Investigation of The Relationship Between VIX Index and BRICS Countries Stock Markets: An Econometric Application

Yıl 2020, , 397 - 413, 30.09.2020

Samet Gürsoy

https://doi.org/10.31200/makuubd.735380

Cited By: 12

Öz

The VIX index, the largest volatility indicator index of the USA, has been derived from the S&P 500 index and has been carefully monitored by international investors since 1993. While the VIX index was previously followed by investors from developed countries, it is now followed by investors who evaluate their investments in developing countries. In this study, It was examined the effect of price movements in the VIX index on the stock markets of the developing (BRICS) countries between the dates of 02.24.2011 and 06.01.2020. Toda Yamamoto causality test was used by using daily closing data. In addition, bilateral results were examined for each variable in the study. Considering the findings obtained from the study, it was observed that the VIX index is in bilateral causality with Russia (RTSI) and South Africa (INVSAF40) stock markets as of the baseline period. On the other hand, it is determined that the price movements in the VIX index have a unilateral causality relationship on India (BSESN) and China (SSEC) indices. However, it has been concluded that the VIX index does not have a unilateral or bilateral causal relationship with the Brazilian (BOVESPA) stock market.

Anahtar Kelimeler

VIX index, Stock Markets, BRICS Countries

Kaynakça

• Akdağ, S. (2019) VIX Korku Endeksinin Finansal Göstergeler Üzerindeki Etkisi: Türkiye Örneği, Hitit Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 12(1), 235-256.
• Akdağ, S., Deran, A. ve İskenderoğlu, Ö. (2018). Pmi ile Çeşitli Finansal Göstergeler Arasindaki İlişkinin Dinamik Nedensellik Analizi ile Incelenmesi: Türkiye Örneği. 22. Finans Sempozyumunda. Mersin Üniversitesi. Retrieved: 02.04.2020, http://185.109.28.8/finans22/22-Finans-Sempozyumu-Bildiriler-Kitabi.pdf
• Arbatlı, E. (2011). Economic Policies and FDI Inflows to Emerging Market Economies, International Monetary Fund, WP/11/192.
• Bardgett, C., Gourier, E., and Leippold, M. (2019). Inferring Volatility Dynamics and Risk Premia from The S&P 500 and VIX Markets. Journal of Financial Economics, 131(3), 593-618.
• Basher, S. A., ve Sadorsky, P. (2016). Hedging Emerging Market Stock Prices with Oil, Gold, Vix, And Bonds: A Comparison Between DCC, ADCC and GO-GARCH. Energy Economics, (54), 235-247
• Borsa Terimler Sözlüğ(BTS), (2020). Retrieved: 02.04.2020, http://www.terimleri.com/borsa/Volatilite.html
• Bouri, E., Gupta, R., Tiwari, A. K., and Roubaud, D. (2017). Does Bitcoin Hedge Global Uncertainty? Evidence from Wavelet-Based Quantile-in-Quantile Regressions. Finance Research Letters, (23), 87-95.
• Doğan, Z., Buyrukoğlu, S. and Kutbay, H. (2018). Türkiye‘de Bitcoin İşlemlerinin Vergilendirilmesi ve Muhasebeleştirilmesine İlişkin Öneriler. Vergi Sorunları Dergisi, (361), 23-33.
• Fernandes, M., Medeiros, M. C., and Scharth, M. (2014). Modeling and Predicting the CBOE Market Volatility index. Journal of Banking & Finance, (40), 1-10.
• İskenderoğlu, Ö. and Akdağ, S. (2018). VIX Korku Endeksi ile Çeşitli Ülkelerin Hisse Senedi Endeks Getirileri Arasinda Bir Nedensellik Analizi. Uluslararası Ekonomi Araştırmaları ve Finansal Piyasalar Kongresi. Nevşehir Hacı Bektaş Veli Üniversitesi. Retrieved: 01.04.2020: http://ierfm.com/Documents/ierfm_2018_bildiri_kitabi.pdf.
• Korkmaz, T. ve Çevik, E., İ. (2009). Zımni Volatilite Endeksinden Gelişmekte Olan Piyasalara Yönelik Volatilite Yayılma Etkisi, BDDK Bankacılık ve Finansal Piyasalar dergisi, 3(2), 87-105.
• Lee, Junsoo and Mark C. Strazicich. (2004) Minimum LM Unit Root Test with One Structural Break. Working Paper, Appalachian State University, No: 04-17.
• Lee, Junsoo ve Strazicich, M. C. (2003) Minimum Lagrange Multiplier Unit Root Test With Two Structural Breaks, Review of Economics and Statistics, 85(4), 1082-1089.
• Mcguire, P. and Schiıjvers, M., A. (2003). Common Factors in Emerging Market Spreads, Bıs Quarterly review, December, 65-78
• Öner, H., İçellioğlu, C. Ş. and Öner, S. (2018). Volatilite endeksi (VIX) Ile Gelişmekte Olan Ülke Hisse Senedi Piyasasi Endeksleri Arasindaki Engel-Granger Eşbütünleşme ve Granger Nedensellik Analizi. Finansal Araştırmalar ve Çalışmalar Dergisi, 10(18), 110-124
• Özcan, B. (2012). İşsizlik Histerisi Hipotezi Oecd Ülkeleri için Geçerli Mi? Yapisal Kirilmali Birim Kök Analizi. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (40), 95-117.
• Sakarya, Ş., and Akkuş, H. T. (2018). Bist-100 Ve Bist Sektör Endeksleri ile Vıx Endeksi Arasındaki İlişkisinin Analizi. Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 21(40), 351-374.
• Sarwar, G., and Khan, W. (2017). The effect of US stock market uncertainty on emerging market returns. Emerging Markets Finance and Trade, 53(8), 1796-1811.
• Tiraşoğlu, B. Y. (2014). Yapısal Kırılmalı Birim Kök Testleri ile Oecd Ülkelerinde Satın Alma Gücü Paritesi Geçerliliğinin Testi. Ekonometri ve İstatistik e-Dergisi, (20), 68-87.
• Toda, H. Y. and Yamamoto, T. (1995). Statistical Inference in Vector Auto Regressions with Possibly Integrated Processes. Journal of Econometrics, (66), 225-250.
• www.ınvestıng.com (2020), CBOE, Retrieved: 6 April 2020, https://www.investing.com/search/?q= CBOE
• Yavuz, N., Ç. (2006) Türkiye’de Turizm Gelirlerinin Ekonomik Büyümeye Etkisinin Testi: Yapısal Kırılma ve Nedensellik Analizi, Doğuş Üniversitesi Dergisi, 7(2), 162-171.
• Yılancı, V. (2009). Yapısal Kırılmalar Altında Türkiye için İşsizlik Histerisinin Sınanması, Doğuş Üniversitesi Dergisi, 10(2), 324-335.