DYNAMİC INTERACTİONS BETWEEN GLOBAL RİSK INDİCATORS AND THE TURKİSH STOCK MARKET

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Izmir Democracy University Social Sciences Journal
Cilt: 8 Sayı: 2
DYNAMİC INTERACTİONS BETWEEN GLOBAL RİSK INDİCATORS AND THE TURKİSH STOCK MARKET

DYNAMİC INTERACTİONS BETWEEN GLOBAL RİSK INDİCATORS AND THE TURKİSH STOCK MARKET

Pages : 299-322

View : 34 | Download : 294

Publication Date : 2025-12-31

Article Type : Research Paper

Abstract :In this study, the causal relationships between the Borsa Istanbul 100 (BIST100) index and two key risk indicators—Credit Default Swap (CDS) premiums and the VIX index—were analyzed using monthly data for the period from October 2008 to December 2024. Within the scope of time series analysis, the stationarity levels of the series were first evaluated using the Augmented Dickey–Fuller (ADF) and Phillips–Perron (PP) unit root tests. Since the variables were found to be integrated of order one I(1) and stationary at their first differences, the Granger causality test was applied. The findings reveal that the Turkish stock market is significantly and unidirectionally influenced by the VIX index, which reflects global risk sentiment, while CDS premiums are influenced by the BIST100 index. This indicates that, in emerging economies such as Türkiye, stock markets are in dynamic interaction with both internal and external risk indicators, offering important implications for investor behavior and policymaking.
Keywords : CDS, VIX Endeksi, BIST100, Granger Nedensellik, Finansal Piyasalar, Risk Algısı

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