The Effects of Volatilities in Oil Price, Gold Price and VIX Index on Turkish BIST 100 Stock Index in Pandemic Period

Year 2022, , 39 - 54, 30.06.2022

Kadir Tuna

https://doi.org/10.26650/ISTJECON2021-1034794

Abstract

This study examines the effects of volatilities in oil price, gold price and the VIX index on the Turkish BIST 100 stock index during the pandemic period. For this purpose, an econometric analysis has been carried out by using the oil, gold and VIX index data which consist of 363 daily observations between 11/03/2020 – 13/09/2021. In the econometrics analysis; the Toda-Yamamoto Causality test analysis was preferred because the variables were not stationary at the same level and an impulse-response analysis and variance decomposition methods were used. According to the Toda-Yamamoto Causality test, there is no casuality between oil price, gold price, VIX index and BIST100. The results of impulse-response functions and variance decomposition analyses were also similar to the Toda-Yamomoto causality test. The results of impulse-response functions and variance decomposition analysis; The effect of oil price, gold price and VIX index on BIST 100 decreases rapidly in a short time. In addition, the variances of BIST100 are mostly self-explained in all periods

Keywords

Toda-Yamamoto Causality Test, BIST 100, Gold Price, Oil Price, VIX Index

Covid–19 Pandemi Döneminde Petrol fiyatı, Altın fiyatı ve VIX Endeksindeki Oynaklıkların Türkiye BİST 100 Endeksi Üzerindeki Etkileri

Abstract

Çalışmada, Covid – 19 pandemi dönemindeki petrol fiyatı, altın fiyatı ve VIX endeksindeki oynaklıkların Türkiye BİST 100 endeksi üzerindeki etkileri incelenmektedir. Bu amaçla, 11/03/2020 – 13/09/2021 tarihleri arasında 363 günlük gözlemden oluşan petrol, altın ve VIX endeksi verileri kullanılarak ekonometrik analiz uygulanmıştır. Değişkenlerin aynı derece durağan olmamaları nedeniyle Toda-Yamamoto Nedensellik testi çalışmada tercih edilmiş ve ayrıca etki-tepki fonksiyonu ve varyans ayrıştırma yöntemleri kullanılmıştır. Toda-Yamamoto Nedensellik testi sonucuna göre; petrol fiyatı, altın fiyatı ve VIX endeksi ile BİST100 endeksi arasında nedensellik ilişkisine rastlanılmamıştır. Etki-tepki fonksiyonları ve varyans ayrıştırma analizlerinin sonuçları da Toda-Yamomoto nedensellik testine benzerlik göstermektedir. Etki-tepki fonksiyonları ve varyans ayrıştırma analizi sonuçlarına göre; Petrol fiyatı, altın fiyatı ve VIX endeksinin BİST 100 endeksi üzerindeki etkisi kısa sürede azalmaktadır ve BİST100 tüm dönemlerde kendisi tarafından açıklanmaktadır.

Keywords

Toda-Yamamoto Causality Test, BIST 100, Gold Price, Oil Price, VIX Index.

References

• Akaike, H. (1974). A new look at the statistical model identification. IEEE Transactions on Automatic Control, 19(6), 716-723. google scholar
• Akgün, A., Şahin, I, E. & Yilmaz, B. (2013). The effect of variations in gold and oil prices on BIST 100 Index. Mediterranean Journal of Social Sciences, 4(10), 726-730. google scholar
• Akkoç, U. & Civcir, I. (2019). Dynamic linkages between strategic commodities and stock market in Turkey: Evidence from SVAR-DCC-GARCH model. Resources Policy, 62, 231-239, https://doi. org/10.1016/j.resourpol.2019.03.017. google scholar
• Bildirici M. (2019). The chaotic behavior among the oil prices, expectation of investors and stock returns: TAR-TR-GARCH copula and TAR-TR-TGARCH copula. Petroleum Science, 16(1), 217228 google scholar
• Dickey, D. A. & Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74(366a), 427-431. google scholar
• Gazel S. (2016). Coıntegratıon and causalıty between BIST 100 Index and gold price. International Journal of Business and Management Studies, 5, 337-344. google scholar
• Granger, C. W. (1988). Causality, cointegration and control. Journal of Economic Dynamics and Control, 12(2), 551-559 google scholar
• Güzel F. & Acar M. (2021). The effects of epidemics on capital markets volatility: A case study of Borsa Istanbul. CES Working Papers , 13(1), 50-70. google scholar
• İlhan, A. & Akdeniz, C. (2020). The Impact of Macroeconomic Variables on The Stock Market in The Time of Covid-19: The Case of Turkey. Ekonomi Politika ve Finans Araştırmaları Dergisi, 5(3), 893-912. DOI: 10.30784/epfad.810630 google scholar
• Just M. and Echaust K., (2020). “Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: Evidence from the Markov switching approach”, Finance Research Letters, 37(11), pp. 1-8. google scholar
• MacKinnon, J. G. (1996). Numerical distribution functions for unit root and cointegration tests. Journal ofApplied Econometrics, 11(6), 601-618. google scholar
• Çamoğlu, M. S. (2021). The Impacts of Oil Prices, Exchange Rate and COVID-19 Pandemic on BIST Petrochemical Market. WorldJournal ofApplied Economics, 7(1), 17-33. https://doi.org/10.22440/ wjae.7.1.2 google scholar
• Özdurak, C. (2020). Spillover effect of oil price fluctuations on airlines stock returns in Borsa İstanbul during the COVID-19 pandemic: A VAR-VECH-TARCH Application. Finans Ekonomi ve Sosyal Araştırmalar Dergisi, 5(4), 699-716. DOI: 10.29106/fesa.800357 google scholar
• Toda, H.Y. and Yamamoto, T. (1995). Statistical inference in Vector Autoregressions with possibly integrated processes. Journal of Econometrics, 66, 225-250. google scholar
• E.A. Toparlı, Çatık, A. N. & Balcılar, M. (2019). The impact of oil prices on the stock returns in Turkey: A TVP-VAR approach. Physica A: Statistical Mechanics and Its Applications, 535, 122-392. google scholar
• Sarı, S. S. & Kartal, T. (2020). The Relationship of COVID-19 Pandemic with Gold Prices, Oil Prices and VIX Index. Erzincan University Journal of Social Sciences Institute, 13(1), 93-109. google scholar
• Sumer, L. & Ozorhon, B. (2021). Investing in gold or REIT index in Turkey: evidence from global financial crisis, 2018 Turkish currency crisis and COVID-19 crisis. Journal of European Real Estate Research, 14(1), 84-99. https://doi.org/10.1108/JERER-04-2020-0023 google scholar
• WHO, (2021). WHO Coronavirus Disease (COVID-19) Dashboard. https://covid19.who.int/ google scholar
• World Economic Forum, (2020). Mad march: How the stock market ıs being hit by COVID-19. https:// www.weforum.org/agenda/2020/03/stock-market-volatility-coronavirus/ google scholar
• Yamada, H. (1998). A note on the causality between export and productivity: an empirical reexamination. Economics Letters, 61, 111-114. google scholar