Özet:

Detection of the spread of volatility between financial markets can be a determining factor in the analysis of risk and investment decisions of domestic and foreign investors, as well as of all stakeholders. The integration of financial markets, the increased return between markets and the transmission of volatility make it necessary to analyze the potential volatility spread effects. In this study, the VIX Volatility Index and the Organization for Economic Development and Cooperation (OECD) are aimed at identifying the spread of volatility between major stock exchanges in the founding member countries. In this context, the daily data for the period 25.03.2015-21.09.2018 on the VIX Volatility Index and the country’s major stock exchanges were analyzed. The Chicago Board Options Exchange Volatility Index (CBOE) VIX Volatility Index and the volatility spread between the country’s exchanges have been studied with the CCC-MGARCH model. As a result of the review, the existence of negative shock and volatility spread from the VIX volatility index to all countries except the Iceland OMX index has been found. During this period, it is also possible to say that the shocks occurring in the system in the NUS, ATX, FTMIB and ATG indices were greater than in other countries’ exchanges, and that the effects of the previous period shocks showed a long memory feature in all other countries except the ATX index.