Covid-19 Döneminde Türkiye’de Finansal Varlıklar Arasındaki Volatilite Yayılımı: TVP-VAR Uygulaması
Spread of Volatility Among Financial Assets in Türkiye During Covid-19 Period: TVP-VAR Application

Summary/Abstract: The Covid-19 pandemic, which has affected the whole world, has adversely affected all areas of life, including financial markets. The aim of this study is to investigate the dynamic connectedness between global and local financial assets in Türkiye during the Covid-19 period. Data for the period 11.03.2020-01.02.2022 were analyzed using the TVP-VAR method in order to investigate the dynamic connectivity relationship. According to the findings obtained as a result of the analysis, Bitcoin price and ounce gold price are variables that volatility transmitters; it has been determined that BIST 100 index, dollar rate and WTI crude oil price are volatility receivers. The variable with the highest volatility is the BIST 100 index, while the dollar rate is in the second place and the WTI crude oil price is in the third place. While BIST 100 index is the variable that receives the most this volatility, the dollar rate is in second place and the WTI crude oil price is in third place. While it was observed that the BIST 100 index was affected by the changes in the ounce gold, Bitcoin and dollar rates, it was determined that the variable that most affected the BIST 100 index was ounce gold. It is thought that these results will be beneficial for portfolio managers, hedgers, policymakers, and those who want to create an investment strategy.

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