GELİŞMİŞ ASYA-PASİFİK VE KUZEY-AMERİKA ÜLKELERİ HİSSE SENEDİ PİYASALARININ VIX KORKU ENDEKSİNE TEPKİSİ

Year 2022, , 127 - 146, 22.03.2022

Cagri Hamurcu

https://doi.org/10.11611/yead.1017612

Abstract

Gelişmiş Asya-Pasifik ve Kuzey-Amerika Ülkeleri hisse senedi piyasalarının VIX endeksine tepkisini incelemek ve elde edilen sonuçları davranışsal finans perspektifinden değerlendirmek çalışmanın temel amacını oluşturmaktadır. Japonya, Avustralya, Yeni Zelanda, Amerika ve Kanada ülkelerine ait borsa endekslerinin, VIX endeksinden nasıl etkilendiği Granger nedensellik ve regresyon modelleri ile analiz edilmiştir. Sonuçlar, ele alınan borsa endekslerinin VIX endeksi ile Granger nedensellik ilişkisi bağlamında açıklanabileceğini ortaya koymaktadır. VIX endeksinin bir gecikmeli değerlerinin, borsa endekslerini tahmin edebileceği ve bu ilişkilerdeki katsayıların Amerika haricinde negatif işaretli olduğu, geleneksel regresyon analizlerinden anlaşılmaktadır. Japonya’nın VIX endeksinin bir gecikmeli değerinden Gelişmiş Asya-Pasifik ülkeleri arasında negatif anlamda en fazla etkilendiği, Japonya’yı Avustralya ve Yeni Zelanda’nın izlediği anlaşılmaktadır. Gelişmiş Kuzey-Amerika ülkeleri değerlendirildiğinde, Kanada’nın Amerika’dan daha fazla etkilendiği görülmektedir. Toplumlara ait yaygın kişilik profillerinin piyasa hareketlerinin belirleyicileri arasında olabileceği ve ülkelerin VIX endeksinden etkilenmelerindeki farklılığın bölgesel yakınlık esasında ele alınan nevrotizm kişilik faktörü ile bağlantılı olabilecek sürü davranışı eğiliminden kaynaklanmış olabileceği düşünülmektedir.

Keywords

Davranışsal Finans, Borsa, VIX, Asya-Pasifik, Kuzey-Amerika, Sürü Davranışı, Kişilik, Nevrotizm

REACTION OF THE DEVELOPED ASIA PACIFIC AND NORTHERN AMERICA COUNTRIES STOCK MARKETS TO THE VIX FEAR INDEX

Abstract

The main purpose of the study is to examine the reaction of the stock markets of the developed Asia-Pacific and Northern America countries to the VIX index and to evaluate the results obtained from the behavioral finance perspective. How the stock market indices of Japan, Australia, New Zealand, America and Canada were affected by the VIX index was analyzed with Granger causality and regression models. The results reveal that the discussed stock indices can be explained in the context of the VIX index and Granger causality relationship. It is understood from the traditional regression analyzes that the one lagged values of the VIX index can predict the stock market indices and that the coefficients in these relationships are negative except for the Amerika. It is understood that Japan was negatively affected by the one lagged value of the VIX index among the Developed Asia-Pacific countries, followed by Australia and New Zealand. When the developed North American countries are evaluated, it is seen that Canada is more affected than the United States. It is thought that the widespread personality profiles of societies may be among the determinants of market movements and the difference in the effects of countries on the VIX index may be due to the herding behavior tendency, which may be related to the neuroticism personality factor, which is considered on the basis of regional proximity.

Keywords

Behavioral Finance, Stock Market, VIX, Asia Pacific, Northern Amerika, Herding, Personality, Neuroticism

