Abstract:

Being informed about the direction of price movements that may occur in financial markets is very important for investors, portfolio managers and those who want to hedge risk. In this study, the volatility spillover relationship between the global indicators such as Baltic Dry Index, oil prices, gold prices, Dollar Index, MSCI World Index was investigated using the TVP-VAR method developed by Antonakakis and Gabauer (2017) using the data for the 02.01.2015-23.12.2021 period. As a result of the research, it is observed that the Baltic Dry Index, Brent oil price and MSCI World Index are the variables that transmit the volatility, while the Gold Ounce price and the Dollar Index are the variables that receive the volatility. While the variable that transmits volatility the most is Brent oil price, the variable that received the most volatility is the Dollar Index. By following the price movements that may occur in Brent oil prices, it will be possible to have information about the price changes of the financial indicators examined. It can be said that the changes in oil prices affect the world trade volume and capital movements. In addition, it has been observed that events such as the Covid-19 pandemic can change the direction of volatility.