The Impact of The VIX Volatility Index on Investment Instruments

Volatility affects market participants strategies to cope with uncertainty and risk. For this reason, increasing market volatility with financial liberalization creates both risks and opportunities for investors. In an efficient market, volatility shows how market prices respond to variables and requires investors to shape their strategies accordingly. The main objective of this study is to investigate the effect of VIX Volatility index on investment instruments. For this purpose, the effect of VIX index on stocks, ounce price of gold, bond yield, foreign exchange rate and crypto market was tried to be explained. Monthly closing values for the period 09/2010 - 06/2024 were used for the analyzes. A total of five models were created in the research. According to the determination of stationarity, EKK Method, Granger Causality test, ARDL Cointegration test and Toda-Yamamoto Causality tests were applied to the created models. According to the results obtained from the analyzes made in the relevant period; While the DOW index, bond yield and Bitcoin price negatively affect the VIX index, the Dollar index positively affects the VIX index. In terms of statistics, the coefficients of other investment instruments except for the bond yield were found to be significant. In the short term, a bidirectional Granger Causality relationship was found between the DOW and VIX index, while a unidirectional Granger Causality relationship was found between BTC and bond yield and the VIX index. No Granger Causality relationship was found between the Dollar and the VIX index. No relationship was found between the VIX index and gold investment in the long term or in the short term.