Causality Relationship Between Global Risk Indicators and BIST-Tourism Index

Authors : Esra SOYU YILDIRIM

Pages : 1429-1444

Doi:10.25295/fsecon.1264753

View : 47 | Download : 57

Publication Date : 2023-05-25

Article Type : Research Paper

Abstract :The aim of the study is to examine the causal relationship between the VIX index, oil price, dollar index, and BIST-Tourism index in the context of the global EPU between February 1997 and September 2022. To achieve this aim, the Fourier Toda Yamamoto insert ignore into journalissuearticles values(TY); causality test and the fractional Fourier TY causality test were used. The Fourier TY causality test results show that there is a one-way causative relationship between the dollar index and the BIST-Tourism index, between the VIX index and the global EPU index, and between the dollar index and oil price. In addition, it is seen that there is a bidirectional causal relationship between the dollar index and the global EPU index. According to the results obtained from the fractional Fourier TY causality test, there is a bidirectional causal relationship between BIST-tourism and global EPU and between BIST-tourism and oil price. In addition, a one-way causality relationship was found from the VIX index to the BIST-Tourism index, from the dollar index to the BIST-Tourism index, from the global EPU to the VIX index, and from the oil price to the dollar index. These results show that the shocks are permanent.
Keywords : Global EPU ındex, Fourier Toda Yamamoto, BIST Tourism