Yield and volatility spread between dollar rate and BİST city indices

In order to provide funs from financial markets, countries competing among themselves must provide transparent, reliable and predictable financial outpust for those who will invest. The fact that the financial statements, which are as important as the financial performance indicators, reflects the truth, guides the ones who will invest in the past and present values of the companies. Volatility, which cannot be obtained as a result of the financial statement analysis, but as a result of the detailed analysis, directly affects the return on investment. Volatility, which has been highly emphasized by global investors in recent years, has become one of the points that investors pay attention to when making investment decisions. In this study, the distribution of return and volatility of city indices between 2010 and 2017 is examined with VAR-EGARCH multivariate model. Between 2010 and 2017, 8 city indexes with continuous data were included in the analysis. The city indices analyzed provide guidance to the investor in which city in which business they should invest. When the results of all models areexamined in general; The dolar variable, Adana, Ankara, Antalya, Bursa, İstanbul, İzmir, Kayseri and Kocaeli are all affected by their lagged returns and lagged returns of the dolar exchange rate. Moreover, past shocks of the dollar exchange rate affected the city indices in the study. As a result, the dolar exchange rate has a significant volatility spread over these city indices. Key Words: City Indices, VAR-EGARCH, Volatility