Investigation of the Effect of Covid 19 on Borsa İstanbul Herd Behavior with the ARDL Bounds Testing Approach Within the VIX Index

Year 2023, , 11 - 34, 29.03.2023

Aslı Yıkılmaz

https://doi.org/10.33399/biibfad.1253263

Abstract

This study examines the herd behavior in the BIST 30 index within the scope of the VIX (fear) index in the pre-Covid-19 period, the Covid-19 period, and the post-Covid-19 period. In this study the existence of herd behavior was tested using with the Christie ve Huang (1995) ve Chang et al.(2000) model. The cointegration relationship between the VIX (fear) index and the BIST 30 index return was investigated with the distributed autoregressive bounds test approach (ARDL). According to the results, herd behavior was detected in the BIST 30 index in the pre-Covid-19 period, Covid-19 period, and post-Covid-19 period. According to the ARDL bounds test results, a cointegration relationship was found between the VIX index and the BIST 30 index return in all three periods. In the long run, an inverse and significant relationship was found between the VIX index and the BIST 30 index return in the Covid-19 period. In contrast, no significant relationship was found between the BIST 30 index return and the VIX fear index in the pre-Covid-19 period and post-Covid-19 period. The results indicate that the herd behavior detected in the BIST 30 index during the Covid-19 period is irrational herding behavior associated with investor fear.

Keywords

Davranışsal finans, Covid-19, sürü davranışı, VIX endeksi, ARDL bounds testing

Covid 19’un Borsa İstanbul Sürü Davranışına Etkisinin VIX Endeksi Kapsamında ARDL Sınır Testi Yaklaşımıyla İncelenmesi

Abstract

Bu çalışmanın amacı, Covid-19 öncesi dönem, Covid-19 dönemi ve Covid-19 sonrası dönemde BIST 30 endeksindeki sürü davranışını VIX (korku) endeksi kapsamında incelemektir. Çalışmada, sürü davranışının varlığı Christie ve Huang (1995) ve Chang vd. (2000) modeli ile test edilmiştir. VIX (korku) endeksi ve BIST 30 endeks getirisi arasındaki eş bütünleşme ilişkisi gecikmesi dağıtılmış otoregresif sınır testi yaklaşımı (ARDL) ile incelenmiştir. Çalışmadan elde edilen sonuçlara göre, Covid-19 öncesi dönem, Covid-19 dönemi ve Covid-19 sonrası dönemde BIST 30 endeksinde sürü davranışı tespit edilmiştir. ARDL sınır testi sonuçlarına göre, her üç dönemde VIX endeksiyle BIST 30 endeks getirisi arasında eş bütünleşme ilişkisi saptanmıştır. Uzun dönemde, VIX endeksi ile BIST 30 endeks getirisi arasında Covid-19 döneminde ters yönlü ve anlamlı ilişki tespit edilirken, Covid-19 öncesi dönem ve Covid-19 sonrası dönemde BIST 30 endeks getirisiyle VIX korku endeksi arasında anlamlı ilişki tespit edilememiştir. Sonuçlar, Covid-19 döneminde BIST 30 endeksinde tespit edilen sürü davranışının yatırımcı korkusuyla ilişkili olan rasyonel olmayan sürü davranışı olduğuna işaret etmektedir.

Keywords

Davranışsal finans, Covid-19, sürü davranışı, VIX endeksi, ARDL sınır testi

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