- Mehmet Akif Ersoy Üniversitesi Uygulamalı Bilimler Dergisi
- Volume:4 Issue:2
- Investigation of The Relationship Between VIX Index and BRICS Countries Stock Markets: An Econometri...
Investigation of The Relationship Between VIX Index and BRICS Countries Stock Markets: An Econometric Application
Authors : Samet GÜRSOY
Pages : 397-413
Doi:10.31200/makuubd.735380
View : 13 | Download : 7
Publication Date : 2020-09-30
Article Type : Research Paper
Abstract :The VIX index, the largest volatility indicator index of the USA, has been derived from the S&P 500 index and has been carefully monitored by international investors since 1993. While the VIX index was previously followed by investors from developed countries, it is now followed by investors who evaluate their investments in developing countries. In this study, It was examined the effect of price movements in the VIX index on the stock markets of the developing insert ignore into journalissuearticles values(BRICS); countries between the dates of 02.24.2011 and 06.01.2020. Toda Yamamoto causality test was used by using daily closing data. In addition, bilateral results were examined for each variable in the study. Considering the findings obtained from the study, it was observed that the VIX index is in bilateral causality with Russia insert ignore into journalissuearticles values(RTSI); and South Africa insert ignore into journalissuearticles values(INVSAF40); stock markets as of the baseline period. On the other hand, it is determined that the price movements in the VIX index have a unilateral causality relationship on India insert ignore into journalissuearticles values(BSESN); and China insert ignore into journalissuearticles values(SSEC); indices. However, it has been concluded that the VIX index does not have a unilateral or bilateral causal relationship with the Brazilian insert ignore into journalissuearticles values(BOVESPA); stock market.Keywords : VIX index, Stock Markets, BRICS Countries