The integration of financial markets means that economic events in one part of the world can have ripple effects globally. A financial crisis in a major economy such as US. economy can lead to reduced investor confidence worldwide, impacting stock markets, currency values, and economic growth in various countries. By using daily closing price, this study aims to examine the time-varying and Spillover effect between the XU100, NASDAQ and Dow Jones indices over the period between 03/13/2015 and 03/13/2024.The results of BEKK-GARCH model show that volatility shocks of returns in US stock market namely NASDAQ and DOW Jones transferred to Turkish stock markets (XU100). Also, there is spillover effect from US stock market to XU100. This effect in one-side. Based on DCC-GARCH results there is generally positive relationship between returns of US stock market and XU100 return. In additional, although there is no any long run relationship between price of two stock market, there is long run relationship between returns of two markets. These results can help investors and market participants understand how risks and returns interact in different markets. It can also provide an important source of information for developing effective portfolio management strategies.Keywords: Volatility Spillover, BIST100, NASDAQ, Dow Jones, DCC-GARCH, BEKK-GARCHJEL Codes: G15, C58
Ömer Kalav (Thu,) studied this question.