The effect of the fear index, dollar index and bitcoin on volatility: Anexample fromBorsa Istanbul

Dilmaç M., Sumer Adin S., Mola H., Altinkaynak F.

ASIAN ECONOMIC AND FINANCIAL REVIEW, cilt.13, sa.12, ss.970-980, 2023 (Scopus) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 13 Sayı: 12
  • Basım Tarihi: 2023
  • Doi Numarası: 10.55493/5002.v13i12.4902
  • Dergi Adı: ASIAN ECONOMIC AND FINANCIAL REVIEW
  • Derginin Tarandığı İndeksler: Scopus, ABI/INFORM, EconLit
  • Sayfa Sayıları: ss.970-980
  • Atatürk Üniversitesi Adresli: Evet

Özet

The effect of the Russia–Ukraine war has fluctuated in Europe and Asia's economic conjuncture by virtue of constantshifting balances. The portfolios of investors who made decisions inuncertainconditionshave been affected by thesefluctuationsthat havecaused volatility in the stock market's indexes. The aim of thisstudy is to examine the impact of the Fear Index(FI), the Dollar Index,and Bitcoin on the volatility of the Borsa Istanbul 100 Index(BIST). Autoregressive distributed lag(ARDL)time series analysiswas used for the study, whichrevealed that the Dollar Index hasno effect on volatility,while the FI was found to have an effect on volatility both in the short and long runs. In addition, Bitcoin wasdetermined to have an effect on volatility only in the long run. When the period of the data used is examined,the outbreak of the Russia–Ukraine war in February2022is thought to be the reason for the increase inthe FI. It can be assumedthat the decisionsof investors to invest in theBIST wereadversely affected by the war as a natural consequence of this, and investors who ceasedinvesting in the BIST index opted to invest elsewhere.

The  effect  of the Russia–Ukraine  war  has  fluctuated in  Europe  and  Asia's  economic conjuncture  by  virtue  of constantshifting  balances.  The  portfolios  of  investors  who made decisions  inuncertainconditionshave  been  affected  by  thesefluctuationsthat havecaused volatility in the stock market's indexes. The aim of thisstudy is to examine the impact of the Fear Index(FI), the Dollar Index,and Bitcoin on the volatility of the Borsa  Istanbul 100 Index(BIST). Autoregressive  distributed  lag(ARDL)time  series analysiswas  used  for the study, whichrevealed that the Dollar Index hasno effect on volatility,while  the  FI was  found  to have an effect on volatility both in the short and long runs. In addition, Bitcoin wasdetermined to have an effect on volatility only in the long  run.  When  the  period  of  the  data  used  is  examined,the outbreak of the Russia–Ukraine war in February2022is thought to be the reason for the increase inthe FI. It can  be assumedthat the decisionsof  investors  to invest  in  theBIST wereadversely affected by the war as a natural consequence of this, and investors who ceasedinvesting in the BIST  index opted to invest elsewhere.

The effect of the Russia–Ukraine war has fluctuated in Europe and Asia's economic conjuncture by virtue of constantshifting balances. The portfolios of investors who made decisions inuncertainconditionshave been affected by thesefluctuationsthat havecaused volatility in the stock market's indexes. The aim of thisstudy is to examine the impact of the Fear Index(FI), the Dollar Index,and Bitcoin on the volatility of the Borsa Istanbul 100 Index(BIST). Autoregressive distributed lag(ARDL)time series analysiswas used for the study, whichrevealed that the Dollar Index hasno effect on volatility,while the FI was found to have an effect on volatility both in the short and long runs. In addition, Bitcoin wasdetermined to have an effect on volatility only in the long run. When the period of the data used is examined,the outbreak of the Russia–Ukraine war in February2022is thought to be the reason for the increase inthe FI. It can be assumedthat the decisionsof investors to invest in theBIST wereadversely affected by the war as a natural consequence of this, and investors who ceasedinvesting in the BIST index opted to invest elsewhere.

The  effect  of the Russia–Ukraine  war  has  fluctuated in  Europe  and  Asia's  economic conjuncture  by  virtue  of constantshifting  balances.  The  portfolios  of  investors  who made decisions  inuncertainconditionshave  been  affected  by  thesefluctuationsthat havecaused volatility in the stock market's indexes. The aim of thisstudy is to examine the impact of the Fear Index(FI), the Dollar Index,and Bitcoin on the volatility of the Borsa  Istanbul 100 Index(BIST). Autoregressive  distributed  lag(ARDL)time  series analysiswas  used  for the study, whichrevealed that the Dollar Index hasno effect on volatility,while  the  FI was  found  to have an effect on volatility both in the short and long runs. In addition, Bitcoin wasdetermined to have an effect on volatility only in the long  run.  When  the  period  of  the  data  used  is  examined,the outbreak of the Russia–Ukraine war in February2022is thought to be the reason for the increase inthe FI. It can  be assumedthat the decisionsof  investors  to invest  in  theBIST wereadversely affected by the war as a natural consequence of this, and investors who ceasedinvesting in the BIST  index opted to invest elsewhere.