Effects of selected volatility indexes on BIST 100 index

Volatility in financial markets represents the speed and magnitude of the change in the price of any financial asset. This course of volatility in financial asset prices reflects investors' market sensitivity and risk perceptions. High volatility is defined as large changes in asset prices in a short period of time. Low volatility indicates a more predictable course of asset price movements. The risk environment created by uncertainty in financial markets has a very important place for market participants. Therefore, measuring uncertainty with the help of an indicator has become an issue of interest for all market participants. Volatility indexes, one of these indicators, are also referred to as fear indexes that measure investors' financial market expectations. The fact that a volatility index has not been created for Türkiye financial markets has made it difficult for investors to estimate the levels of risk and uncertainty in the market. The purpose of this study is to analyse the effects of selected volatility indexes on the BIST 100 index, which represents the Türkiye financial market. For this purpose, ADF and Zivot Anderws unit root test, VAR analysis, impulse response analysis and finally variance decomposition were conducted to analyse the effect of fifteen different volatility indexes on BIST 100 index. When the findings of the study are evaluated, it is found that all volatility indexes included in the analysis have an impact on the BIST 100 index. RVX, VXN and VIX indexes are found to be the volatility indexes that affect the BIST 100 index the most, while JNIV index is the volatility indexes that has the least effect on the BIST 100 index.