Özet:

With the collapse of the Bretton Woods system, the transition to the flexible exchange rate system was achieved and the effect of exchange rate volatility on macroeconomic factors has been the subject of many studies. Under these conditions, modelling volatility, determining exchange rate volatility and stock market index volatility and volatility spillovers are important for market actors. In this context, the aim of the study is to examine the interaction between exchange rate volatility and stock market index volatility between 2002-2021 in Turkey. In the study, US dollar volatility data and Euro volatility data are used as exchange rate variables, and BIST100, BISTHIZ, BISTSINAI indices volatility data are used as stock market variables. The stationarity of the data set used in the study is examined with ADF unit root test and Lee-Strazicich unit root test. Toda-Yamamoto Model is used to determine the causality relationship between exchange rate volatility and stock market index volatility. Then, with variance decomposition tests, it is determined how much of the change in the variables is caused by itself and how much is caused by other variables. Finally, the response of the variables used in the research to unit shocks is examined by impulse-response tests. According to the Toda-Yamamoto causality test, it is concluded that there is a two-way causality relationship in terms of all index variables and exchange rate volatility variables.

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