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Year 2015, Volume: 16 Issue: 1, 175 - 186, 12.01.2015

Abdulkadir Kaya , Ali Çoşkun

Abstract

The aim of this study is to reveal the impact of VIX indexes, accepted as an international volatility index, on Istanbul Stock Exchange. For this purpose, the relationship between VIX index and BIST 100 index which is used to represent the Istanbul Stock Exchange has been examined Granger Causality test and Regression analysis. The result of the analysis show that there is a causality from VİX index to BİST 100 index statistically significant at 1% significance level. As a result of Regression analysis, VIX index effect BIST 100 index as negative. VIX index use a leading indicator for stock exchange investers

Keywords

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References

  • Ahoniemi, K. (2006). “Modeling and Forecasting Implied Volatility – an Econometric Analysis of the VIX Index”. Helsinki Center of Economic Research, Discussion Papers. 1-32.
  • Alma, Ö. G, Vupa, Ö. 2008. Regresyon Analizinde Kullanılan En Küçük Kareler ve En Küçük Medyan Kareler Yöntemlerinin Karşılaştırılması. SDÜ Fen Edebiyat Fakültesi Fen Dergisi (E-Dergi) 3(2): 219-229.
  • Becker, R. vd. (2009). “The jump component of S&P 500 volatility and the VIX index”. Journal of Banking and Finance, 33(6). pp. 1033-1038.
  • C.W.J. Granger, “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”, Econometrica, Cit:7, Sayı:3, 1969, s.424-438.
  • CLOBE (2009). The CBOE Volatility Index, Chicago Board Options Exchange, Incorporated.
  • Dash, S. ve Moran T. M. (2005). “VIX as a Companion for Hedge Fund Portfolios”. The Journal of Alternatıve Investments. 75-80
  • Engle, R. F., and C. W. J. Granger. 1987. “Co-Integration and Error Correction: Representation, Estimation, and Testing” Econometrica 55 (2): 251-76.
  • Gonzalez-Perez, M. T. ve Guerrerox, D. E. (2013). “Day-of-the-week effect on the VIX. A parsimonious representation”. North American Journal of Economics and Finance, 25: 243– 260.
  • Gujarati, D. N. (1995), Basic Econometrics, Third Edition, New York: McGraw-Hill.
  • Hilal, S., Poon, S. H. ve Tawn, J. (2011). “Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX”. Journal of Banking & Finance, 35 :2374–2387
  • J. D. Hamilton, Time Series Analysis, Prenceton University Press, 1994, New Jersey.
  • Johansen, S. ve Katarina, J. (1990), “Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for Money”. Oxford Bulletin of Economics and Statistics, 52/2:169-210.
  • Kaeck, A. ve Alexander, C. (2013). “Continuous-Time Vıx Dynamics: on The Role of Stochastic Volatility of Volatility”. International Review of Financial Analysis. 28 : 46–56.
  • Kanas, A. (2012). “Modelling the risk–return relation for the S&P 100: The role of VIX”. Economic Modelling. 29: 795–809.
  • Konstantinidi, E. ve Skiadopoulos, G. (2011). “Are VIX futures prices predictable? An empirical investigation”. International Journal of Forecasting. 27/2: 543-560.
  • Korkmaz, T. ve Çevik, E. İ. (2009). “Zımni Volatilite Endeksinden Gelişmekte Olan Piyasalara Yönelik Volatilite Yayılma Etkisi”. BDDK Bankacılık ve Finansal Piyasalar. 3/2: 87-105.
  • Lin, Y.N. (2013). “VIX Option Pricing And CBOE VIX Term Structure: A New Methodology for Volatility Derivatives Valuation”. Journal of Banking & Finance. 37: 4432–4446.
  • Lin, Y.N. ve Chang, C.H. (2010). “Consistent Modeling of S&P 500 and VIX Derivatives”. Journal of Economic Dynamics & Control 34: 2302–2319.
  • Sarwar, G. (2012). “Is VIX an investor fear gauge in BRIC equity markets?”. Journal of Multinational Financial Management, 22: 55– 65.
  • Şimşek, M. ve Kadılar, C. (2005), “Türkiye’nin İhracat Talebi Fonksiyonunun Sınır Testi Yöntemi İle Eşbütünleşme Analizi”, Doğuş Üniversitesi Dergisi, 6/1: 144-152.
  • Tarı, R. 1999. Ekonometri, Alfa Basım, Yayım Dağıtım. İstanbul, Turkey.

