DECODING ETF MARKET MOVEMENTS: THE IMPACT OF INTERNAL AND EXTERNAL FACTORS

The research aims to explore the impact of CDS Turkey, Dow Jones Islamic Market Turkey Exchange Traded Fund (DJIMTR), Financial Stress Index (FSI), VIX, and iShare MSCI Turkey (iShare) indicators on the market capitalisation of BIST ETFs (ETF) using monthly data between January 2020 and November 2024. The ARDL method was used to examine the effect in the research. According to the results of the analysis, there is cointegration between the variables. The VIX and DJIMTR variables 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 26% of them spillover to the next period, but these shocks come to balance in the following period and exhibit a convergence feature. So, VIX and DJIMTR indicators are significant for determining the investment strategies of ETF investors and fund managers.