Investigation of The Relationship Between VIX Index and BRICS Countries Stock Markets: An Econometric Application

Samet GÜRSOY

Article Details

Investigation of The Relationship Between VIX Index and BRICS Countries Stock Markets: An Econometric Application

Authors:

Samet GÜRSOY

Publisher:

Burdur Mehmet Akif Ersoy University

Main Topics:

Economics and Finance

Journal:

Journal of Applied Sciences of Mehmet Akif Ersoy University 2020 Vol.4 Issue 2, pp.397-413

Document Type:

Article

Publication Date:

9/2020

Document Language:

Turkish

Document ID (Org No.):

2000555242

Frequency:

Bi-Annual

eISSN:

2602-425X

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 (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 (RTSI) and South Africa (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 (BSESN) and China (SSEC) indices. However, it has been concluded that the VIX index does not have a unilateral or bilateral causal relationship with the Brazilian (BOVESPA) stock market.

Article Details

Investigation of The Relationship Between VIX Index and BRICS Countries Stock Markets: An Econometric Application

Authors: Samet GÜRSOY

Publisher: Burdur Mehmet Akif Ersoy University

Main Topics: Economics and Finance

Journal: Journal of Applied Sciences of Mehmet Akif Ersoy University 2020 Vol.4 Issue 2, pp.397-413

Document Type: Article

Publication Date: 9/2020

Document Language: Turkish

Document ID (Org No.): 2000555242

Frequency: Bi-Annual

eISSN: 2602-425X

Issues

Authors:

Samet GÜRSOY

Publisher:

Burdur Mehmet Akif Ersoy University

Main Topics:

Economics and Finance

Journal:

Journal of Applied Sciences of Mehmet Akif Ersoy University 2020 Vol.4 Issue 2, pp.397-413

Document Type:

Article

Publication Date:

9/2020

Document Language:

Turkish

Document ID (Org No.):

2000555242

Frequency:

Bi-Annual

eISSN:

2602-425X