The Impact of the VIX, Exchange Rate and Oil Prices on the BIST100 During Earthquake Periods: Evidence from Fourier Approaches

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dc.contributor.authorHan, Aysegul
dc.contributor.authorTosun, Nergis
dc.date.accessioned2026-04-04T13:19:09Z
dc.date.available2026-04-04T13:19:09Z
dc.date.issued2024
dc.departmentİnönü Üniversitesi
dc.description.abstractThe 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.
dc.identifier.doi10.46464/tdad.1542634
dc.identifier.endpage668
dc.identifier.issn2687-301X
dc.identifier.issue2
dc.identifier.scopus2-s2.0-85213872625
dc.identifier.scopusqualityQ4
dc.identifier.startpage649
dc.identifier.trdizinid1289316
dc.identifier.urihttps://doi.org/10.46464/tdad.1542634
dc.identifier.urihttps://search.trdizin.gov.tr/tr/yayin/detay/1289316
dc.identifier.urihttps://hdl.handle.net/11616/108202
dc.identifier.volume6
dc.indekslendigikaynakScopus
dc.indekslendigikaynakTR-Dizin
dc.language.isotr
dc.publisherAfet ve Acil Durum Yonetimi Baskanligi (AFAD)
dc.relation.ispartofTurk Deprem Arastirma Dergisi
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_Scopus_20250329
dc.subjectBIST100 Index
dc.subjectEarthquake effect
dc.subjectFinancial markets
dc.subjectFourier Causality Analysis
dc.subjectFourier Cointegration Analysis
dc.titleThe Impact of the VIX, Exchange Rate and Oil Prices on the BIST100 During Earthquake Periods: Evidence from Fourier Approaches
dc.title.alternativeDeprem Dönemlerinde VIX, Döviz Kuru ve Petrol Fiyatlarinin BIST100 Üzerindeki Etkisi: Fourier Yaklaşimlardan Kanitlar]
dc.typeArticle

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