References

• Baker, H.K., Kumar, S. and Goyal, N. (2019), "Personality traits and investor sentiment", Review of Behavioral Finance, Vol. ahead-of-print No. ahead-of-print. https://doi.org/10.1108/RBF-08-2017-0077
• Baker, M., Wurgler, J., & Yuan, Y. (2012). "Global, local, and contagious investor sentiment", Journal of financial economics, 104(2), 272-287. https://doi.org/10.1016/j.jfineco.2011.11.002
• Baker, M., & Wurgler, J. (2007). "Investor sentiment in the stock market", Journal of economic perspectives, 21(2), 129-152. https://doi.org/10.1257/jep.21.2.129
• Bathia, D., & Bredin, D. (2013). "An examination of investor sentiment effect on G7 stock market returns", The European Journal of Finance, 19(9), 909-937. http://dx.doi.org/10.1080/1351847X.2011.636834
• Cheuathonghua, M., Padungsaksawasdi, C., Boonchoo, P., & Tongurai, J. (2019). "Extreme spillovers of VIX fear index to international equity markets", Financial Markets and Portfolio Management, 33(1), 1-38. https://doi.org/10.1007/s11408-018-0323-6
• Chiang, T. C., Li, J., Tan, L., & Nelling, E. (2013). "Dynamic herding behavior in Pacific-Basin markets: Evidence and implications", Multinational Finance Journal, 17(3/4), 165-200. Available at SSRN: https://ssrn.com/abstract=2619663
• Horzum, M. B., Tuncay, A., ve Padır, M. A. (2017). "Beş Faktör Kişilik Ölçeğinin Türk Kültürüne Uyarlanması Adaptation of Big Five Personality Traits Scale to Turkish Culture", Sakarya University Journal of Education, 7(2), 398-408. https://doi.org/10.19126/suje.298430
• Janakiramanan, S., & Lamba, A. S. (1998). "An empirical examination of linkages between Pacific-Basin stock markets", Journal of International Financial Markets, Institutions and Money, 8(2), 155-173. https://doi.org/10.1016/S1042-4431(98)00029-8
• Johnson, R., & Soenen, L. (2002). "Asian economic integration and stock market comovement", Journal of Financial Research, 25(1), 141-157. https://doi.org/10.1111/1475-6803.00009
• McCrae, R. R., & Terracciano, A. (2005). "Personality profiles of cultures: aggregate personality traits", Journal of personality and social psychology, 89(3), 407-425. https://doi.org/10.1037/0022-3514.89.3.407
• Narayan, P. K., & Smyth, R. (2005). "Cointegration Of Stock Markets Between New Zealand, Australia And The G7 Economies: Searching For Co‐Movement Under Structural Change", Australian economic papers, 44(3), 231-247. https://doi.org/10.1111/j.1467-8454.2005.00262.x
• Nofsinger, J. R., & Sias, R. W. (1999). "Herding and feedback trading by institutional and individual investors", The Journal of finance, 54(6), 2263-2295. https://doi.org/10.1111/0022-1082.00188
• Rizvi S ve Fatima A. (2015). "Behavioral Finance: A Study of Correlation Between Personality Traits with the Investment Patterns in the Stock Market", In: Chatterjee S., Singh N., Goyal D., Gupta N. (eds) Managing in Recovering Markets. Springer Proceedings in Business and Economics. Springer, New Delhi. https://doi.org/10.1007/978-81-322-1979-8_11
• Ruan, L. (2018). "Research on Sustainable Development of the Stock Market Based on VIX Index", Sustainability, 10(11), 4113. https://doi.org/10.3390/su10114113
• Schmitt, D. P., Allik, J., McCrae, R. R., & Benet-Martínez, V. (2007). "The geographic distribution of Big Five personality traits: Patterns and profiles of human self-description across 56 nations", Journal of cross-cultural psychology, 38(2), 173-212. https://doi.org/10.1177/0022022106297299
• Sias, R. W. (2004). "Institutional herding", The Review of Financial Studies, 17(1), 165-206. https://doi.org/10.1093/rfs/hhg035
• Smales, L. A. (2020). "Examining the relationship between policy uncertainty and market uncertainty across the G7", International Review of Financial Analysis, 71, 101540. https://doi.org/10.1016/j.irfa.2020.101540
• Spyrou, S. (2013). "Herding in financial markets: a review of the literature", Review of Behavioral Finance. https://doi.org/10.1108/RBF-02-2013-0009
• Vuong, N. B., & Suzuki, Y. (2020). "Does Fear has Stronger Impact than Confidence on Stock Returns? The Case of Asia-Pacific Developed Markets", Scientific Annals of Economics and Business, 67(2), 157-175.
• Whaley, R. E. (2009). "Understanding the VIX", The Journal of Portfolio Management, 35(3), 98-105. https://doi.org/10.3905/JPM.2009.35.3.098
• Whaley, R. E. (2000). "The investor fear gauge", The Journal of Portfolio Management, 26(3), 12-17. https://doi.org/10.3905/jpm.2000.319728