Abstract:

With the financial integration in today’s conditions, we see that the world stock markets are affected by each other quickly. In particular, the stock markets of developed countries influence the stock markets of developing countries. This situation is of great importance in the risk-taking capacity of individual and institutional investors in their investment activities. Financial investors carry out their financial transactions by making use of indicators expressing risk perception. In our study, the volatility spillover effect of the CBOE VIX, known as the fear and risk appetite index in international markets, on the Borsa Istanbul National 100 (BIST100) Index was investigated. The opening prices of the VIX index one day before and after, and the daily opening and closing prices of the BIST100 index were processed. In the analysis, the EGARCH model, which is one of the volatility models, was used and the dates 25/09/2009-06/09/2022 were examined as the research period. According to the analysis findings; It has been determined that the shocks in the VIX index cause a volatility spillover effect on the return of the BIST100 index. Key Words: Fear Index, The Volatility Spillover Effect, EGARCH Model JEL Classification: C58, G17, G41

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