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Year 2015, Volume: 2 Issue: 2, 0 - 0, 29.06.2015

Sedat Yenice , Adalet Hazar

Abstract

Bu çalışmada, risk primini temsil eden Kredi Temerrüt Swap’ının (CDS) gelişmekte olan ülkelerin menkul kıymet borsaları ile etkileşimi incelenmeye çalışılmaktadır. Çalışma kapsamında Türkiye, Arjantin, Brezilya, Endonezya, Malezya ve Çin olmak üzere 6 ülkeye ait 5 yıllık CDS primleri Nisan 2009 – Nisan 2014 dönemleri arasında günlük olarak temin edilmiş ve aynı döneme ait menkul kıymet borsa endeks kapanışları ile karşılaştırılmıştır. Çalışmada yöntem olarak Regresyon Eğrisi Tahmini Modelleri kullanılarak veriler analiz edilmeye çalışılmıştır. Çalışmanın sonunda elde elden bulgulara göre, CDS primleri ile endeks kapanışları arasında 6 ülkeden 2’sinde önemsiz ilişkiye rastlanırken, diğer ülkelerde önemli kabul edilebilecek ilişkiler tespit edilmiştir. Çalışmada, gelişmekte olan ve yatırım potansiyeli taşıyan ülkelere yatırım yapan yatırımcılar ülke riski olarak CDS primlerini dikkate aldığı sonucuna ulaşılmıştır

References

  • Alper, D. (2011). Kredi İflas Takası CDS. Bursa: Ekin Yayınları.
  • Balı, S., & Yılmaz, Z.(2012). Kredi temerrüt takası marjları ile İMKB 100 endeksi arasındaki ilişki. XVI. Finans
  • Sempozyumunda Sunulmuş Bildiri. Chen, L. H., Hammoudeh, S., & Yuan, Y. (2011). Asymmetric convergence in US financial credit default swap sector index markets. The Quarterly Review of Economics and Finance, 51(4), 408-418.
  • Erbaş, S. O. (2013). Olasılık ve İstatistik. Ankara: Gazi.
  • Ersan, İ., & Günay, S. (2009). Kredi Riski Göstergesi Olarak Kredi Temerrüt Swapları (CDSs) ve Kapatma Davasının
  • Türkiye Riski Üzerine Etkisine Dair Bir Uygulama. Bankacılar Dergisi, 71, 3-22. Fung, H. G., Sierra, G. E., Yau, J., & Zhang, G. (2008). Are the US stock market and credit default swap market related?
  • Evidence from the CDX indices.The Journal of Alternative Investments, 11(1), 43-61. Hassan, M. K., Ngow, T. S., Yu, J. S., & Hassan, A. (2013). Determinants of credit default swaps spreads in European and Asian markets. Journal of Derivatives & Hedge Funds, 19(4), 295-310.
  • Karabıyık, L., & Anbar, A. (2006). Kredi Temerrüt Swapları ve Kredi Temerrüt Swaplarının Fiyatlandırılması. Muhasebe ve Finansman Dergisi, 31, 49-60.
  • Keten, M., Başarır, Ç., & Kılıç, Y. (2013). Kredi Temerrüt Takası İle Makroekonomik Ve Finansal Değişkenler Arasındaki
  • İlişkinin İncelenmesi. XVII. Finans Sempozyumunda Sunulmuş Bildiri. Kunt, A. S., & Taş, O. (2009). Kredi temerrüt swapları ve Türkiye'nin CDS priminin tahmin edilmesine yönelik bir uygulama. İTÜDERGİSİ/b, 5(1).
  • Norden, L., & Weber, M. (2004). Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements. Journal of Banking & Finance, 28(11), 2813-2843.
  • Norden, L., & Weber, M. (2009). The co‐movement of credit default swap, bond and stock markets: an empirical analysis. European financial management,15(3), 529-562.
  • Sensoy, A., Soytas, U., Yildirim, I., & Hacihasanoglu, E. (2014). Dynamic relationship between Turkey and European countries during the global financial crisis. Economic Modelling, 40, 290-298.
  • Terzi, N., & Ulucay, K. (2011). The role of credit default swaps on financial market stability. Procedia -Social and Behavioral Sciences, 24, 983-990.
  • Tözüm, H. (2009). Kredi Türevleri Uygulamada CDS’ler. Ankara: Dumat Ofset
  • Turguttopbaş, N. (2013). Kredi Temerrüt Swapları ve İlgili Riskin Gerçekleşmesi Durumunda Uygulanan Hukuki
  • Prosedür. Bankacılar Dergisi, 84, 37 – 53. Zhu, H. (2006). An empirical comparison of credit spreads between the bond market and the credit default swap market. Journal of Financial Services Research, 29(3), 211-235.

