HAMZA ERDOĞDU, ENDER BAYKUT

11637

BIST Banka Endeksi'nin (XBANK) VIX ve MOVE Endeksleri ile İlişkisinin Analizi

Bu çalışmanın amacı, uluslararası mali piyasalarda dikkatli bir şekilde takip edilen VIX (Chicago Board Options Exchange Volatility Index) ve MOVE (Merrill Lynch Treasury Option Volatility Expectations Index) endeksleri ile Borsa İstanbul Banka Endeksi (XBANK) arasındaki ilişkinin,1998 - 2015 dönemi için, günlük veriler kullanılarak analiz edilmesidir. Bu amaçla, ilk olarak serilerin farklı düzeyde durağanlıklarına rağmen uzun dönem ilişkinin sınanmasına olanak tanıyan ARDL/Sınır testi uygulanmıştır. Sonrasında, Toda ve Yamamoto (1995) Granger nedensellik testi kullanılarak değişkenler arası nedensellik ilişkisi sınanmıştır. Elde edilen bulgulara göre, XBANK ile VIX ve MOVE endeksleri arasında bir uzun dönem ilişkisi bulunamamıştır. CUSUM ve CUSUMSQ testi grafiklerinin sonuçları da değişkenler arasında uzun dönemli bir ilişkinin olmadığını teyit etmektedir. Granger nedensellik testi sonuçlarına göre ise VIX endeksinden XBANK endeksine doğru bir nedenselliğe rastlanırken, MOVE endeksinden XBANK endeksine doğru bir nedensellik ilişkine rastlanılmamıştır

The Analysis of the Relationship Between the BIST Banking Index (XBANK) and the Indices of VIX and MOVE

The aim of this study is to analyze the relationship between BIST Banking Index (XBANK) and indices of the VIX (Chicago Board Options Exchange Volatility Index) and MOVE (Merrill Lynch's Treasury Option Volatility Expectations Index) followed carefully in international financial markets. Daily data was used within the period of 1998 - 2015. For this purpose firstly, ARDL / Bounds Test is performed which is allowing the series with different levels of stationarity in order to detect the long run relationship. Then, Toda and Yamamoto (1995) approach is used to test for Granger causality relationship between variables. The findings suggest that there is no long run relationship between the XBANK index and indices of VIX and MOVE. The graphs of CUSUM and CUSUMSQ tests also confirm that there is no long-term relationship among the variables. The results of Granger causality test indicate that there is causality from the VIX index to the XBANK index while there is no causality from the MOVE index to the XBANK index
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Bankacılar-Cover
  • ISSN: 1300-0217
  • Başlangıç: 1990
  • Yayıncı: Türkiye Bankalar Birliği
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BIST Banka Endeksi'nin (XBANK) VIX ve MOVE Endeksleri ile İlişkisinin Analizi

HAMZA ERDOĞDU, ENDER BAYKUT