COVID-19 SALGINI DÖNEMİNDE TÜRKİYE FİNANSAL PİYASALARINDAKİ DEĞİŞİMLERİN TAHMİN EDİLMESİNDE VOLATİLİTE ENDEKSİNİN ROLÜNÜN ANALİZİ

Volatilite endeksi, finansal piyasalarda stresin arttığına işaret eden veyatırımcılar tarafından takip edilen önemli bir indikatördür. Bu çalışmanınamacı, 16.03.2011-16.12.2020 döneminde, CBOE Volatilite Endeksi ve CBOEGelişmekte Olan Piyasalar ETF Volatilite Endeksi’nin BIST100 hisse senediendeksi ve USD/TRY kuru üzerindeki etkisinin varlığının araştırılmasıdır.Analizde, serilerin durağanlığının test edilmesi amacıyla geleneksel ADFbirimkök testi ve Im ve diğ. (2014) tarafından geliştirilen RALS (ResidualAugmented Least Squares) ADF birimkök testi kullanılmaktadır. İzleyenaşamada ise, volatilite endekslerinin hisse senedi endeksi ve döviz kuruüzerindeki kısa dönemli etkisinin varlığının test edilmesi amacıyla, Endersve Jones (2016) tarafından geliştirilen Fourier nedensellik testindenyararlanılmaktadır. Analiz sonuçları, volatilite endekslerinin BIST100 endeksive USD/TRY döviz kuru üzerinde kısa dönemde etkiye sahip olduğuna işaretetmektedir.

ANALYSIS OF THE ROLE OF VOLATILITY INDEX IN PREDICTING CHANGES IN TURKISH FINANCIAL MARKETS DURING THE COVID-19 PANDEMIC

The volatility index is one of the major indicators which points to increased stress in financial markets and is followed by investors. The objective of this study is to examine the impact of the CBOE Volatility Index and CBOE Emerging Markets ETF Volatility Index on the BIST100 stock market index and USD/TRY parity in the period of 16.03.2011-16.12.2020. In the analysis, the traditional ADF unit root test and the RALS (Residual Augmented Least Squares) unit root test proposed by Im et al. (2014) is employed to test the stationary of the variables. In the following stage, the Fourier causality test developed by Enders and Jones (2016) is used to test the causality relationship from volatility indexes to stock market index and foreign exchange rate. Our findings support the evidence of the short-term impact of volatility indexes on the BIST100 stock market index and USD/TRY rate.

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