THE DYNAMIC RELATIONSHIP BETWEEN VOLATILITY INDEX AND ASYMMETRIC INFORMATION IN BORSA ISTANBUL

Authors : Melih Kutlu, Havvanur Feyza Kaya

Pages : 353-363

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Publication Date : 2023-12-29

Article Type : Research Paper

Abstract :In this study, the causal relationships between asymmetric information in Borsa Istanbul and volatility index are investigated using daily data from 2003-2022. We first construct the asymmetric information series using the method of Llorente et al. (2002) and then apply the asymmetric causality test developed by Hatemi-J (2012) to investigate the causality between these variables. The approach captures nonlinear effects in the series by dividing them into positive and negative shocks. The results of the symmetric causality test indicate that there is no bidirectional causality between asymmetric information in Borsa İstanbul and volatility index. However, the results of the asymmetric causality test show that positive financial volatility shocks do cause positive asymmetric information shocks. An increase in financial volatility causes an increase in asymmetric information. Overall, this study highlights the asymmetric relationship between volatility index and asymmetric information in Borsa Istanbul, providing valuable insights for investors and policymakers in the Türkiye.
Keywords : Asimetrik Bilgi, Volatilite Endeksi, Asimetrik Nedensellik