THE IMPACT OF VIX RISK APPETITE INDEX ON THE DYNAMICS OF TIME-VARYING MARKET EFFICIENCY IN BORSA ISTANBUL

Mehmet Kuzu

doi:10.17261/Pressacademia.2025.1964

THE IMPACT OF VIX RISK APPETITE INDEX ON THE DYNAMICS OF TIME-VARYING MARKET EFFICIENCY IN BORSA ISTANBUL

Abstract

Purpose – The purpose of this research is to investigate the time-varying efficient market structure of the Borsa Istanbul (BIST-100) index at a daily frequency from 1988 to 2024, as well as to examine the impact that the risk appetite index (VIX) has on this structure. Methodology – A vector autoregression (VAR) model and a time-varying variance ratio test are used in this research project to evaluate the effectiveness of the market and its time-varying dynamic development. Findings – According to the findings, market efficiency changes over time due to domestic and global political issues. This suggests that market efficiency is not static but rather dynamic. The market had a low level of efficiency between the years 1988 and 1995, then moved to a semi-efficient form between 1995 and 2002, and then reached a strong form between 2002 and 2010, despite undergoing fluctuations. Worldwide crises caused these fluctuations. For the period spanning from 2010 to 2020, the most significant degree of efficiency and the most efficient flow of information is shown. On the other hand, following 2020, market efficiency exhibited a complicated pattern, alternating between semi-efficient and strong forms. Conclusion – Risk appetite shocks favorably impact short-term market efficiency but adversely impact market efficiency over the long term. In this context, information asymmetry and irrational investment conduct seem to contribute to a gradual decline in market efficiency. The research contributes to the existing form of knowledge by providing a methodological framework that can be used to analyze the development of dynamic market efficiency. Furthermore, the results shed light on the need for policymakers to pursue structural changes based on behavioral finance to maintain market efficiency.

Keywords

References

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Details

Primary Language

English

Subjects

Finance, Finance and Investment (Other), Business Administration

Journal Section

Research Article

Authors

Mehmet Kuzu ^*
0000-0001-5354-4368
Türkiye

Publication Date

July 30, 2025

Submission Date

March 11, 2025

Acceptance Date

June 9, 2025

Published in Issue

Year 2025 Volume: 12 Number: 1

DOI

https://doi.org/10.17261/Pressacademia.2025.1964

IZ

https://izlik.org/JA35UZ49GK

Cite

RIS / Bibtex

APA

Kuzu, M. (2025). THE IMPACT OF VIX RISK APPETITE INDEX ON THE DYNAMICS OF TIME-VARYING MARKET EFFICIENCY IN BORSA ISTANBUL. Journal of Economics Finance and Accounting, 12(1), 20-29. https://doi.org/10.17261/Pressacademia.2025.1964

AMA

1.Kuzu M. THE IMPACT OF VIX RISK APPETITE INDEX ON THE DYNAMICS OF TIME-VARYING MARKET EFFICIENCY IN BORSA ISTANBUL. JEFA. 2025;12(1):20-29. doi:10.17261/Pressacademia.2025.1964

Chicago

Kuzu, Mehmet. 2025. “THE IMPACT OF VIX RISK APPETITE INDEX ON THE DYNAMICS OF TIME-VARYING MARKET EFFICIENCY IN BORSA ISTANBUL”. Journal of Economics Finance and Accounting 12 (1): 20-29. https://doi.org/10.17261/Pressacademia.2025.1964.

EndNote

Kuzu M (July 1, 2025) THE IMPACT OF VIX RISK APPETITE INDEX ON THE DYNAMICS OF TIME-VARYING MARKET EFFICIENCY IN BORSA ISTANBUL. Journal of Economics Finance and Accounting 12 1 20–29.

IEEE

[1]M. Kuzu, “THE IMPACT OF VIX RISK APPETITE INDEX ON THE DYNAMICS OF TIME-VARYING MARKET EFFICIENCY IN BORSA ISTANBUL”, JEFA, vol. 12, no. 1, pp. 20–29, July 2025, doi: 10.17261/Pressacademia.2025.1964.

ISNAD

Kuzu, Mehmet. “THE IMPACT OF VIX RISK APPETITE INDEX ON THE DYNAMICS OF TIME-VARYING MARKET EFFICIENCY IN BORSA ISTANBUL”. Journal of Economics Finance and Accounting 12/1 (July 1, 2025): 20-29. https://doi.org/10.17261/Pressacademia.2025.1964.

JAMA

1.Kuzu M. THE IMPACT OF VIX RISK APPETITE INDEX ON THE DYNAMICS OF TIME-VARYING MARKET EFFICIENCY IN BORSA ISTANBUL. JEFA. 2025;12:20–29.

MLA

Kuzu, Mehmet. “THE IMPACT OF VIX RISK APPETITE INDEX ON THE DYNAMICS OF TIME-VARYING MARKET EFFICIENCY IN BORSA ISTANBUL”. Journal of Economics Finance and Accounting, vol. 12, no. 1, July 2025, pp. 20-29, doi:10.17261/Pressacademia.2025.1964.

Vancouver

1.Mehmet Kuzu. THE IMPACT OF VIX RISK APPETITE INDEX ON THE DYNAMICS OF TIME-VARYING MARKET EFFICIENCY IN BORSA ISTANBUL. JEFA. 2025 Jul. 1;12(1):20-9. doi:10.17261/Pressacademia.2025.1964