Research Article

CDS Returns' Volatility and Traders' Reactions

Volume: 40 Number: 1 January 1, 2026
Fatih Cingoz *, Selcuk Kendirli , Semanur Coşkun
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CDS Returns' Volatility and Traders' Reactions

Abstract

Credit default swap (CDS) premiums on a country's bonds are significant indicators of its risk profile. A decline in CDS premiums is perceived positively by investors, often triggering expectations of a rise in stock markets, and vice versa. This study examines the effects of significant changes in Türkiye's 5-year CDS premiums on investor behavior, using daily data from 03/03/2008 to 31/10/2024 for the XBANK index, representing the banking sector, and the XU100 index, representing the aggregate market. For examining market reactions, an event study approach was adopted. The days during which changes in daily CDS prices exceeded ±5% were specified as event days, and comparisons were made by evaluating stock returns between opening and closing market prices on indices for those days. The analysis indicates that market participants reacted to changes in the banking sector to a higher extent compared to changes in the aggregate market, as well as to a larger extent to an increase compared to a decrease in CDS prices. Buy-and-sell strategies simulating these reactions showed positive returns.

Keywords

CDS, BIST, Investment, Portfolio

References

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Details

Primary Language

English

Subjects

Behavioural Economy, Financial Economy

Journal Section

Research Article

Authors

Publication Date

January 1, 2026

Submission Date

November 26, 2024

Acceptance Date

October 21, 2025

Published in Issue

Year 2026 Volume: 40 Number: 1

DOI

https://doi.org/10.16951/trendbusecon.1591720

IZ

https://izlik.org/JA78KU38NT

Cite

RIS / Bibtex
APA
Cingoz, F., Kendirli, S., & Coşkun, S. (2026). CDS Returns’ Volatility and Traders’ Reactions. Trends in Business and Economics, 40(1), 1-10. https://doi.org/10.16951/trendbusecon.1591720
AMA
1.Cingoz F, Kendirli S, Coşkun S. CDS Returns’ Volatility and Traders’ Reactions. Trend Bus Econ. 2026;40(1):1-10. doi:10.16951/trendbusecon.1591720
Chicago
Cingoz, Fatih, Selcuk Kendirli, and Semanur Coşkun. 2026. “CDS Returns’ Volatility and Traders’ Reactions”. Trends in Business and Economics 40 (1): 1-10. https://doi.org/10.16951/trendbusecon.1591720.
EndNote
Cingoz F, Kendirli S, Coşkun S (January 1, 2026) CDS Returns’ Volatility and Traders’ Reactions. Trends in Business and Economics 40 1 1–10.
IEEE
[1]F. Cingoz, S. Kendirli, and S. Coşkun, “CDS Returns’ Volatility and Traders’ Reactions”, Trend Bus Econ, vol. 40, no. 1, pp. 1–10, Jan. 2026, doi: 10.16951/trendbusecon.1591720.
ISNAD
Cingoz, Fatih - Kendirli, Selcuk - Coşkun, Semanur. “CDS Returns’ Volatility and Traders’ Reactions”. Trends in Business and Economics 40/1 (January 1, 2026): 1-10. https://doi.org/10.16951/trendbusecon.1591720.
JAMA
1.Cingoz F, Kendirli S, Coşkun S. CDS Returns’ Volatility and Traders’ Reactions. Trend Bus Econ. 2026;40:1–10.
MLA
Cingoz, Fatih, et al. “CDS Returns’ Volatility and Traders’ Reactions”. Trends in Business and Economics, vol. 40, no. 1, Jan. 2026, pp. 1-10, doi:10.16951/trendbusecon.1591720.
Vancouver
1.Fatih Cingoz, Selcuk Kendirli, Semanur Coşkun. CDS Returns’ Volatility and Traders’ Reactions. Trend Bus Econ. 2026 Jan. 1;40(1):1-10. doi:10.16951/trendbusecon.1591720

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