Kredi Temerrüt Takasının Hisse Senedi Endeksi Üzerindeki Etkileri: BRIC Ülkeleri İçin Asimetrik Nedensellik Yaklaşımı

Year 2018, Issue: 643, 771 - 788, 01.09.2018

Kaya Tokmakçıoğlu , Oğuzhan Özçelebi , Berkay Manioğlu

Abstract

Bu çalışmada, Granger and Hatemi-J (2012) testleri ile BRIC ülke kredi temerrüt takaslarının (KTT) hisse senedi endeksleri üzerinde nedensellik etkisine sahip olup olmadığı incelenmiştir. Çalışmanın bulguları Brezilya’nın ülke riskinin düşmesinin hisse senedi getirilerini düşürdüğünü desteklemekle birlikte, hisse senedi yatırımcılarının risk sever bir yapıya sahip olabileceğini ima etmektedir. Rusya’da ise teorik varsayımlara aykırı olarak, sermaye hareketlerinin ülke KTT ile yakından ilişkili olmadığı ve ülke riskinin artmasının/azalmasının hisse senedi getirilerini düşürebileceği/yükseltebileceği yönünde bulgulara rastlanılmamıştır. Nedensellik analizi ile KTT’lerin Brezilya ve Rusya’da olduğu gibi Hindistan ve Çin’de de uluslararası finansal sermaye akımları ve risk iştahı üzerinde belirgin bir etkiye sahip olmadığı saptanmış ve hisse senedi piyasalarındaki yatırım kararları için politik, sosyal ve diğer ekonomik faktörlerin önemli olabileceği iddia edilmiştir

Keywords

Kümülatif toplamlar yaklaşımı, nedensellik analizi, KTT, hisse senedi endeksi, BRIC ülkeleri

The Impacts of the Credit Default Swap on the Stock Index: Asymmetric Causality Approach for BRIC Countries

Abstract

In this study, Granger and Hatemi-J (2012) tests are used to examine whether or not the credit default swaps (CDS) have causality effects on stock indices in BRIC countries. Although the findings of the study support the fact that a fall in Brazil's country risk leads to a decrease in stock returns, it is implied that stock investors may have a risk-likely behavior. In Russia, contrary to theoretical assumptions, causality analysis shows that capital movements are closely related to the country's CDS, and that the increase / decrease of the country risk may neither reduce nor raise stock indices. Causality analysis reveals that the CDS’s do not have a significant influence on international capital flows and risk appetite in Brazil and Russia as well as in India and China, and thus, it can be asserted that political, social and other economic factors may become crucial for investment decisions in stock markets