A STUDY FOR THE INTERACTION BETWEEN RISK PREMIUMS AND STOCK EXCHANGE IN DEVELOPING COUNTRIES

Year 2015, Volume: 2 Issue: 2, 0 - 0, 29.06.2015

Sedat Yenice , Adalet Hazar

Abstract

This study attempts to examine the interaction of credit default swap (CDS), which stands for risk premium, with the stock exchanges of developing countries. To this end, 5-year CDS premiums belonging to Turkey, Argentina, Brazil, Indonesia, Malaysia, and China were obtained on a daily basis between April 2009 and April 2014 and were compared with stock exchange index closes in the same period. Data were analyzed via regression curve estimation models. Insignificant relationships were found between CDS premiums and index closes in 2 of 6 countries while significant relationships were found in other countries. It was concluded that investors investing in developing countries that have an investment potential take into consideration CDS premiums as country risk.

References

  • Alper, D. (2011). Kredi İflas Takası CDS. Bursa: Ekin Yayınları.
  • Balı, S., & Yılmaz, Z.(2012). Kredi temerrüt takası marjları ile İMKB 100 endeksi arasındaki ilişki. XVI. Finans
  • Sempozyumunda Sunulmuş Bildiri. Chen, L. H., Hammoudeh, S., & Yuan, Y. (2011). Asymmetric convergence in US financial credit default swap sector index markets. The Quarterly Review of Economics and Finance, 51(4), 408-418.
  • Erbaş, S. O. (2013). Olasılık ve İstatistik. Ankara: Gazi.
  • Ersan, İ., & Günay, S. (2009). Kredi Riski Göstergesi Olarak Kredi Temerrüt Swapları (CDSs) ve Kapatma Davasının
  • Türkiye Riski Üzerine Etkisine Dair Bir Uygulama. Bankacılar Dergisi, 71, 3-22. Fung, H. G., Sierra, G. E., Yau, J., & Zhang, G. (2008). Are the US stock market and credit default swap market related?
  • Evidence from the CDX indices.The Journal of Alternative Investments, 11(1), 43-61. Hassan, M. K., Ngow, T. S., Yu, J. S., & Hassan, A. (2013). Determinants of credit default swaps spreads in European and Asian markets. Journal of Derivatives & Hedge Funds, 19(4), 295-310.
  • Karabıyık, L., & Anbar, A. (2006). Kredi Temerrüt Swapları ve Kredi Temerrüt Swaplarının Fiyatlandırılması. Muhasebe ve Finansman Dergisi, 31, 49-60.
  • Keten, M., Başarır, Ç., & Kılıç, Y. (2013). Kredi Temerrüt Takası İle Makroekonomik Ve Finansal Değişkenler Arasındaki
  • İlişkinin İncelenmesi. XVII. Finans Sempozyumunda Sunulmuş Bildiri. Kunt, A. S., & Taş, O. (2009). Kredi temerrüt swapları ve Türkiye'nin CDS priminin tahmin edilmesine yönelik bir uygulama. İTÜDERGİSİ/b, 5(1).
  • Norden, L., & Weber, M. (2004). Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements. Journal of Banking & Finance, 28(11), 2813-2843.
  • Norden, L., & Weber, M. (2009). The co‐movement of credit default swap, bond and stock markets: an empirical analysis. European financial management,15(3), 529-562.
  • Sensoy, A., Soytas, U., Yildirim, I., & Hacihasanoglu, E. (2014). Dynamic relationship between Turkey and European countries during the global financial crisis. Economic Modelling, 40, 290-298.
  • Terzi, N., & Ulucay, K. (2011). The role of credit default swaps on financial market stability. Procedia -Social and Behavioral Sciences, 24, 983-990.
  • Tözüm, H. (2009). Kredi Türevleri Uygulamada CDS’ler. Ankara: Dumat Ofset
  • Turguttopbaş, N. (2013). Kredi Temerrüt Swapları ve İlgili Riskin Gerçekleşmesi Durumunda Uygulanan Hukuki
  • Prosedür. Bankacılar Dergisi, 84, 37 – 53. Zhu, H. (2006). An empirical comparison of credit spreads between the bond market and the credit default swap market. Journal of Financial Services Research, 29(3), 211-235.
There are 17 citations in total.

Details

Journal Section Articles
Authors

Sedat Yenice

Adalet Hazar

Publication Date June 29, 2015
Published in Issue Year 2015 Volume: 2 Issue: 2

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APA Yenice, S., & Hazar, A. (2015). A STUDY FOR THE INTERACTION BETWEEN RISK PREMIUMS AND STOCK EXCHANGE IN DEVELOPING COUNTRIES. Journal of Economics Finance and Accounting, 2(2).

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