RELATIONSHIP BETWEEN VIX AND BIST 100: FREQUENCY DOMA？N CAUSAL？TY TEST

The objective of this study is to determine the relationship between VIX (Volatility Index) and BIST 100 index. The causality relationship between VIX and BIST 100 index is analyzed using daily data for the period 03.01.2000 - 09.02.2018 with frequency domain causality test. According to the results of the analysis, neither a temporary nor a permanent causality relationship from BIST 100 index to VIX is found. However, both a temporary and a permanent causality relationship is found from VIX to BIST 100 index unidirectionally. Consequently, investors can use the information of VIX index to make estimation of VIX in the short and in the long run