Keywords

Cumulative sums approach, causality analysis, CDS, stock index, BRIC countries

References

• AL-OWN Bassam, MINHAT Marizah, GAO Simon, (2018), “Stock options and credit default swaps in risk management.” Journal of International Financial Markets, Institutions and Money 53, pp. 200-214.
• BAHMANI-OSKOOEE Mohsen, CHANG Tsangyao, RANJBAR Omid, (2016), “Asymmetric causality using frequency domain and time-frequency domain (wavelet) approaches.” Economic Modelling 56, pp. 66-78.
• BEKIROS Stelios, JLASSI Mouna, NAOUI Kamel, (2017), SALAH UDDIN, Gazi, (2017), “The asymmetric relationship between returns and implied volatility: Evidence from global stock markets.” Journal of Financial Stability 30, pp. 156-174.
• BOURIE Elie, GUPTA Rangan, HOSSEINI Seyedmehdi, LAU Chi Keung Marco, (2018), “Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model.” Emerging Markets Review 34, pp. 124-142.
• BYSTRÖM Hans, (2018), “Stock return expectations in the credit market.” International Review of Financial Analysis 56, pp. 85-92.
• DENNIS Patrick, MAYHEW Stewart, STIVERS Chris, (2006) “Stock returns, implied volatility innovations, and the asymmetric volatility phenomenon.” Journal of Financial and Quantitative Analysis 41(2), pp. 381-406.
• ECONOMOU Fotini, PANAGOPOULOS Yannis, TSOUMA Ekaterini, (2018), “Uncovering asymmetries in the relationship between fear and the stock market using a hidden co-integration approach.” Research in International Business and Finance 44, pp. 459-470.
• FEI Fei, FUERTES Ana-Maria, KALOTYCHOU Elena, (2017), “Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching.” International Journal of Forecasting 33(3), pp. 662-678.
• HATEMI-J Abdulnasser, (2011), ACTEST: GAUSS module to Apply Asymmetric Causality Tests, Statistical Software Components G00014, Boston College Department of Economics.
• HATEMI-J Abdulnasser, (2012), “Asymmetric Causality Tests with an Application.” Empirical Economics 43(1), pp. 447-456.
• HATEMI-J Abdulnasser, El_KHATIB Youssef, (2016), “An Extension of the Asymmetric Causality Tests for Dealing with Deterministic Trend Components.” Applied Economics 48, pp. 4033-4041.
• LOW Cheekiat, (2004), “The Fear and Exuberance from Implied Volatility of S&P 100 Index Options.” The Journal of Business, 77(3), pp. 527-546.
• LÜTKEPOHL Helmut, (2005), New Introduction to Multiple Time Series Analysis, Springer, Berlin.
• LÜTKEPOHL Helmut, (2007), Univariate Time Series Analysis, Lütkepohl, H., Krätzig, M., Applied Time Series Econometrics, (8-85), Cambridge University Press, New York.
• MACKINNON James G., (1996), “Numerical Distribution Functions for Unit Root and Cointegration Tests.” Journal of Applied Econometrics 11(6), pp. 601-618.
• MANIOGLU Berkay, (2018), The Relationship between Interest Rates and Stock Returns. Case Study on BRIC Countries and Turkey’s Stock Indices, Unpublished Master Thesis, Istanbul Technical University, Graduate School of Science, Engineering and Technology, May 2018.
• MAVROTAS George, KELLY Roger, (2001), “Old Wine in New Bottles: Testing Causality Between Savings and Growth.” The Manchester School Supplement 69(1), pp. 97-105.
• PANTULA Sastry G., (1989), “Testing For Unit Roots In Time Series Data.” Econometric Theory 5(2), pp. 256-271.
• PRAGIDIS Ioannis-Chrisostomos, TSINTZOS Panagiotis, PLAKANDARAS Vasilios, (2018), “Asymmetric effects of government spending shocks during the financial cycle.” Economic Modelling 68, pp. 372-387.
• SARWAR Gulam, (2012), “Is VIX an investor fear gauge in BRIC equity markets?” Journal of Multinational Financial Management, 22(3), pp. 55-65.
• SARWAR Gulam, (2014), “Stock market uncertainty and cross-market European stock returns.” Journal of Multinational Financial Management, 28, pp. 1-14.
• SHAH Said Zamin, BAHARUMSHAH Ahmad Zubaidi, HOOK Law Siong, HABIBULLAH Muzafar Shah, (2017), “Nominal uncertainty, real uncertainty and macroeconomic performance in a time-varying asymmetric framework.” Research in International Business and Finance 42, pp. 75-93.
• SHAHZAD Syed Jawad Hussain, MENSI Walid, HAMMOUDEH Shawkat, BALCILAR Mehmet, (2018), “Distribution specific dependence and causality between industry-level US credit and stock markets.” Journal of International Financial Markets, Institutions and Money 52, pp. 114- 133.
• TALPSEPP Tõnn, RIEGER Marc Oliver, (2010), “Explaining asymmetric volatility around the world.” Journal of Empirical Finance 17(5), pp. 938-956.
• TODA Hiro Y., YAMAMOTO Taku, (1995), “Statistical inference in vector autoregressions with possibly integrated processes.” Journal of Econometrics 66(1-2), pp. 225-250.
• TOLIKAS Konstantinos, TOPALOGLU Nikolas, (2017), “Is default risk priced equally fast in the credit default swap and the stock markets? An empirical investigation.” Journal of International Financial Markets Institutions and Money 51, pp. 39-57.
• TSAI I-Chun, (2014), “Spillover of fear: Evidence from the stock markets of five developed countries.” International Review of Financial Analysis 33, pp. 281-288.
• VOGELSANG Timothy J., (1993), Unpublished Computer Program