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Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi
Article . 2018 . Peer-reviewed
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Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi
Article
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Bandırma Onyedi Eylul University Institutional Repository
Article . 2026
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https://dx.doi.org/10.24889/if...
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TÜBİTAK ULAKBİM DergiPark
Article . 2018
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Claim

KORKU ENDEKSİ (VIX) İLE BIST 100 ARASINDAKİ İLİŞKİ: FREKANS ALANI NEDENSELLİK ANALİZİ

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 28 Dec 2018 Turkey Publisher:Dokuz Eylul Universitesi Isletme Fakultesi DergisiJournal:Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi, volume 19, pages 177-191 (issn: 1303-0027, Copyright policy )
Authors: Başarır, Çağatay; Başarır, Çağatay;

doi: 10.24889/ifede.468802

handle: 20.500.14902/4701

KORKU ENDEKSİ (VIX) İLE BIST 100 ARASINDAKİ İLİŞKİ: FREKANS ALANI NEDENSELLİK ANALİZİ

Abstract

Bu çalışmanın amacı Korku Endeksi (VIX) ile BIST 100 arasındaki nedensellik ilişkisini tespit etmektir. Çalışmada 03.01.2000 - 09.02.2018 zaman aralığındaki günlük verilerin kullanılarak, VIX ile BIST 100 arasındaki nedensellik ilişkisi frekans alanı nedensellik testi yardımıyla incelenmiştir. Analiz sonuçlarına göre, BİST 100 endeksinden, VIX endeksine doğru ne geçici ne de kalıcı bir nedensellik ilişkisi bulunamamıştır. Bununla birlikte, VIX endeksinden, BİST 100 endeksine doğru hem geçici hem de kalıcı nedensellik ilişkisi tek yönlü olarak tespit edilmiştir. Sonuç olarak, yatırımcılar, BIST100 endeksi için hem kısa hem de uzun dönemde öngörüde bulunurken, VIX endeksinden faydalanabilecektir.

Country
Turkey
Related Organizations
Keywords

BIST 100 Index;VIX Volatility Index;FREQUENCY DOMAİN CAUSALİTY TEST, VIX Volatilite (Korku) Endeksi, BIST 100 Endeksi;VIX Volatilite Endeksi;Frekans Alanı Nedensellik Testi, Frekans Alanı Nedensellik Analizi, BİST 100

  • BIP!
    Impact byBIP!
    selected citations
    These citations are derived from selected sources.
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 30
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 Top 10%
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    		 Top 10%
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
30
Top 10%
Top 10%
Top 10%
gold