The Impact of the VIX, Exchange Rate and Oil Prices on the BIST100 During Earthquake Periods: Evidence from Fourier Approaches
Küçük Resim Yok
Tarih
2024
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Afet ve Acil Durum Yonetimi Baskanligi (AFAD)
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
The aim of this study is to investigate the impact of the VIX (Volatility Index), the exchange rate, and the oil price on the BIST100 index during the 2011 Van earthquake period, the 2020 Elaziǧ earthquake period, and the 2023 Kahramanmaraş earthquake period that occurred in Türkiye after 2010. Fourier ADL cointegration analysis with one year of daily data for each earthquake period revealed the existence of a long-run relationship in all models. Fourier FMOLS and Fourier DOLS results show that the increase in VIX index and dollar decreased the BIST100 index during the 2011 Van earthquake, the increase in dollar had a negative effect on the index during the 2020 Elaziǧ earthquake, and the increase in dollar and oil prices increased the BIST100 index during the 2023 Kahramanmaraş earthquake. Fourier Granger causality analysis revealed that there was bidirectional causality between the BIST100 and the VIX index after the 2011 Van earthquake, and unidirectional causality from the VIX index to the BIST100 index and from the BIST100 index to the dollar during the 2023 Kahramanmaraş earthquake. © 2024 Afet ve Acil Durum Yonetimi Baskanligi (AFAD). All rights reserved.
Açıklama
Anahtar Kelimeler
BIST100 Index, Earthquake effect, Financial markets, Fourier Causality Analysis, Fourier Cointegration Analysis
Kaynak
Turk Deprem Arastirma Dergisi
WoS Q Değeri
Scopus Q Değeri
Q4
Cilt
6
Sayı
2
