VOLATİLİTE ENDEKSİ VE BORSA İSTANBUL’DAKİ ASİMETRİK BİLGİ ARASINDA DİNAMİK İLİŞKİLER

Öz

Bu çalışmada Borsa İstanbul'daki asimetrik bilgi ile volatilite endeksi arasındaki nedensel ilişkiler 2003-2022 dönemine ait günlük veriler kullanılarak araştırılmaktadır. Bu çalışmada öncelikle Llorente vd.(2002) yöntemini kullanılarak asimetrik bilgi serisi oluşturulmuştur. Daha sonra bu değişkenler arasındaki nedenselliği araştırmak için Hatemi-J (2012) tarafından geliştirilen asimetrik nedensellik testi uygulanmıştır. Asimetrik nedensellik yaklaşımı, serideki doğrusal olmayan etkileri pozitif ve negatif şoklara bölerek yakalamaktadır. Simetrik nedensellik testi sonuçları, Borsa İstanbul’daki asimetrik bilgi ile volatilite endeksi arasında her iki yönde de bir nedensellik olmadığını göstermektedir. Ancak, asimetrik nedensellik testinin sonuçları, pozitif finansal volatilite şoklarının pozitif asimetrik bilgi şoklarına neden olduğunu göstermektedir. Öte yandan, finansal volatilitenin artması asimetrik bilginin artmasına neden olmaktadır. Genel olarak, bu çalışma, Borsa İstanbul'daki asimetrik bilgi ve volatilite endeksi arasındaki asimetrik ilişkiyi araştırarak Türkiye’deki yatırımcılar ve politika yapıcılar için değerli bilgiler sağlamaktadır.

Anahtar Kelimeler

• Asimetrik Bilgi
• Volatilite Endeksi
• Asimetrik Nedensellik

THE DYNAMIC RELATIONSHIP BETWEEN VOLATILITY INDEX AND ASYMMETRIC INFORMATION IN BORSA ISTANBUL

Öz

In this study, the causal relationships between asymmetric information in Borsa Istanbul and volatility index are investigated using daily data from 2003-2022. We first construct the asymmetric information series using the method of Llorente et al. (2002) and then apply the asymmetric causality test developed by Hatemi-J (2012) to investigate the causality between these variables. The approach captures nonlinear effects in the series by dividing them into positive and negative shocks. The results of the symmetric causality test indicate that there is no bidirectional causality between asymmetric information in Borsa İstanbul and volatility index. However, the results of the asymmetric causality test show that positive financial volatility shocks do cause positive asymmetric information shocks. An increase in financial volatility causes an increase in asymmetric information. Overall, this study highlights the asymmetric relationship between volatility index and asymmetric information in Borsa Istanbul, providing valuable insights for investors and policymakers in the Türkiye.

Anahtar Kelimeler

• Asymmetric Information
• Volatility Index
• Asymmetric Causality

Kaynakça

1. Akerlof, G. A. (1970). The market for "Lemons": quality uncertainty and the market mechanism, The Quarterly Journal of Economics, 84 (3), 488-500.
2. Aksu, M., Sakarya, Ş. & Aksu, S. (2018). Analysis of the relationship between financial stability and foreign direct inflows: an analysis on the economy of Turkey, Journal of Social Sciences of Mus Alparslan University Anemon, 6, 195-200.
3. Arner, D. W. (2007). Financial stability, economic growth, and the role of law, Cambridge: Cambridge Press.
4. Başarır, Ç. (2018). Korku endeksi (VIX) İle BIST 100 arasındaki ilişki: frekans alanı nedensellik Analizi, İşletme Fakültesi Dergisi, 19(2), 177-191.
5. Bebzcuk, R. N. (2003). Asymmetric information in financial markets introduction and applications, Cambridge: Cambridge University Press.
6. Bias, B., Bossaerts, P. & Spatt, C. (2010). Equilibrium asset pricing and portfolio choice under asymmetric information, The Review of Financial Studies, 23 (4), 1503–1543.
7. Bodie, Z., Kane, A. & Marcus, A. J. (2018). Invesments (11. Edition). New York: McGraw-Hill Education.
8. Cui, Jinhua, Jo, Hoje & Na, Haejung (2018). Does corporate social responsibility affect information asymmetry?, J. Bus. Ethics, 148, 549–572.

