BRICS'in Yeni Üyeleri İçin Korku Endeksi Hâlâ Korkutucu mu? Hisse Senedi Piyasaları ve VIX İlişkisi Üzerine Bir Çalışma

Year 2025, Volume: 12 Issue: 2, 775 - 793, 30.06.2025

Gökhan Berk Özbek

https://doi.org/10.30798/makuiibf.1613885

Abstract

Küreselleşme olgusu, hisse senedi piyasalarının entegrasyonunu zamanla artırmaya devam etmektedir. Bu entegrasyon, etkili portföy çeşitlendirmesini zorlaştırırken, aynı zamanda finansal kriz dönemlerinde volatilite yayılımını da artırmaktadır. Bu yayılımlar, ağırlıklı olarak ABD piyasalarından küresel piyasalara doğru olmaktadır. Ekonomik hedefleri doğrultusunda BRICS bloku, Batı piyasalarının etkisini azaltma veya tamamen ortadan kaldırma potansiyeline sahiptir. Bu potansiyelin, yeni üye ülkelerin katılımıyla ve yakın gelecekte katılması beklenen diğer ülkelerle birlikte güçlenmesi muhtemeldir. Bu çalışma, 2024 yılında BRICS'e katılan ülkelerin hisse senedi piyasalarının ABD piyasalarıyla olan ilişkilerinde herhangi bir değişiklik olup olmadığını incelemeyi amaçlamaktadır. Bu bağlamda, üyelik öncesi ve sonrası dönemlerde VIX'in bu ülkelerin hisse senedi piyasalarına olan etkisi Toda-Yamamoto testi kullanılarak analiz edilmiştir. Çalışma bulguları üyelik öncesi dönemde VIX’ten araştırma kapsamındaki 3 ülkeden 2’sine doğru bir nedensellik olduğunu göstermektedir. Ancak, bu etkiler üyelik sonrası dönemde ortadan kalkmıştır. Çalışma, BRICS üyeliğinin, yeni üye ülkelerin hisse senedi piyasaları üzerindeki ABD piyasası etkisini ortadan kaldıran bir eşik işlevi gördüğünü göstermektedir. Bu bulgu, gelecekte BRICS üyeliğine aday olabilecek ülkelerin hisse senedi piyasalarına ilişkin öngörüler sunmaktadır. Ayrıca, yeni üye ülkelerin hisse senedi piyasalarının, yatırımcılar için portföy çeşitlendirme açısından bir fırsat sunabileceğine dair önemli kanıtlar sunmaktadır.

Keywords

VIX , BRICS , Toda-Yamamoto

Is the Fear Index Still Frightening for the New Members of BRICS? A Study on the Stock Markets and VIX Relationship

Abstract

Abstract
The phenomenon of globalization continues to increase the integration of stock markets over time. While this integration complicates effective portfolio diversification, it also amplifies volatility spillovers during periods of financial depression. Such spillovers predominantly flow from US markets to global markets. The BRICS bloc, with its economic objectives, holds the potential to mitigate or eliminate the influence of Western markets. This potential is likely to strengthen with the inclusion of new member countries and the other countries expected to join in the near future. This study aims to examine whether the stock market relationships of the countries that joined BRICS in 2024 with US markets have undergone any changes. In this context, the impact of the VIX on these countries' stock markets before and after their membership was analyzed using the Toda-Yamamoto test. The findings reveal that, in the pre-membership period, there was causality from the VIX to two out of the three countries under study. However, these effects disappeared in the post-membership period. The empirical findings obtained were also supported by multivariate (BEKK) GARCH models. It was determined that the risk transmission observed during the pre-membership period disappeared in the post-membership period. The study demonstrates that BRICS membership serves as a threshold that eliminates the influence of US markets on the stock markets of new member countries. This finding provides predictive insights for the stock markets of countries that are potential candidates for future BRICS membership. Moreover, this result provides significant evidence that the stock markets of newly joined countries may present an opportunity for portfolio diversification for investors.

Keywords

VIX , BRICS , Toda-Yamamoto , BEKK-GARCH

Ethical Statement

Ethics Committee approval was not required for this study. The author declares that the study was conducted in accordance with research and publication ethics. The author confirms that no part of the study was generated, either wholly or in part, using Artificial Intelligence (AI) tools. The author declares that there are no financial conflicts of interest involving any institution, organization, or individual associated with this article. The author affirms that the entire research process was performed by the sole declared author of the study.

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