The Relationship Between the Indices of Volatility (VIX) and Sustainability (DJSEMUP): An ARDL Approach

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dc.contributor.authorVergılı, Gızem
dc.contributor.authorÇelık, Mehmet Sınan
dc.date.accessioned2024-11-07T13:19:39Z
dc.date.available2024-11-07T13:19:39Z
dc.date.issued2023
dc.departmentNiğde Ömer Halisdemir Üniversitesi
dc.description.abstractThis study aims to determine the cointegration relationship between Dow Jones Sustainability Emerging Markets Index (DJSEMUP) and the VIX Fear Index with monthly series between February 2013 and March 2020. This study, which examines the cointegration relationship between sustainability and volatility index from the perspective of emerging markets, is novel. First, unit root tests are utilized to understand the stationarity of the series. The unit root test results show that the VIX Index and DJSEMUP Index are not stationary at the same level. To this end, the ARDL (Autoregressive Distributed Lag) bounds test, which allows to detection of stationarity relationships at different levels, is applied to examine the cointegration relationship. The results show that there is a long-term relationship between the DJSEMUP Index and the VIX Index with a negative coefficient. As a result, long-term investors of companies included in the DJSEMUP Index can be recommended to invest by considering the VIX Index.
dc.identifier.endpage29
dc.identifier.issn2619-9491
dc.identifier.issue1
dc.identifier.startpage19
dc.identifier.trdizinid1156595
dc.identifier.urihttps://search.trdizin.gov.tr/tr/yayin/detay/1156595
dc.identifier.urihttps://hdl.handle.net/11480/13276
dc.identifier.volume14
dc.indekslendigikaynakTR-Dizin
dc.language.isoen
dc.relation.ispartofBusiness and Economics Research Journal
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_20241107
dc.subjectİktisat
dc.subjectİşletme Finans
dc.titleThe Relationship Between the Indices of Volatility (VIX) and Sustainability (DJSEMUP): An ARDL Approach
dc.typeArticle

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