Amerikan Volatilite ve Belirsizlik Endekslerinin BİST Bankacılık Endeksi ile İlişkisi: NARDL ve Toda-Yamamoto Yaklaşımı

Abstract

Yatırımcılar açısından volatilite ve belirsizlikler karar aşamasında önemli unsurlardır. Bu çalışmada, Amerikan piyasalarında volatilite göstergeleri olarak kullanılan Amerikan hazinesi borçlanma araçları opsiyonlarının tahmini volatilitesi, Nasdaq 100 endeksinin volatilitesi ve VIX volatilitesi ile Amerikan ekonomik politika belirsizliğinin Borsa İstanbul bankacılık endeksi ile ilişkileri incelenmektedir. 2010–2025 dönemine ait günlük verilerle yürütülen analizlerde, Doğrusal Olmayan Otoregresif Gecikmesi Dağıtılmış Durağanlık modeli ve Toda-Yamamoto Granger Nedensellik testi uygulanmıştır. Çalışmadan elde edilen bulgulara göre kısa vadede, Nasdaq 100 endeksinin ve Amerikan hazinesi borçlanma araçları opsiyonlarının volatiliteleri, ekonomik politika belirsizliğinin ve dolar endeksinin pozitif şokları bankacılık endeksini negatif olarak etkilemektedir. Uzun vadeli sonuçlarına göre ise dolar endeksi yine negatif ve VIX volatilitesi ise pozitif olarak etkilemektedir. Nedensellik testi sonuçlarına göre, VIX volatilitesi ve Nasdaq 100 volatilitesi bankacılık endeksinin Granger nedenidir. Çalışma bankacılık sektörünün çeşitli Amerikan volatilite ve belirsizlik göstergelerine karşı duyarlılığını ortaya koymaktadır.

Keywords

• BIST Bankacılık
• Volatilite
• Ekonomik Politika Belirsizliği
• NARDL
• Nedensellik
• TodaYamamoto

Relationship of U.S. Volatility and Uncertainty Indices with the BIST Banking Index: A NARDL and Toda-Yamamoto Approach

Abstract

The volatility and uncertainties are important factors in the decision making process for investors. In this study, the relationship between the volatility of US Treasury debt instrument options, volatility of Nasdaq 100 index, the volatility of VIX which are used as volatility indicators in US markets, and economic policy uncertainty and Borsa Istanbul banking index is analysed. The analyses conducted with daily data for the period 2010-2025, the Nonlinear Autoregressive Distributed Lag model and Toda-Yamamoto Granger Causality test were applied. According to the findings of the study, in the short run, positive shocks of the volatilities of US Treasury debt securities options, and Nasdaq 100, economic policy uncertainty and dollar index negatively affect the banking index. According to the long-term results, the dollar index again affects the banking index negatively and the volatility of VIX affects it positively. According to the causality test results, the volatility of VIX and the volatility of the Nasdaq 100 are the Granger cause of the banking index. The study reveals the sensitivity of the banking sector to various American volatility and uncertainty indicators.

Keywords

• BIST Bank
• Volatility
• Economic Policy Uncertainty
• NARDL
• Causality
• TodaYamamoto

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