We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
BORSA İSTANBUL KURUMSAL YÖNETİM ENDEKSİ (XKURY) İLE KORKU ENDEKSİ (CHICAGO BOARD OPTIONS EXCHANGE VOLATILITY INDEX-VIX) ARASINDAKİ İLİŞKİNİN ANALİZİ.
- Authors
KULA, VEYSEL; BAYKUT, ENDER
- Abstract
This paper attempts to examine the long run and the short run interactions of Fear Index (Chicago Board Options Exchange Volatility Index, also called VIX Index) and XKURY Index (Borsa Istanbul Corporate Governance Index). The empirical investigation employed daily data between 31 August 2007 to 31 December 2015, as 31 August 2007 is the starting date of calculating XKURY Index. In this study, it was used daily return data of Borsa Istanbul XKURY Index and Chicago Board Options Exchange VIX Index. The Autoregressive Distributed Lag (ARDL) analytical-cointegration technique is used to capture the dynamics of long-run relationship between the indices. The results of the analysis reveal long run relationship between Fear (VIX) Index and XKURY Index.
- Publication
Journal of Economics & Administrative Sciences / Afyon Kocatepe Üniversitesi Iktisadi ve Idari Bilimler Fakültesi Dergisi, 2017, Vol 19, Issue 2, p27
- ISSN
1302-1966
- Publication type
Academic Journal
- DOI
10.5578/jeas.63964