GELİŞMİŞ ASYA-PASİFİK VE KUZEY-AMERİKA ÜLKELERİ HİSSE SENEDİ PİYASALARININ VIX KORKU ENDEKSİNE TEPKİSİ

Yıl 2022, Cilt: 20 Sayı: 1, 127 - 146, 22.03.2022

Cagri Hamurcu

https://doi.org/10.11611/yead.1017612

Öz

Gelişmiş Asya-Pasifik ve Kuzey-Amerika Ülkeleri hisse senedi piyasalarının VIX endeksine tepkisini incelemek ve elde edilen sonuçları davranışsal finans perspektifinden değerlendirmek çalışmanın temel amacını oluşturmaktadır. Japonya, Avustralya, Yeni Zelanda, Amerika ve Kanada ülkelerine ait borsa endekslerinin, VIX endeksinden nasıl etkilendiği Granger nedensellik ve regresyon modelleri ile analiz edilmiştir. Sonuçlar, ele alınan borsa endekslerinin VIX endeksi ile Granger nedensellik ilişkisi bağlamında açıklanabileceğini ortaya koymaktadır. VIX endeksinin bir gecikmeli değerlerinin, borsa endekslerini tahmin edebileceği ve bu ilişkilerdeki katsayıların Amerika haricinde negatif işaretli olduğu, geleneksel regresyon analizlerinden anlaşılmaktadır. Japonya’nın VIX endeksinin bir gecikmeli değerinden Gelişmiş Asya-Pasifik ülkeleri arasında negatif anlamda en fazla etkilendiği, Japonya’yı Avustralya ve Yeni Zelanda’nın izlediği anlaşılmaktadır. Gelişmiş Kuzey-Amerika ülkeleri değerlendirildiğinde, Kanada’nın Amerika’dan daha fazla etkilendiği görülmektedir. Toplumlara ait yaygın kişilik profillerinin piyasa hareketlerinin belirleyicileri arasında olabileceği ve ülkelerin VIX endeksinden etkilenmelerindeki farklılığın bölgesel yakınlık esasında ele alınan nevrotizm kişilik faktörü ile bağlantılı olabilecek sürü davranışı eğiliminden kaynaklanmış olabileceği düşünülmektedir.

Anahtar Kelimeler

Davranışsal Finans, Borsa, VIX, Asya-Pasifik, Kuzey-Amerika, Sürü Davranışı, Kişilik, Nevrotizm

REACTION OF THE DEVELOPED ASIA PACIFIC AND NORTHERN AMERICA COUNTRIES STOCK MARKETS TO THE VIX FEAR INDEX

Öz

The main purpose of the study is to examine the reaction of the stock markets of the developed Asia-Pacific and Northern America countries to the VIX index and to evaluate the results obtained from the behavioral finance perspective. How the stock market indices of Japan, Australia, New Zealand, America and Canada were affected by the VIX index was analyzed with Granger causality and regression models. The results reveal that the discussed stock indices can be explained in the context of the VIX index and Granger causality relationship. It is understood from the traditional regression analyzes that the one lagged values of the VIX index can predict the stock market indices and that the coefficients in these relationships are negative except for the Amerika. It is understood that Japan was negatively affected by the one lagged value of the VIX index among the Developed Asia-Pacific countries, followed by Australia and New Zealand. When the developed North American countries are evaluated, it is seen that Canada is more affected than the United States. It is thought that the widespread personality profiles of societies may be among the determinants of market movements and the difference in the effects of countries on the VIX index may be due to the herding behavior tendency, which may be related to the neuroticism personality factor, which is considered on the basis of regional proximity.

Anahtar Kelimeler

Behavioral Finance, Stock Market, VIX, Asia Pacific, Northern Amerika, Herding, Personality, Neuroticism

Kaynakça

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