Abstract:

In this paper, it is aimed to determine the possible existence of a causal relationship among the stock markets of the G-20 countries in extreme risk situations. For this purpose, between January 2, 1995 and May 26, 2022, using daily closing prices, the possible existence of extreme risk situations in the stock markets of G-20 countries was investigated with the risk situation causality test developed by Hong et al., (2009). According to the causality test results, it is unidirectional from the USA, Italy, Germany, France, China, Brazil, Argentina and India stock markets to the Turkish stock market and from the Turkish stock market to the Indonesia, Mexico and South African stock markets; It has been determined that there is a causal relationship between the stock markets of Japan, Canada, Australia, Korea and Russia and the Turkish stock market in case of bidirectional risk. Finally, no causal relationship was found in any risk situation with the UK stock market.

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