REACTION OF CREDIT DEFAULT SWAP SPREADS TO RATING ANNOUNCEMENTS: AN EVENT STUDY FOR TURKEY

Volume: 2 Number: 4 January 15, 2016
Journal of Economics Finance and Accounting Cover
Journal of Economics Finance and Accounting
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REACTION OF CREDIT DEFAULT SWAP SPREADS TO RATING ANNOUNCEMENTS: AN EVENT STUDY FOR TURKEY

Abstract

In this study, the effect of announcements, which were made by Standard & Poor's, Moody’s and Fitch related to Turkey’s sovereign credit ratings, on CDS spreads in the period between 31.10.2001 and 09.03.2015 was examined with the event study method. As a result of the conducted analysis, it has been determined that announcements made on upgrade of credit ratings or upward revisions in the sovereign’s credit outlook did not lead to a significant differentiation in the 14-day period which surrounds the announcement date. On the other hand, it has been determined that announcements made on downgrade of credit ratings or downward revisions in the sovereign’s credit outlook led to a significant differentiation in the 7-day period preceding the announcement and in the 7-day period following the announcement. It was determined that CDS spreads showed an abnormal increase in the 7-day period preceding the date on which the downgrade of credit ratings or downward revisions in the sovereign’s credit outlook in question were announced and showed an abnormal decrease in the 7-day period which follows the announcement.

Details

Primary Language

English

Subjects

-

Journal Section

-

Authors

Kaya Bekir This is me

Publication Date

January 15, 2016

Submission Date

January 15, 2016

Acceptance Date

-

Published in Issue

Year 2015 Volume: 2 Number: 4

IZ

https://izlik.org/JA72NF72BP

Cite

RIS / Bibtex
APA
Emine, O. K., Bekir, K., & Kursat, Y. (2016). REACTION OF CREDIT DEFAULT SWAP SPREADS TO RATING ANNOUNCEMENTS: AN EVENT STUDY FOR TURKEY. Journal of Economics Finance and Accounting, 2(4). https://izlik.org/JA72NF72BP
AMA
1.Emine OK, Bekir K, Kursat Y. REACTION OF CREDIT DEFAULT SWAP SPREADS TO RATING ANNOUNCEMENTS: AN EVENT STUDY FOR TURKEY. JEFA. 2016;2(4). https://izlik.org/JA72NF72BP
Chicago
Emine, Oner Kaya, Kaya Bekir, and Yalciner Kursat. 2016. “REACTION OF CREDIT DEFAULT SWAP SPREADS TO RATING ANNOUNCEMENTS: AN EVENT STUDY FOR TURKEY”. Journal of Economics Finance and Accounting 2 (4). https://izlik.org/JA72NF72BP.
EndNote
Emine OK, Bekir K, Kursat Y (January 1, 2016) REACTION OF CREDIT DEFAULT SWAP SPREADS TO RATING ANNOUNCEMENTS: AN EVENT STUDY FOR TURKEY. Journal of Economics Finance and Accounting 2 4
IEEE
[1]O. K. Emine, K. Bekir, and Y. Kursat, “REACTION OF CREDIT DEFAULT SWAP SPREADS TO RATING ANNOUNCEMENTS: AN EVENT STUDY FOR TURKEY”, JEFA, vol. 2, no. 4, Jan. 2016, [Online]. Available: https://izlik.org/JA72NF72BP
ISNAD
Emine, Oner Kaya - Bekir, Kaya - Kursat, Yalciner. “REACTION OF CREDIT DEFAULT SWAP SPREADS TO RATING ANNOUNCEMENTS: AN EVENT STUDY FOR TURKEY”. Journal of Economics Finance and Accounting 2/4 (January 1, 2016). https://izlik.org/JA72NF72BP.
JAMA
1.Emine OK, Bekir K, Kursat Y. REACTION OF CREDIT DEFAULT SWAP SPREADS TO RATING ANNOUNCEMENTS: AN EVENT STUDY FOR TURKEY. JEFA. 2016;2. Available at https://izlik.org/JA72NF72BP.
MLA
Emine, Oner Kaya, et al. “REACTION OF CREDIT DEFAULT SWAP SPREADS TO RATING ANNOUNCEMENTS: AN EVENT STUDY FOR TURKEY”. Journal of Economics Finance and Accounting, vol. 2, no. 4, Jan. 2016, https://izlik.org/JA72NF72BP.
Vancouver
1.Oner Kaya Emine, Kaya Bekir, Yalciner Kursat. REACTION OF CREDIT DEFAULT SWAP SPREADS TO RATING ANNOUNCEMENTS: AN EVENT STUDY FOR TURKEY. JEFA [Internet]. 2016 Jan. 1;2(4). Available from: https://izlik.org/JA72NF72BP

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