9. Çonkır, D., Meriç E & Esen E. (2021). Korku endeksi (VIX) ile gelişmekte olan ülke borsaları arasındaki ilişkinin analizi: yatırımcı duyarlılığı üzerine bir çalışma. İnsan ve Toplum Bilimleri Araştırmaları Dergisi, 10(1)109-132.
10. Dell’Ariccia, G. (2001). Asymmetric information and the structure of the banking industry. European Economic Review, 45, 1957-1980.
11. Dickey, D. A., & Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49(4): 1057- 1072.
12. Drobetz, W., Grüninger, M. C., & Hirschvogl, S. (2010). Information asymmetry and the value of cash. Journal of banking & finance, 34(9), 2168-2184.
13. Fabozzi, F. J., Modigliani, F., Jones, F. J. (2014). Foundations of Financial Markets and Institutions, Essex: Pearson Education Limited
14. Feldkamp, F. L. & Whalen, R.C. (2014). Financial Stability, New Jersey: Wiley.
15. Gajewski, J-F. & Li, L. (2015). Can internet-based disclosure reduce information asymmetry? Advances in Accounting, incorporating Advances in International Accounting, 31, 115-124.
16. Gezer, M. A. & Kılıç, R. (2020). The impact of financial stability on real economy in Turkey: based on linear and non-linear ARDL models, Sosyoekonomi, 28(46), 117-140.
17. Greenwald, B. C. & Stiglitz, Joseph E. (1990). Asymmetric information and the new theory of the firm: financial constraints and risk behavior, NBER Working Paper, No: 3359.
18. Grossman, S. J. (1981). An introduction to the theory of rational expectations under asymmetric information, The Review of Economic Studies, 48(4). 541-559.
19. Hatemi-J, A. (2012). Asymmetric causality tests with an application, Empirical Economics, 43, 447–456.
20. Kaya, A., & Coşkun, A. (2015). VIX endeksi menkul kıymet piyasalarının bir nedeni midir? Borsa İstanbul örneği, C.Ü. İktisadi ve İdari Bilimler Dergisi, 16(1), 175-186.
21. Karaçayır, E. & Afşar, A. (2021). Capital structure decisions and the effect of asymmetric information in Borsa İstanbul, Journal of Süleyman Demirel University Institute of Social Sciences, 41, 133-154.
22. Koç, İ. Ö. (2016). Dividend payout of corporations considered as signals by the investors under asymmetric information, Finans Politik & Ekonomik Yorumlar, 53(613), 33-43.
23. Eatwell, J., Milgate, M., & Newman, P. (Eds.). (1989). Allocation, information and markets. Springer.
24. Llorente, G., Michaely, R., Saar, G., & Wang, J. (2002). Dynamic volume-return relation of individual stocks. The Review of Financial Studies, 15(1), 1005–1047.
25. Mishkin, F. S. (1998). Asymmetric information and financial crises: a historical perspective, NBER Working Paper, 3400, 1-38.
26. Mishkin, F. S. (1998). Global financial instability: framework, events, issues, Journal of Economic Perspectives, 13(4), 3-20.
27. Nur, T. & Korkmaz, T. (2022). Moderator role of financial leverage in the relationship of asymmetric information and firm value: an application on BIST, Business and Economics Research Journal, 13(3), 449-463.
28. Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrica, 75(2), 335-346.
29. Sarıtaş, H., & Nazlıoğlu, E. H. (2019). Fear index, stock market and exchange rates nexus: an empirical analysis for Turkey, Academic Review of Economics and Administrative Sciences, 12(4), 542-551.
30. Sarwar, G. (2012). Is VIX an investor fear gauge in BRIC equity markets?, Journal of Multinational Financial Management, 22, 55-65.
31. Schinasi, G. J. (2004). Defining financial stability, IMF Working Paper, 04/187.
32. Stiglitz, J. E., & Weiss, A. (1992). Asymmetric information in credit markets and its implications for macro-economics. Oxford Economic Papers, 44(4), 694-724.
33. Şahin, C. (2018). Korku endeksi hisse senedi piyasaları üzerinde etkili midir? Borsa İstanbul üzerine bir uygulama, TURAN-SAM: TURAN Stratejik Araştırmalar Merkezi, 10(37).
34. Wang, H. (2019). VIX and volatility forecasting: A new insight, Physica A, 533, 1-15.
35. Watson, C. M. (2004). Financial-sector efficiency: The impact of policy and the road ahead. In Financial Markets in Central and Eastern Europe (pp. 117-150). Routledge.
36. Wilson, C. (1989). Adverse selection, allocation, information and markets. Ed. (J. Eatwell vd.), Palgrave Macmillan.
37. Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66, 225-250.
38. Zor, İ., Bozkurt, İ. & Öksüz, S. (2016). The impact of asymmetric information level on the relationship price and trading volume: evidence from BIST. Anadolu University Journal of Social Sciences, 16(1), 119-136.