VIX ENDEKSİ MENKUL KIYMET PİYASALARININ BİR NEDENİ MİDİR? BORSA İSTANBUL ÖRNEĞİ

Year 2015, Volume: 16 Issue: 1, 175 - 186, 12.01.2015

Abdulkadir Kaya , Ali Çoşkun

Abstract

Bu çalışmanın amacı uluslararası volatilite endeksi olarak kabul edilen VİX endekisinin, Borsa İstanbul üzerindeki etkisini ortaya koymaktır. Bu amaçla VİX endeksi ile Borsa İstanbul’u temsilen kullanılan BİST 100 endeksi arasındaki ilişki Granger Nedensellik testi ve Regresyon analizi ile incelenmiştir. 03.01.1995-30.04.2014 dönemine ait günlük zaman serisi verileri ile yapılan analiz sonuçlarında, VİX endeksinden BİST 100 endeksine doğru %1 önem düzeyinde bir nedensellik tespit edilmiştir. Ayrıca, yapılan regresyon analizi sonucunda VİX endeksinin BİST 100 endeksini negatif yönde etkilediği belirlenmiştir. VİX endeksi Türkiye’de menkul kıymet yatırımcıları için bir öncü gösterge olarak kullanılabilecektir. 

Keywords

VIX endeksi BİST 100 Borsa İstanbul Granger Nedensellik

References

  • Ahoniemi, K. (2006). “Modeling and Forecasting Implied Volatility – an Econometric Analysis of the VIX Index”. Helsinki Center of Economic Research, Discussion Papers. 1-32.
  • Alma, Ö. G, Vupa, Ö. 2008. Regresyon Analizinde Kullanılan En Küçük Kareler ve En Küçük Medyan Kareler Yöntemlerinin Karşılaştırılması. SDÜ Fen Edebiyat Fakültesi Fen Dergisi (E-Dergi) 3(2): 219-229.
  • Becker, R. vd. (2009). “The jump component of S&P 500 volatility and the VIX index”. Journal of Banking and Finance, 33(6). pp. 1033-1038.
  • C.W.J. Granger, “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”, Econometrica, Cit:7, Sayı:3, 1969, s.424-438.
  • CLOBE (2009). The CBOE Volatility Index, Chicago Board Options Exchange, Incorporated.
  • Dash, S. ve Moran T. M. (2005). “VIX as a Companion for Hedge Fund Portfolios”. The Journal of Alternatıve Investments. 75-80
  • Engle, R. F., and C. W. J. Granger. 1987. “Co-Integration and Error Correction: Representation, Estimation, and Testing” Econometrica 55 (2): 251-76.
  • Gonzalez-Perez, M. T. ve Guerrerox, D. E. (2013). “Day-of-the-week effect on the VIX. A parsimonious representation”. North American Journal of Economics and Finance, 25: 243– 260.
  • Gujarati, D. N. (1995), Basic Econometrics, Third Edition, New York: McGraw-Hill.
  • Hilal, S., Poon, S. H. ve Tawn, J. (2011). “Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX”. Journal of Banking & Finance, 35 :2374–2387
  • J. D. Hamilton, Time Series Analysis, Prenceton University Press, 1994, New Jersey.
  • Johansen, S. ve Katarina, J. (1990), “Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for Money”. Oxford Bulletin of Economics and Statistics, 52/2:169-210.
  • Kaeck, A. ve Alexander, C. (2013). “Continuous-Time Vıx Dynamics: on The Role of Stochastic Volatility of Volatility”. International Review of Financial Analysis. 28 : 46–56.
  • Kanas, A. (2012). “Modelling the risk–return relation for the S&P 100: The role of VIX”. Economic Modelling. 29: 795–809.
  • Konstantinidi, E. ve Skiadopoulos, G. (2011). “Are VIX futures prices predictable? An empirical investigation”. International Journal of Forecasting. 27/2: 543-560.
  • Korkmaz, T. ve Çevik, E. İ. (2009). “Zımni Volatilite Endeksinden Gelişmekte Olan Piyasalara Yönelik Volatilite Yayılma Etkisi”. BDDK Bankacılık ve Finansal Piyasalar. 3/2: 87-105.
  • Lin, Y.N. (2013). “VIX Option Pricing And CBOE VIX Term Structure: A New Methodology for Volatility Derivatives Valuation”. Journal of Banking & Finance. 37: 4432–4446.
  • Lin, Y.N. ve Chang, C.H. (2010). “Consistent Modeling of S&P 500 and VIX Derivatives”. Journal of Economic Dynamics & Control 34: 2302–2319.
  • Sarwar, G. (2012). “Is VIX an investor fear gauge in BRIC equity markets?”. Journal of Multinational Financial Management, 22: 55– 65.
  • Şimşek, M. ve Kadılar, C. (2005), “Türkiye’nin İhracat Talebi Fonksiyonunun Sınır Testi Yöntemi İle Eşbütünleşme Analizi”, Doğuş Üniversitesi Dergisi, 6/1: 144-152.
  • Tarı, R. 1999. Ekonometri, Alfa Basım, Yayım Dağıtım. İstanbul, Turkey.
There are 21 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Abdulkadir Kaya

Ali Çoşkun

Publication Date January 12, 2015
Submission Date January 12, 2015
Published in Issue Year 2015 Volume: 16 Issue: 1

Cite

APA Kaya, A., & Çoşkun, A. (2015). VIX ENDEKSİ MENKUL KIYMET PİYASALARININ BİR NEDENİ MİDİR? BORSA İSTANBUL ÖRNEĞİ. Cumhuriyet Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 16(1), 175-186.
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