Analyzing the relationship between risk indices and stock market indices: The case of Stock Exchange Istanbul

The triggering conditions of the crisis and the situation after the global economic crisis still do not show a significant change. Despite a significant amount of liquidity being injected into the markets, structural problems remain and are insufficient to alleviate the effects of the crisis. This situation is clearly seen by the fact that the European Union has not been able to get out of the economic bottleneck and is facing an unsolvable debt problem worldwide. This situation reveals that current strategies are inadequate and require new solutions. After the global economic crisis in 2008, different opinions were put forward about overcoming the crisis. This master's thesis examines the causality and cointegration relationship between BIST 100, BIST 50 and BIST 30 indices, Composite Indicator of Systemic Risk (CISS) index, Fear Index (VIX) and Turkey Credit Clearing Premium (CDS) indices. This thesis investigates the impact of fluctuations in Turkey's financial markets on these indices and aims to contribute to the literature. These indices reflect market behavior and risk perception during periods of economic uncertainty and financial instability. The study will help determine the direction of the relationship between dependent and independent variables using causality and cointegration tests. These tests will help reveal long- and short-term dynamics between indices. The results obtained provide some important information in terms of risk management and investment strategies. This information is especially important to understand the impact of fluctuations in Turkey's financial markets on these indices. This information is considered important as it can help investors and policy makers make more informed decisions in times of economic uncertainty and financial instability.