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Decoding ETF Market Movements: The Impact of Internal and External Factors

Author

Listed:
  • Umut Kemeç
  • Veysel Kula
  • Ender Baykut

Abstract

The study aims to explore the impact of CDS Türkiye, Dow Jones Islamic Market Türkiye Exchange Traded Fund (DJIMTR), Financial Stress Index (FSI), VIX, and iShare MSCI Türkiye (iShare) indicators on the market capitalization of BIST ETFs (ETF) using monthly data between January 2020 and November 2024. The ARDL method is used to examine the effect in the study. Based on the findings, there is cointegration between the variables. Examining the long-term relationships, CDS, DJIMTR, and ISHARE have a positive and statistically significant effect on ETF, while the FSI has a statistically significant negative effect on ETFs. The VIX and DJIMTR have a positive and statistically significant impact on the ETF in the long term. The error correction model (ECM) results show that the ECT coefficient is negative and statistically significant. Therefore, the shocks occurring on the ETF are effective in the short term, and at least 51% of them spill over to the next period, but these shocks come to balance in the following period and exhibit a convergence feature. So, CDS, FSI, DJIMTR, and ISHARE indicators are significant for determining the investment strategies of ETF investors and fund managers.

Suggested Citation

  • Umut Kemeç & Veysel Kula & Ender Baykut, 2025. "Decoding ETF Market Movements: The Impact of Internal and External Factors," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 10(3), pages 1122-1142.
    • Handle: RePEc:ahs:journl:v:10:y:2025:i:3:p:1122-1142
    DOI: 10.30784/epfad.1718492
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    References listed on IDEAS

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    1. Zhi Da & Sophie Shive, 2018. "Exchange traded funds and asset return correlations," European Financial Management, European Financial Management Association, vol. 24(1), pages 136-168, January.
    2. Anna Agapova & Margarita Kaprielyan & Nikanor Volkov, 2025. "ETFs and the price volatility of underlying bonds," The Financial Review, Eastern Finance Association, vol. 60(3), pages 667-700, August.
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    Keywords

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance

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