COMPARISON OF THE EFFECT OF VIX FEAR INDEX ON STOCK EXCHANGE INDICES OF DEVELOPED AND DEVELOPING COUNTRIES: THE G20 CASE

Basit Öğe Kaydı
dc.authoridAKDAG, SAFFET/0000-0001-9576-6786
dc.contributor.authorIskenderoglu, Omer
dc.contributor.authorAkdag, Saffet
dc.date.accessioned2024-11-07T13:31:41Z
dc.date.available2024-11-07T13:31:41Z
dc.date.issued2020
dc.departmentNiğde Ömer Halisdemir Üniversitesi
dc.description.abstractThis study aims to examine the potential causal relationship between the VIX and the indicator stock exchange index returns of G20 (9 developed and 10 developing) countries. Nineteen countries of the sample are G20 countries with available data. In this respect, the frequency domain Granger causality test of Breitung and Candelon (2006) is employed for the daily data between March 2011 and December 2017. The results obtained from the study indicate that there is no causal relationship between the VIX and the returns of the NASDAQ 100 index in developed countries. Similarly, no causal relationship is detected which runs from the VIX to the BIST100, BOVESPA, MERVAL, S&P/BMV IPC and TADAWUL stock index returns in developing countries. As a result, the causal relationship is more tend to be found in developed countries in comparison to developing countries.
dc.identifier.doi10.2478/jeb-2020-0009
dc.identifier.endpage121
dc.identifier.issn1840-118X
dc.identifier.issn2233-1999
dc.identifier.issue1
dc.identifier.scopus2-s2.0-85087783390
dc.identifier.scopusqualityQ2
dc.identifier.startpage105
dc.identifier.urihttps://doi.org/10.2478/jeb-2020-0009
dc.identifier.urihttps://hdl.handle.net/11480/14960
dc.identifier.volume15
dc.identifier.wosWOS:000542779100009
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherWalter De Gruyter Gmbh
dc.relation.ispartofSouth East European Journal of Economics and Business
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_20241106
dc.subjectRisk Appetite
dc.subjectFrequency Domain Causality
dc.subjectStock Exchange Indexes
dc.titleCOMPARISON OF THE EFFECT OF VIX FEAR INDEX ON STOCK EXCHANGE INDICES OF DEVELOPED AND DEVELOPING COUNTRIES: THE G20 CASE
dc.typeArticle

Dosyalar

Koleksiyon

WoS İndeksli Yayınlar Koleksiyonu
Scopus İndeksli Yayınlar Koleksiyonu