Borsa İstanbul (BIST) 100 Endeksi İle Zımni Volatilite (VIX) Endeksi Arasındaki Eş-Bütünleşme Ve Granger Nedensellik

Öz

Depending on the financial liberalization, financial markets have begun to move together. The aim of this study made on the basis of integration of financial markets is to determine the causality relationship between BIST 100 index and VIX index. In the study covering 02/01/2009-11/01/2013 period, time series related to BIST 100 index and VIX index are used. In the research, Johansen-Juselius cointegration test and vector error correction model are applied. Johansen-Juselius cointegration test results show that there is cointegration between BIST 100 index and VIX index; however error correction model indicates BIST 100 index are affected by VIX index

Anahtar Kelimeler

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Borsa İstanbul (BIST) 100 Endeksi İle Zımni Volatilite (VIX) Endeksi Arasındaki Eş-Bütünleşme Ve Granger Nedensellik

Öz

Finansal serbestleşmeye bağlı olarak, finansal piyasalar birlikte hareket etmeye başlamıştır. Finansal piyasaların entegre olmasından yola çıkılarak yapılan bu çalışmanın amacı, BIST 100 endeksi ile VIX endeksi arasındaki nedensellik ilişkisini tespit etmektir. 02/01/2009-11/01/2013 dönemini kapsayan çalışmada, BIST 100 endeksi ve VIX endeksine ilişkin zaman serileri kullanılmıştır. Araştırmada, Johansen-Jeselius eş-bütünleşme testi ve vektör hata düzeltme modeli uygulanmıştır. Johansen-Juselius eş-bütünleşme testi sonuçları BIST 100 endeksi ile VIX endeksi arasında eş-bütünleşme olduğunu göstermiştir; hata düzeltme modeli ise BIST 100 endeksinin VIX endeksinden etkilendiğine işaret etmektedir

Anahtar Kelimeler

• Finansal Entegrasyon, Zımni Volatilite, VIX Endeksi

Kaynakça

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