Volatility spread between islamic country indexes and Borsa İstanbul

In this study, the casuality between Islamic Country Indices and Borsa İstanbul (BIST) and, also, the volatility spillover between the indices were examined. In this context, all Share (BAX), Dubai general (DFMGI), QE All Shares (QEAS), MSM 30(MSX30), Premier Market-Market Cap Weighted PR (BKP) indices were selected as Islamic Country Indices. As the BIST Participation Indices, the casuality relationship between the indices was examined with The Fourer Todo Test by using the daily return series of BIST100, BIST50, BIST30, PARTICIPATION30, PARTICIPATION50, PARTICIPATION100, ALL PARTICIPATION100 between February 1, 2015 and March 11, 2022. On the other hand, the volatility spread between the indices was examined by using The Hafner Herwatz Test. As a result of the study, not only the existance of a casual relation but also the existance of a volatility spread from Islamic Country Indices to Borsa İstanbul were determined. In this context, it is anticipated that Islamic Country Indices may be used as a leading indicator for the investors who consider investing in Borsa İstanbul Indices. The aim of this study is to provide information that is essential for portfolio investors, policy practitioners and institutional investors. Keywords: Volatility, Volatility Diffusion, Stock Market Index, Toda-Yamamoto Causality Test