Decoding ETF Market Movements: The Impact of Internal and External Factors

Umut Kemeç, Veysel Kula and Ender Baykut

Journal of Research in Economics, Politics & Finance, 2025, vol. 10, issue 3, 1122-1142

Abstract: The study aims to explore the impact of CDS Türkiye, Dow Jones Islamic Market Türkiye Exchange Traded Fund (DJIMTR), Financial Stress Index (FSI), VIX, and iShare MSCI Türkiye (iShare) indicators on the market capitalization of BIST ETFs (ETF) using monthly data between January 2020 and November 2024. The ARDL method is used to examine the effect in the study. Based on the findings, there is cointegration between the variables. Examining the long-term relationships, CDS, DJIMTR, and ISHARE have a positive and statistically significant effect on ETF, while the FSI has a statistically significant negative effect on ETFs. The VIX and DJIMTR have a positive and statistically significant impact on the ETF in the long term. The error correction model (ECM) results show that the ECT coefficient is negative and statistically significant. Therefore, the shocks occurring on the ETF are effective in the short term, and at least 51% of them spill over to the next period, but these shocks come to balance in the following period and exhibit a convergence feature. So, CDS, FSI, DJIMTR, and ISHARE indicators are significant for determining the investment strategies of ETF investors and fund managers.

Keywords: ETF; Financial Stress Index; CDS; ARDL (search for similar items in EconPapers)
JEL-codes: F65 G11 G12 G15 G17 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:ahs:journl:v:10:y:2025:i:3:p:1122-1142

DOI: 10.30784/epfad.1718492

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