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

Year 2022, Volume: 72 Issue: 1, 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.

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