Effect of VIX Fear Index on Financial Indicators: Turkey Case

The VIX index, which is accepted as an indicator of global risk appetite, is followed by the financial makers of many countries. Because the changes in the VIX index affect many financial indicators in the national markets. In this context, the purpose of the study is to test whether the VIX index is an effect on a variety of financial indicators in Turkey. For this purpose, Granger (1969) causality analysis, Breitung and Candelon frequency causality analysis, and Johansen cointegration analysis were used. As a result of Granger causality analysis, it was determined that the change in VIX index was the cause of changes in BIST 100 index, dollar and Euro exchange rate, industrial production index, real sector and consumer confidence index, purchasing managers index and risk appetite index. According to the results of frequency causality analysis, permanent causality has been identified from the change in VIX index to the change in BIST 100 index, Dollar and Euro exchange rate, interest rate, industrial production index, real sector confidence index, purchasing managers index and the change in risk appetite index. but temporary causality has been identified from the change in VIX index to the change in consumer confidence index. According to the cointegration analysis, a long-term relationship was found between the variables related and VIX