Volatility interaction between Volatility Index (VIX) and BIST Bank and International Bank Indices

The increase in international capital movements with globalization caused the need for financing to increase; Banks played an active role in meeting the financing needs. Due to the importance of the banking sector at the global level, our study focused on the banking sector and a wide range of literature was searched for the sector. A large number of studies found in the literature were classified and it was seen that the studies on the banking sector in the field of volatility were relatively few. Then, in order to investigate the volatility interactions in bank indices both in our country and globally, the Bist Bank index, which is composed of bank stocks traded in Borsa Istanbul, and the international banking indices of Morgan Stanley Capital International were included in our study. In addition, the volatility interactions between the VIX (Fear Index) index, which is an important indicator for global financial markets and the mentioned banking indices are examined with the DCC-GARCH model. The main turbulent periods in the review period range were the 2008 global financial crisis and the Covid-19 outbreak, and the interactions between the mentioned indices during these periods were also investigated and the results analyzed. The results are intended to support investors, governments and individuals in their decision making process.