Interaction Between CDS Premiums and Stock Markets: Case of Turkey

Year 2020, , 1 - 8, 10.01.2020

Özge Bolaman Avcı

https://doi.org/10.25287/ohuiibf.526638

Cited By: 7

Abstract

Bu çalışma kapsamında Türkiye verisi kullanılarak CDS primleri ile hisse
senedi piyasası arasındaki ilişki incelenmiştir. Burada ülke riskini temsilen
ülke kredi notlarına alternatif olarak kullanılan CDS primlerindeki değişim
kullanılmıştır. Araştırma sonunda değişkenler arasında uzun vadeli ilişkinin
varlığı kanıtlanmıştır. Nedensellik ilişkisi tespit edilememiştir. Tespit
edilen uzun vadeli ilişki, CDS primlerindeki değişimi ülke riskinin barometresi
olarak değerlendiren yabancı ve yerli yatırımcıların CDS primlerini de içeren
faktörleri dikkate alarak yatırım kararlarını vermesiyle
ilişkilendirilebilir.  

Keywords

kredi temerrüt takası, pay piyasaları, ülke kredi riski

Interaction Between CDS Premiums and Stock Markets: Case of Turkey

Abstract

The relationship between CDS premiums and stock market is investigated
in this study by using data of Turkey. Here CDS premiums, which constitute an
alternative to credit ratings of countries, are used as a measure of sovereign credit
risk. At the end of the examination a long-term relationship is found between
variables. Nonetheless causality relationship cannot be detected between
variables. Long run relationship that is detected could be associated with both
foreign and domestic investors who perceive CDS premiums as a barometer of
sovereign credit risk and make investment decisions by considering factors
including sovereign credit risk.  

Keywords

credit default swap, stock markets, sovereign credit risk

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