International Congress on Eurasian Economies
19-20 September 2023 – İzmir - TURKEY
Paper properties
Paper ID : 2767
Status : Paper published
Language : Turkish
Topic : Finance and Financial Crises
Presenter: Dr. Gökhan Berk Özbek
Session : 2B Menkul Kıymetler
The Effect of Volatility Index on Turkish and European Stock Indices
Volatilite Endeksinin Türk ve Avrupa Borsa Endekslerine Etkisi
- Dr. Gökhan Berk Özbek (Uludağ University, Türkiye)
Abstract
In times of high uncertainty, it is usual for investors to be cautious about the capital markets and turn to investment instruments that are considered a security blanket. This situation may adversely affect the capital markets and the real sector. In this context, it is aimed to investigate the effect of the Volatility Index (VIX), also known as Fear Index, on some European stock markets. In the study, five different models were created in which the independent variable is VIX and the dependent variables are FTSE 100, DAX, CAC 40, BIST 30 and BIST Participation 30. Including the BIST Participation 30 Index in the study; it is also desired to determine whether there is a difference in the context of the conventional index-Islamic Index. In the study, a weekly data set including 76 observations was used in the period of 12.11.2021-28.04.2023. Data were obtained from Refinitiv Eikon. The long-term relationship of the variables was examined with the Engle-Granger Cointegration Test. Cointegration relationships were determined between VIX and FTSE 100; it was specified that there is no cointegrated relationships between VIX and BIST 30, BIST Participation 30, DAX and CAC 40. Fully Modified Ordinary Least Squares (FMOLS) method was used to estimate the coefficients of the relationship between the variables whose cointegration relationship was determined. Consistent with the literature, it was determined that VIX had negative effect on the FTSE 100. In this context, investors can use the VIX indicator to provide foresight in their investments in the FTSE 100.
JEL codes: G10, G15, G32
Özbek, Gökhan Berk (2023). "The Effect of Volatility Index on Turkish and European Stock Indices" in Proceedings of International Conference of Eurasian Economies 2023, pp.225-229, İzmir - TURKEY.
DOI: https://doi.org/10.36880/C15.02767
