Özet:

Under today's conditions, investors need to prioritize the relationship between risk and return in order to make a decision. While volatility measures one dimension of risk, on the other hand, it is a situation that shows how the variable or variables change according to the mean. Risk is a very important situation for financial markets and there are many factors that affect volatility. Risk is a very important situation for financial markets and there are many factors that affect volatility. These factors are very important in volatility modeling for risk management and investment decision. With globalization, volatility has also gained importance. The main purpose of the study is to examine the return spread between oil and the stock markets of E7 countries. Weekly data for the period 16.01.2005 – 24.10.2021 were used by converting them into return series. The return spread between oil and the stock markets of E7 countries was analyzed with the CCC-GARCH model, one of the multivariate GARCH models. According to the findings obtained from the CCC-GARCH model It has been determined that volatility clusters are formed from oil, Turkey, Brazil, Indonesia, Russia, India, China and Mexico stock markets. Two-way volatility interaction has been determined between oil and Turkey, Brazil, India and Mexico stock markets. It has been determined that there is a one-way volatility interaction between oil and Indonesia, Russia and China stock markets.

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