. 1999. An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis in Steinar STROM (Ed.), Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium, UK: Cambridge University Press, 371-413.
  • Pesaran, M. H., Shin, Y. and Smith R. J. 2001. Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16, 289-326.
  • Pesaran, M.H., Y. Shin and R.J. Smith 1996. Testing for the Existence of a Long-Run Relationship, D A E Working Papers Am algam ated Series, No.9622, University of Cambridge An Autoregressive Distributed Lag Modeling Approach to Co-integration Analysis,
  • Phillips, P.C.B. and Perron, P. 1988. Testing for a Unit Root in Time Series Regression, Biometrica, Vol. 75, 335-346.
  • Sarwar, G. 2012. Is VIX an investor fear gauge in BRIC equity markets? Journal of Multinatl. Finance Management. 22(3), 55-65
  • Shaikh, I. and Padhi, P. 2014. The forecasting performance of implied volatility index: evidence from India VIX. Economic Change and Restructuring, 47(4), 251-274.
  • Stulz, R.M. 1986. Interest Rates and Monetary Policy Uncertainty. Journal of Monetary Economics. 17, 331-347.
  • Ting, C. 2007. Fear in the Korea stock market. Review of Futures Markets, 16(1), 106-140.
  • Umutlu, M., Akdeniz, L. and A. Altay-Salih. 2013. Foreign Equity Trading and Average Stock-Return Volatility, World Economy. 36(9), 1209-1228.
  • Wang, J. 2007. Foreign Equity Trading and Emerging Market Volatility Evidence from Indonesia and Thailand. Journal of Development Economics, 84, 798-811.
  • Whaley, R. E. 2000. The investor fear gauge. Journal of Portfolio Management. 26, 12-26.
  • Whaley, R. E. 2009. Understanding the VIX. Journal of Portfolio Management. 35, 98-105.
There are 46 citations in total.

Details

Journal Section Research Articles
Authors

Veysel Kula

Ender Baykut

Publication Date December 29, 2017
Submission Date April 14, 2017
Acceptance Date October 30, 2017
Published in Issue Year 2017 Volume: 19 Issue: 2

Cite

APA Kula, V., & Baykut, E. (2017). BORSA İSTANBUL KURUMSAL YÖNETİM ENDEKSİ (XKURY) İLE KORKU ENDEKSİ (CHICAGO BOARD OPTIONS EXCHANGE VOLATILITY INDEX-VIX) ARASINDAKİ İLİŞKİNİN ANALİZİ. Afyon Kocatepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 19(2), 27-37.
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