期刊名称：Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
电子版ISSN：2564-6931
出版年度：2019
卷号：12
期号：4
DOI：10.25287/ohuiibf.538592
语种：English
出版社：Ömer Halisdemir Üniversitesi
摘要：The purpose of this study is to empirically examine the relationships among volatility index (VIX),Turkey’s stock market (BIST index),and Turkish exchange rates (TL/US dollar). The impacts of a shock from VIX on BIST-100 and the dollar are identified by means of impulse-response functions and variance decomposition analyses. Then,the causal linkages between the variables of interest are analyzed by Granger causality approach. The impulse-response functions indicate that a VIX shock effects BIST-100 negatively and the dollar positively. The variance decomposition analysis shows that the VIX explains the forecast error variance of the dollar more than that of BIST-100. The causality analysis supports an evidence on information flows from VIX to both BIST-100 and the dollar.
其他摘要：Bu çalışmanın amacı,korku endeksi (volatilite endeksi,VIX endeksi) ile Türkiye hisse senedi piyasası ve döviz kurları arasındaki ilişkileri ampirik olarak analiz etmektir. Hisse senedi piyasasını temsilen Türkiye BIST-100 endeksi ve döviz kuru piyasaların
