Investigation of Volatility Relation Between BIST Indexes and Corporate Governance Index

Abstract

This study tests the volatility spread and long-term relationship between Borsa Istanbul indexes and Corporate Governance Index (XKURY). The long-run relationship between the indexes is analyzed by the Johansen Cointegration test and the stationarity of time series is investigated by ADF and PP unit root tests. According to the study results, the index with the highest return is XKURY and the index with the highest volatility is BIST 30. The cointegration relations between XKURY, BIST100, BIST50 and BIST30 indexes are separately estimated. According to the estimation results, the variables with the highest speed of adjustment (cointegration) are XKURY and BIST50. According to the results of Granger Causality, XKURY is not the Granger cause of BIST100 but BIST100 is the Granger cause of XKURY. Among other variables, there is a two-way causality. Firms included in the corporate governance index have relatively higher return and lower volatility.