Özet:

In the study, the Stock Exchange Istanbul Index (BIST-100) and JP Morgan Developing Countries Bond Index - Index Global (EMBI), Dow Jones Stock Exchange Industry Index (DJI), American Dollar Index (DXY), Chicago Option Exchange Playing Index-CBOE (VIX) and Brent Petroleum (BrP) volatility interaction represented the prices of crude oil. The data is a daily return series of the period 30.09.2009-05.07.2018 and the DCC-GARCH model is used as an econometric model, taking into account the time-related variable correlation from the multi-variable GARCH (Generated Otoregressive Conditional Variant) models. The findings show that the volatility between BIST-100 and the variables addressed has continuous effects and that the volatility accumulations in these markets are intense. The volatility of raw oil and EMBI reduces the volatility of the BIST-100 index while the volatility of other variables increases the volatility of the BIST-100. In addition, it can be said that DXY is the variable that most affects the BIST-100 index volatility.

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