In today’s world, the rapid globalization of uncertainties in financial markets, the introduction of new financial instruments, and the integration of technological developments into the financial system have made the analysis of inter-market relationships increasingly important. In this study, the interaction structure among variables that steer both the Turkish economy and the global economy—BIST100 returns, the VIX index, Bitcoin returns, Brent crude oil price, the USD/TRY exchange rate, troy-ounce gold (XAU/USD) returns, the 2-year Turkey CDS premium, the 2-year Turkish government bond yield, and the U.S. Dollar Index (DXY)—is examined using a Time-Varying Parameter Vector Autoregressive (TVP-VAR) model. The analysis employs monthly data spanning September 1, 2015 to September 1, 2025. The results indicate that the VIX index and Brent crude oil price act as net shock transmitters and exhibit mutual influence, whereas BIST100 returns emerge as a net shock receiver. The USD/TRY exchange rate appears to be driven predominantly by domestic (internal) dynamics, while the 2-year Turkish government bond yield and DXYstand out as secondary transmission channels. Over the sample period, the variables display an average dynamic connectedness level of approximately 36%, suggesting that they can be jointly considered from an international portfolio diversification perspective. Furthermore, global events—such as crises, pandemics, and wars—alter the dynamic connectedness relations among the variables, reducing them in some periods and increasing them in others. This implies that major global developments affect both the magnitude and the direction of volatility spillovers. In light of these findings, effective market supervision and risk management call for joint monitoring of global indicators and domestic financial conditions, explicitly accounting for their time-varying nature.