Volatility of BIST100 Index Returns During the Russia–Ukraine War: A GARCH-X Analysis of the Exchange Rate Channel
SSRJ | Social Sciences Research Journal, cilt.15, sa.1, ss.106-120, 2026 (Hakemli Dergi)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 15 Sayı: 1
- Basım Tarihi: 2026
- Dergi Adı: SSRJ | Social Sciences Research Journal
- Sayfa Sayıları: ss.106-120
- Recep Tayyip Erdoğan Üniversitesi Adresli: Evet
Özet
This study analyzes the volatility dynamics of BIST100 Index daily returns in Türkiye during the period covering the onset of the Russia-Ukraine War. For this purpose, daily data for the period from January 3, 2022 to May 26, 2026 are employed, and the relationship between BIST100 daily returns and the USD/TRY exchange rate is examined using the GARCH-X model. The study first evaluates descriptive statistics, the correlation matrix, and unit root test results, and then estimates an appropriate ARMA model for BIST100 daily returns. The BDS test applied to the residuals of the ARMA(2,2) model indicates the presence of nonlinear dependence in the series, thereby supporting the use of ARCH/GARCH-type volatility models. The GARCH-X model results reveal that past shocks and past volatility have significant effects on current volatility in BIST100 daily returns. Moreover, changes in the USD/TRY exchange rate are found to have a positive and statistically significant effect on BIST100 return volatility. The findings indicate that, during the 2022–2026 period covering the onset of the Russia-Ukraine War, the conditional volatility of BIST100 daily returns is positively and statistically significantly associated with exchange rate movements. Rather than demonstrating a direct and isolated effect of the war on BIST100 volatility, this result suggests that the exchange rate channel constitutes an important risk indicator for stock market volatility during the period under analysis. In this respect, the study contributes to the literature by providing empirical evidence from Türkiye on BIST100 volatility during a period of geopolitical uncertainty, with particular emphasis on the exchange rate channel.