KORKU ENDEKSİ HİSSE SENEDİ PİYASALARI ÜZERİNDE ETKİLİ MİDİR? BORSA İSTANBUL ÜZERİNE BİR UYGULAMA
DOES FEAR INDEX HAVE AN EFFECT ON STOCK MARKETS? A RESEARCH ON ISTANBUL STOCK EXCHANGE

Summary/Abstract: The aim of this study is to determine whether there is a raelationship between the VIX index – also known as fear index- which has gained importance as an indicator of risk in financial markets and BIST 100 index and if so, the grade and aspect of this relationship. The data used in this study are the weekly closing values for five years period of November 1, 2013 to November 3, 2017. The data were analyzed using time series analysis. In the analysis of data, Johansen-Juselius cointegration tesr and vector error correction model was applied. Based on the analysis, a long term correlation was determined between the fear index and BIST 100 index. The negativeness and meaningfulness of the error correction coefficient indicate that the equilibrium will be achieved in long term and high proportion of the short term disequilibrium which is approximately % 67, is solved in one term. These results are the obvious indicator of the fact that BIST 100 index was under the effect of fear index.

• Details
• Contents