BIST ETFs-Market Capitalization of ETPs - ETF CDS DJIMTR FSI ISHARE VIX

Sep 2, 2026

Uploaded by Anda

Monthly financial time-series analysis links ETF and related market indicators with CDS and volatility measures to evaluate stress and risk dynamics across global markets. The study compiles descriptive statistics for ETF, CDS, DJIMTR, OFR Financial Stress Index (FSI), ofiShares MSCI Türkiye ETF (ISHARE), and VIX, then tests distributional properties and stationarity using mean/median, variance, skewness and kurtosis, and formal Jarque-Bera and probability outcomes. It applies regression-style parameter checks and ADF unit-root tests to assess level versus first-difference behavior and determine integration orders.

LanguageEnglish

CategoryResearch & Report

FormatPDF

Pages21

Reading Time53 min

AccessFree to download

Descriptive Statistics

Summary Moments and Distributions

Regression/Parameter Tests

Constant/Trend Specifications

Unit Root and Stationarity Testing

ADF Tests at Level and First Difference

Break Period and Integration Order Decisions

| Data | Explanation | Source | Expected
Sign | | --- | --- | --- | --- | | ETF | BIST ETFs-Market Capitalization of ETPs | World Federation Exchange | Dependent
variable | | CDS | Türkiye's "Türkiye CDS 5-Year USD" monthly data | Investing | - | | DJIMTR | A monthly price of Dow Jones Islamic Market Türkiye Exchange Traded Fund | Investing | + | | FSI | The OFR Financial Stress Index (OFR FSI) is a monthly market-based snapshot of stress in global financial markets. | Office of
Financial
Research | - | | ISHARE | A monthly price ofiShares MSCI Türkiye’s ETF | Investing | + | | VIX | A monthly price of VIX (CBOE Volatility Index) | Investing | - | | | ETF | CDS | DJIMTR | FSI | ISHARE | VIX | | --- | --- | --- | --- | --- | --- | --- | | Mean | 29415.27 | 454.8776 | 21891.76 | 0.009460 | 27.77085 | 21.77949 | | Median | 9724.150 | 443.5200 | 13309.45 | -0.021461 | 26.50000 | 19.40000 | | Maximum | 111520.2 | 838.2300 | 47073.91 | 1.003000 | 42.28000 | 53.54000 | | Minimum | 403.3600 | 239.8200 | 6615.770 | -0.303000 | 17.74000 | 12.44000 | | Std. Dev. | 32722.61 | 151.5302 | 14428.65 | 0.256249 | 7.535585 | 8.043214 | | Skewness | 0.888419 | 0.564416 | 0.524377 | 1.731972 | 0.378550 | 1.401030 | | Kurtosis | 2.413376 | 2.769070 | 1.610251 | 7.048722 | 1.707046 | 5.685409 | | Jarque-Bera | 8.607323 | 3.263657 | 7.451916 | 69.79470 | 5.518790 | 37.02979 | | Probability | 0.013519 | 0.195572 | 0.024090 | 0.000000 | 0.063330 | 0.000000 | | Observations | 59 | 59 | 59 | 59 | 59 | 59 | | PP | Constant | Constant and Trend | | No Constant and Trend | | | --- | --- | --- | --- | --- | --- | | Level | t-stat. Prob. | t-stat. | Prob. | t-stat. | Prob. | | ETF | 1.8173 0.9997 | -0.6701 | 0.9704 | 3.2406 | 0.9996 | | DJIMTR | -0.1918 0.9332 | -2.0649 | 0.5539 | 1.4618 | 0.9630 | | VIX | -3.5907 0.0089*** | -5.8116 | 0.0001*** | -0.8559 | 0.3409 | | ISHARE | -1.2784 0.6339 | -3.0638 | 0.1247 | 0.0772 | 0.7034 | | CDS | -1.9782 0.2954 | -2.4021 | 0.3747 | -0.5575 | 0.4714 | | FSI | -2.9448 0.0464** | -3.1942 | 0.0957* | -2.9680 | 0.0036*** | | Δ(ETF) | -4.4560 0.0007*** | -4.9544 | 0.0009*** | -4.0055 | 0.0001*** | | Δ(DJIMTR) | -6.5686 0.0000*** | -6.5438 | 0.0000*** | -6.1820 | 0.0000*** | | Δ(ISHARE) | -6.6436 0.0000*** | -6.5812 | 0.0000*** | -6.6058 | 0.0000*** | | Δ(CDS) | -5.9586 0.0000*** | -5.9443 | 0.0000*** | -6.0178 | 0.0000*** | | ADF | Constant | Constant | and Trend | No Constant | and Trend | | Level | t-stat. Prob. | t-stat. | Prob. | t-stat. | Prob. | | ETF | 1.0824 0.9969 | -1.1565 | 0.9096 | 2.0174 | 0.9888 | | DJIMTR | -0.0922 0.9450 | -1.9907 | 0.5940 | 1.6827 | 0.9764 | | VIX | -3.3858 0.0156** | -5.5943 | 0.0001*** | -2.2055 | 0.0276** | | ISHARE | -1.1345 0.6963 | -3.0638 | 0.1247 | 0.1085 | 0.7131 | | CDS | -1.7018 0.4251 | -2.2158 | 0.4718 | -0.4974 | 0.4965 | | FSI | -2.7668 0.0694* | -3.1942 | 0.0957* | -2.7933 | 0.0060*** | | Δ(ETF) | -4.5152 0.0006*** | -4.9870 | 0.0008*** | -3.9797 | 0.0002*** | | Δ(DJIMTR) | -6.5744 0.0000*** | -6.5516 | 0.0000*** | -6.1820 | 0.0000*** | | Δ(ISHARE) | -6.6261 0.0000*** | -6.5792 | 0.0000*** | -6.6475 | 0.0000*** | | Δ(CDS) | -6.0395 0.0000*** | -6.0438 | 0.0000*** | -6.0921 | 0.0000*** | | Variables | Level | | | First Difference | | | Decision | | --- | --- | --- | --- | --- | --- | --- | --- | | | Lag | Break Period | t-stat. | Lag | Break Period | t-stat. | | | ETF | 8 | 2022M12-2024M03 | -9.639*** | | | | I(0) | | CDS | 8 | 2022M03-2023M07 | -5.1752 | 1 | 2020M12-2022M06 | -6.786** | I(1) | | DJIMTR | 2 | 2022M02-2024M02 | -6.852*** | | | | I(0) | | FSI | 1 | 2020M11-2022M04 | -5.540 | 1 | 2020M11-2022M01 | -8.832*** | I(1) | | ISHARE | 3 | 2020M11-2022M09 | -6.063* | 3 | 2022M12-2024M04 | -6.178** | I(1) | | VIX | 8 | 2020M12-2022M02 | -6.153** | | | | I(0) |

FAQs

Which variables are analyzed in the study?

The analysis includes ETF, CDS, DJIMTR, OFR Financial Stress Index (FSI), ISHARE, and VIX, with additional focus on their first differences (Δ terms).

What descriptive statistics are reported for each variable?

For each series, the document reports mean, median, maximum, minimum, standard deviation, skewness, kurtosis, Jarque-Bera statistics with probability, and observation counts.

How does the study assess stationarity?

It applies ADF (Augmented Dickey-Fuller) tests under different model specifications (constant, constant and trend, and no-constant cases) for both level and first-difference forms, producing stationarity/integration decisions.

Sep 2, 2026

Uploaded by Anda