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.
Birincil Dil | Türkçe |
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Bölüm | Makaleler |
Yazarlar | |
Yayımlanma Tarihi | 27 Nisan 2020 |
Kabul Tarihi | 14 Şubat 2020 |
Yayımlandığı Sayı | Yıl 2020 Sayı: 55 |
ERÜ İktisadi ve İdari Bilimler Fakültesi Dergisi 2021 | iibfdergi@erciyes.edu.tr
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