Abstract:

With the development of information technologies, there has been a great increase in the number of financial assets that investors can trade in different country markets. The decrease in the costs and realization times of the transactions has increased the speed of the investors' transition between the markets. The shocks that arise due to the distribution of investments in different markets also affect other markets. Knowing this interaction between markets at the stage of reducing portfolio risk, making international portfolio diversification and determining the hedging ratio will increase the expected benefit from the investment. In this study, the volatility relationship between the Borsa İstanbul (BIST) Bank Index (XBANK) and the USA (NASDAQ IXBX), Germany (DAX CXPBX), UK (FTSE 350 FTNMX) and France (CAC FRFIN) Bank Indices was analyzed with the DCC-GARCH model. Within the scope of the study, the daily closing prices of the five indexes for the period 01.01.2015-20.07.2022 were used. As a result of the analysis It has been determined that there is a mutual volatility spread between DAX CXPBX and FTSE 350 FTNMX indices and XBANK, and one-way volatility spread from XBANK to the CAC FRFIN index. In addition, it has been determined that there is a time-dependent, positive correlation relationship between the bank indices examined and XBANK.

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