期刊名称：Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
印刷版ISSN：1301-3688
电子版ISSN：2630-6409
出版年度：2020
期号：55
页码：245-262
语种：English
出版社：Erciyes University
摘要：The aim of this study is to analyze the risk transfer mechanism between stock market and exchange rate volatilities by using asymmetric causality method by using daily data of BIST100 Index,US Dollar and VIX Index for the period of 02.01.2009-12.11.2018.The existence of risk transfer in the identified variables is investigated with the asymmetric causality approach of Hatemi-J (2012).The findings show evidence for asymmetric causality in risk transfer.Accordingly,from positive volatility of VIX to negative volatility of BIST100;the causality relationship is determined from the positive volatility of US Dollar to both the positive and negative volatility of BIST100 and from the negative volatility of BIST100 to the negative volatility of US Dollar.
其他摘要：Bu çalışmanın amacı;BIST100 Endeksi,ABD Doları ve VIX Endeksi’nin 02.01.2009– 12.11.2018 dönemi günlük verileri aracılığıyla,pay senedi piyasaları ve döviz kuru piyasası oynaklıkları arasındaki risk transfer mekanizmasını asimetrik nedensellik yöntemi ile
