DÖVİZ KURLARI VE BORSA İSTANBUL ENDEKSLERİ ARASINDAKİ VOLATİLİTE ETKİLEŞİMİ: FOURİER VARYANSTA NEDENSELLİK YAKLAŞIMI

Using a daily frequency dataset covering the period between January 2, 2018 and December 31, 2024, this study examines the volatility spillover relationship between exchange rate volatility (USD/TL and Euro/TL) and the returns of the BIST 100 index and selected sector indices (Industrial-XUSIN, Metal Goods Machinery-XMESY, Metal Main-XMANA, Financial-XUMAL, Technology-XUTEK, and Services-XUHIZ). The analysis applies the Fourier variance causality test developed by Li and Enders (2018), which accounts for structural breaks. The results indicate that exchange rate volatility (USD/TRY and Euro/TRY) is the cause of the volatility of the BIST 100 and selected sector indices. Moreover, it is concluded that volatility spillover effects are permanent in the industrials index (XUSIN), while they are more transitory in the BIST 100 and other sector indices.