Abstract
This study attempts to analyze the relationship between the VIX index, which is expressed as the global fear index, and the stock exchange indexes of developed and developing countries located on different continents. In this context, by using daily data for time period between 30.01.2012 and 13.02.2020, whether there is a long term and causal relationship between Japan and China stock indices representing the continent of Asia, United States and Brazil stock indices representing the continent of America; Australian and New Zealand stock indices representing the continent of Australia; South Africa and Nigeria stock indices representing the continent of Africa and Germany and Turkey stock indices representing the continent of Europe and the VIX index were tested. As a result of the analysis, the long term relationship between VIX index and all of the stock indices was found. Additionally, in the short term, the causality relationship was found from VIX index to Dax (Germany), BIST 100 (Turkey), Shanghai (China ), S & P / ASX 200 (Australia), South Africa Top 40 (South Africa), Bovespa (Brazil), NSX 50 (New Zealand), NSE 30 (Nigeria), Nikkei 225 (Japan) except Dow 30 (United States).
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