Effects of Türkiye’s Credit Rantings and Credit Default Swaps (CDS) on BIST ALL

Yıl 2024, , 537 - 558, 30.06.2024

Meltem Keskin

https://doi.org/10.25229/beta.1470087

Öz

In the study, the relationship between Turkey's Credit Default Swaps (CDS) premiums and credit ratings of Standard and Poor's (S&P), Moody's Investors Service (Moody's) and Fitch Ratings (CRA) and the BIST ALL index listed in Borsa Istanbul and The aim is to observe their effects on each other. The universe of the study; consists of 3956 daily Turkey CDS credit risk premiums and BIST ALL data and 93 credit ratings given by CRAs in the period 2009:1–2024:4. The effect of the increase or decrease in CDS and credit scores on the closing values of the BIST ALL index was analysed with Johansen cointegration and Granger causality tests. Findings obtained in the study; Increasing the credit rating and outlook of CRAs causes an increase in BIST ALL closing values in the short term. The change in Türkiye CDS premiums triggers changes in BIST ALL closing values in the short and long term. Finally, the study concluded that the change in CDS premiums has a negative effect on BIST ALL, while the increase in credit score and outlook has a positive effect on BIST ALL.

Anahtar Kelimeler

CDS, Türkiye credit rating, Johansen cointegration, Granger causality test, BIST ALL index

Etik Beyan

"Effects of Türkiye's Credit Ratings and Credit Default Swaps on BIST ALL" başlıklı çalışmamın, etik kurul izni gerektirmeyen çalışmalar arasında yer aldığını beyan ederim

Destekleyen Kurum

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Proje Numarası

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Teşekkür

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Türkiye Kredi Dereceleri ve Kredi Temerrüt Takasları (CDS)’nın BIST ALL’a Yansımaları

Öz

Çalışmada, Türkiye Kredi Temerrüt Takasları (CDS) primleri ve Standard and Poor’s (S&P), Moody’s Investors Service (Moody's) ile Fitch Ratings (Fitch) kredi derecelendirme kuruluşlarının (CRA) kredi notlaryle Borsa İstanbul’da listelenen BIST ALL endeksi arasında ki ilişkinin ve birbirlerine olan etkilerinin gözlemlenmesi amaçlanmaktadır. Çalışmanın evreni; günlük 3956 Türkiye CDS kredi risk pirimi ve BIST ALL verileri ile CRA’larının 2009:1–2024:4 dönem periyotunda verdiği 93 kredi notundan oluşmaktadır. CDS ve kredi notlarının artışının veya düşüşünün BIST ALL endeksi kapanış değerlerine etki etme durumu Johansen eşbütünleşme ve Granger nedensellik testleri ile analiz edilmiştir. Çalışmada ulaşılan bulgular; CRA’ların kredi notu ve görünümünde artış yapmaları kısa dönemde BIST ALL kapanış değerlerinde artışa sebep olmaktadır. Türkiye CDS primlerindeki değişim BIST ALL kapanış değerlerinde kısa ve uzun dönemde değişimi tetiklemektedir. Son olarak çalışmada, CDS primlerindeki değişimi BIST ALL üzerinde negatif yönlü etkiye, kredi notu ve görünümündeki artış ise BIST ALL üzerinde pozitif yönlü etkiye sahip olduğu sonucuna ulaşılmıştır.

Anahtar Kelimeler

CDS, Türkiye kredi notu, Johansen eşbütünleşme, Granger nedensellik testi, BIST ALL endeks

Proje Numarası

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Kaynakça

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