Short Run Dynamics In Turkish Financial Markets: The BIST 100, The Banking Index, And Key Risk Indicators
DOI:
https://doi.org/10.22399/ijcesen.5008Keywords:
BIST 100 Index, Banking Index, Credit Default Swaps (CDS), VIX IndexAbstract
This study examines the relationship between the BIST 100 index and the banking index, in the context of CDS premiums and the VIX index, a global uncertainty indicator. To better understand how Turkish financial markets respond to changes in risk perceptions and sector-specific dynamics, daily data from 2020 to 2023 are used. The analysis jointly applies the ARDL bounds testing approach, which allows variables to be integrated at different orders, and the Toda-Yamamoto causality method, which enables testing causality relationships independently of integration properties. The results of the ARDL bounds testing procedure suggest that the BIST 100 index does not share a long run cointegration relationship with the banking index, CDS, or the VIX index. In contrast, short-run coefficient estimates indicate that the banking index has a strong, statistically significant effect on the BIST 100. While the impact of CDS shows a delayed, asymmetric structure, the effect of the VIX index on the BIST 100 is negative and significant. The results of the Toda-Yamamoto causality analysis further indicate widespread, and in most cases bidirectional, causality among the variables. Overall, the findings suggest that the relationship between the BIST 100 index and the banking sector is characterized not by a long-run equilibrium mechanism, but rather by short-run, reciprocal, and shock-sensitive dynamics. In this respect, the study contributes to a better understanding of risk transmission channels and sectoral leadership mechanisms in Turkish equity markets.
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