The Effects of Volatilities in Oil Price, Gold Price and VIX Index on Turkish BIST 100 Stock Index in Pandemic Period

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Tuna A.

ISTANBUL IKTISAT DERGISI-ISTANBUL JOURNAL OF ECONOMICS, cilt.72, sa.1, ss.39-54, 2022 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 72 Sayı: 1
  • Basım Tarihi: 2022
  • Doi Numarası: 10.26650/istjecon2021-1034794
  • Dergi Adı: ISTANBUL IKTISAT DERGISI-ISTANBUL JOURNAL OF ECONOMICS
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), ABI/INFORM, EconLit, Directory of Open Access Journals, TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.39-54
  • Anahtar Kelimeler: Toda-Yamamoto Causality Test, BIST 100, Gold Price, Oil Price, VIX Index, COINTEGRATION, CAUSALITY
  • İstanbul Üniversitesi Adresli: Evet

Özet

This study examines the effects of volatilities in oil price, gold price and the VIX index on the Turkish BIST 100 stock index during the pandemic period. For this purpose, an econometric analysis has been carried out by using the oil, gold and VIX index data which consist of 363 daily observations between 11/03/2020 - 13/09/2021. In the econometrics analysis; the Toda-Yamamoto Causality test analysis was preferred because the variables were not stationary at the same level and an impulse-response analysis and variance decomposition methods were used. According to the Toda-Yamamoto Causality test, there is no casuality between oil price, gold price, VIX index and BIST100. The results of impulse-response functions and variance decomposition analyses were also similar to the Toda-Yamomoto causality test. The results of impulse-response functions and variance decomposition analysis; The effect of oil price, gold price and VIX index on BIST 100 decreases rapidly in a short time. In addition, the variances of BIST100 are mostly self-explained in all periods.