Investigation of The Relationship Between VIX Index and BRICS Countries Stock Markets: An Econometric Application

Year 2020, Volume: 4 Issue: 2, 397 - 413, 30.09.2020

Samet Gürsoy

https://doi.org/10.31200/makuubd.735380

Cited By: 11

Abstract

The VIX index, the largest volatility indicator index of the USA, has been derived from the S&P 500 index and has been carefully monitored by international investors since 1993. While the VIX index was previously followed by investors from developed countries, it is now followed by investors who evaluate their investments in developing countries. In this study, It was examined the effect of price movements in the VIX index on the stock markets of the developing (BRICS) countries between the dates of 02.24.2011 and 06.01.2020. Toda Yamamoto causality test was used by using daily closing data. In addition, bilateral results were examined for each variable in the study. Considering the findings obtained from the study, it was observed that the VIX index is in bilateral causality with Russia (RTSI) and South Africa (INVSAF40) stock markets as of the baseline period. On the other hand, it is determined that the price movements in the VIX index have a unilateral causality relationship on India (BSESN) and China (SSEC) indices. However, it has been concluded that the VIX index does not have a unilateral or bilateral causal relationship with the Brazilian (BOVESPA) stock market.

Keywords

VIX index, Stock Markets, BRICS Countries

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