Mustafa ÜNLÜ, Fatih CEYLAN, İsmail KAVAZ

KORKU İNDEKSİ (VIX) İLE PETROL VE ALTIN FİYATLARI ARASINDAKİ İLİŞKİNİN AMPİRİK BİR ANALİZİ

Finansal piyasalarda alınan kararları etkileyen birçok faktör bulunmaktadır. Bu faktörlerden birisi de korku indeksidir. Oynaklık indeksi olarak da bili nen bu parametre karar al ıcıların piyasadaki hare- ketlerine yön vermektedir. Bu bağlamda, söz konusu indeks ile finansal piyasaların işleyişi hakkında bilgi veren di ğer de ğişkenler arasında yakın bir ilişkinin varlığı literatürde derinlemesine incelen- mektedir. Petrol ve alt ın fiyatları bu alanda öne çıkmaktadır. Dolayısıyla korku indeksi ile petrol ve altın fiyatları arasında do ğrudan veya dolaylı olarak bir etkileşimin varl ığından bahsedilebilir. Bu çalışmada, yatırımcıların finansal piyasalara dair beklentilerinin bir ölçümü olan VIX indeksi ile pet- rol ve altın fiyatları arasındaki nedensellik ilişkisi 1990-2020 dönemi için aylık veriler kullanılarak incelenmiştir. Elde edilen bulgular doğrultusunda VIX de ğişkeninin özellikle k ısa ve uzun dönemde petrol fiyatlarının nedeni oldu ğu aynı zamanda petrol fiyatlarının da alt ın fiyatlarının orta ve uzun dönemde nedeni olduğu sonucuna ulaşılmıştır.

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