BİST 100 Endeksi Yapısal Kırılmalı Nedensellik Fourier Toda Yamamoto Yaklaşımı VIX Endeksi CDS Primi
In this paper, the presence of the possible causality between BIST-100 Index and VIX and CDS Premium is empirically examined for Turkey over the period 2010/01-2020/06 by employing the Toda-Yamamato causality test and the Fourier Toda-Yamamato causality test with structural breaks. According to the findings, there is a unidirectional causality running from VIX to BIST-100 Index, while there is a bidirectional causality between BIST-100 Index and CDS Premium. The findings of the Toda-Yamamato and the Fourier Toda-Yamamoto causality tests support each other. Hence, the paper yields that both global and local uncertainty indicators affect the stock market indicators, implying that these uncertainty indicators should be considered in investment and policy decisions
BIST-100 index causality test structural breaks Fourier Toda Yamamoto approach VIX Index CDS premium
Primary Language | Turkish |
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Journal Section | Articles |
Authors | |
Publication Date | September 29, 2021 |
Submission Date | November 4, 2020 |
Published in Issue | Year 2021 Volume: 39 Issue: 3 |
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