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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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  • Kadir Tuna

    (Istanbul University Faculty of Economics, Department of Economics, Department of Technology and Industrial Economics, Istanbul, Turkiye)

Abstract

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.

Suggested Citation

  • Kadir Tuna, 2022. "The Effects of Volatilities in Oil Price, Gold Price and VIX Index on Turkish BIST 100 Stock Index in Pandemic Period," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 72(72-1), pages 39-54, June.
    • Handle: RePEc:ist:journl:v:72:y:2022:i:1:p:39-54
    DOI: 10.26650/ISTJECON2021-1034794
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    References listed on IDEAS

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    1. Granger, C. W. J., 1988. "Causality, cointegration, and control," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 551-559.
    2. Ali İlhan & Coşkun Akdeniz, 2020. "The Impact of Macroeconomic Variables on The Stock Market in The Time of Covid-19: The Case of Turkey," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 5(3), pages 893-912.
    3. Akkoc, Ugur & Civcir, Irfan, 2019. "Dynamic linkages between strategic commodities and stock market in Turkey: Evidence from SVAR-DCC-GARCH model," Resources Policy, Elsevier, vol. 62(C), pages 231-239.
    4. MacKinnon, James G, 1996. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 601-618, Nov.-Dec..
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    Cited by:

    1. Hapau Razvan Gabriel, 2023. "Capital Market Volatility During Crises: Oil Price Insights, VIX Index, and Gold Price Analysis," Management & Marketing, Sciendo, vol. 18(3), pages 290-314, September.

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    More about this item

    Keywords

    Toda-Yamamoto Causality Test; BIST 100; Gold Price; Oil Price; VIX Index JEL Classification: C58 ; E49 ; F30;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E49 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Other
    • F30 - International Economics - - International Finance - - - General

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