BORSA İSTANBUL KURUMSAL YÖNETİM ENDEKSİ (XKURY) İLE KORKU ENDEKSİ (CHICAGO BOARD OPTIONS EXCHANGE VOLATILITY INDEX-VIX) ARASINDAKİ İLİŞKİNİN ANALİZİ

Yıl 2017, Cilt: 19 Sayı: 2, 27 - 37, 29.12.2017

Veysel Kula , Ender Baykut

Öz

Bu çalışmada Borsa İstanbul Kurumsal Yönetim Endeksi (XKURY) ile Korku Endeksi (Chicago Board Options Exchange Volatility Index-VIX) arasındaki uzun dönemli ilişki incelenecektir. Kurumsal Yönetim Endeksi'nin hesaplanmaya başladığı tarih olan 31 Ağustos 2007'den 31 Aralık 2015 tarihine kadar olan günlük verileri kapsayan çalışmada Borsa İstanbul Kurumsal Yönetim Endeksi ile Chicago Board Options Exchange Korku Endeksi'ne (VIX Endeksi) ait veriler kullanılmıştır. Endeksler arasındaki uzun dönemli ilişkinin tespiti için ARDL Modeli kullanılmıştır. Araştırmanın sonunda elde edilen bulgulara göre; XKURY ile VIX endeksleri arasında uzun dönemli ilişki tespit edilmiştir. 

Anahtar Kelimeler

Borsa İstanbul, Kurumsal Yönetim Endeksi, Korku Endeksi (VIX), ARDL Modeli, Sınır Testi

ANALYSIS OF THE RELATIONSHIP BETWEEN BIST CORPORATE GOVERNANCE INDEX (XKURY) AND THE FEAR INDEX (CHICAGO BOARD OPTIONS EXCHANGE VOLATILITY INDEX-VIX)

Öz

This paper attempts to examine the long run and the short run interactions of Fear Index (Chicago Board Options Exchange Volatility Index, also called VIX Index) and XKURY Index (Borsa Istanbul Corporate Governance Index). The empirical investigation employed daily data between 31 August 2007 to 31 December 2015, as 31 August 2007 is the starting date of calculating XKURY Index. In this study, it was used daily return data of Borsa Istanbul XKURY Index and Chicago Board Options Exchange VIX Index. The Autoregressive Distributed Lag (ARDL) analytical-cointegration technique is used to capture the dynamics of long-run relationship between the indices. The results of the analysis reveal long run relationship between Fear (VIX) Index and XKURY Index. 

Anahtar Kelimeler

Borsa Istanbul, Corporate Governance Index, Fear Index (VIX), ARDL Model, Bound Test

Kaynakça

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