Özet:

The world economy has become more integrated in the last century due to the development of technology, increased capital accumulation and changes in investors' risk perceptions. As a result of this integrated structure, the repercussions of an event occurring in one geography/market have become visible in other economies. In this study, it is aimed to analyze the relationship between WUI (World Uncertainty Index), EPU (Economic Policy Uncertainty Index) and GPR (Geopolitical Risk Index) indices, which are seen as important on the world economy, and BRICS country stock markets (Brazil-Bovespa, Russia-MOEX, India/Bharat-BSE SENSEX, China-Shanghai Composite (SSEC) and South Africa-FTSE South Africa). Within the scope of the study, monthly data between 01.01.2008-01.11.2023 were analyzed using the TVP-VAR (Time-Varying Parameter Vector Autoregressive Models) method. The results of the study revealed that the Russian stock market spreads volatility to the WUI, EPU and GPR indices, the Brazilian stock market spreads volatility to the WUI and EPU indices and the Chinese stock market spreads volatility to the GPR index.

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