An application on the impact of the Covid-19 pandemic and the VIX fear index on financial markets

The aim of this study is to investigate the impacts of the COVID-19 pandemic and the VIX fear index on the financial markets. The research was conducted in the Burdur Mehmet Akif Ersoy University. The data was selected between March 11, 2020 and December 31, 2021. In this study, Lee-Strazicich Unit Root test, Toda Yamamoto Causality test, Maki Cointegration test and ARDL Bounds test were utilised in the empirical analysis and accordingly, the following results were obtained. In the specified period, an unilateral or bilateral causality relationship could not be founded between the number of COVID-19 cases and the variables of bitcoin, gold, and dollar index. Regarding the VIX index, a unilateral causality link has been revealed with the dollar index. The findings of the Maki Cointegration test and the ARDL Bound test indicate that each variables of bitcoin, gold, and dollar have cointegration relationships between both the VIX index and the number of COVID-19 case. Therefore, the rising number of COVID-19 cases and the value changes in VIX index have long-term effects on the prices of financial instruments.