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

Yıl 2024, Cilt: 9 Sayı: 2, 537 - 558, 30.06.2024
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.

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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Kaynakça

  • Abad Romero, P., Robles, M. D., & Cuervo, G. (2013). Changes in Corporate Debt Ratings and stock liquidity: evidence from the Spanish Market. Retrieved April 5, 2024 from https://docta.ucm.es/rest/api/core/bitstreams/2d2023e1-0328-4019-ba37-6c803db8058d/ content
  • Abidi, N., Falagiarda, M., & Miquel-Flores, I. (2023). Quantitative easing and credit rating agencies. International Review of Financial Analysis, 86, 102489. https://doi.org/10.1016/j.irfa.2023.102489
  • Asandului, M., Lupu, D., Mursa, G.C. & Muşetescu, R. (2015). Dynamic relations between CDS and stock markets in Eastern European countries. Economic Computation and Economic Cybernetics Studies and Research, 4, 151-170. Retrieved from https://mpra.ub.uni-muenchen.de/
  • Balcilar, M., Bathia, D., Demirer, R., & Gupta, R. (2021). Credit ratings and predictability of stock return dynamics of the BRICS and the PIIGS: Evidence from a nonparametric causality-in-quantiles approach. The Quarterly Review of Economics and Finance, 79, 290-302. https://doi.org/10.1016/j.qref.2020.07.005
  • Ballard-Rosa, C., Mosley, L., & Wellhausen, R. L. (2021). Contingent advantage? Sovereign borrowing, democratic institutions and global capital cycles. British Journal of Political Science, 51(1), 353-373.
  • Ballester, L., & González-Urteaga, A. (2021). Do sovereign ratings cause instability in cross-border emerging CDS markets? International Review of Economics & Finance, 72, 643-663.
  • Borsa İstanbul (2024). Share Index Data. Retrieved April 5, 2024, from https:// borsaistanbul.com/tr/sayfa/49/veriler
  • Bratis, T., Laopodis, N. T., & Kouretas, G. P. (2023). CDS and equity markets’ volatility linkages: lessons from the EMU crisis. Review of Quantitative Finance and Accounting, 60(3), 1259-1281. https://doi.org/10.1016/j.gfj.2022.100773
  • Cantor, R., & Packer, F. (1996). Determinants and impact of sovereign credit ratings. Economic Policy Review, 2(2). https://moodle2.units.it/pluginfile.php/259644/mod_resource/content/0/9610cant.pdf
  • Chan, K.C., Fung, H. and Zhang, G. (2009). On the relationship between Asian credit default swap and equity markets. Journal of Asia Business Studies, 4(1), 3-12. https://doi.org/10.1108/15587890980000414
  • Choudhry, M. (2006). The credit default swap basis, New York, Bloomberg Press.
  • Coronado, M., Corzo, M.T. & Lazcano, L. (2012). A case for Europe: The relationship between sovereign CDS and stock indexes. Frontiers in Finance and Economics, 9(2), 32-63. https://doi.org/10.2139/ssrn.1889121
  • Cossin, D., & Jung, G. (2005). Do major financial crises provide information on sovereign risk to the rest of the world? a look at credit default swap markets. A Look at Credit Default Swap Markets. FAME-Research Paper, 13. Pp.1-35. https://d1wqtxts1xzle7. cloudfront.net/73040060/rp134-libre.pdf? 1634565244=&response-content-
  • Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427-431. https://doi.org/10.1080/01621459.1979.10482531
  • European Securities and Markets Authority (2023). European Securities and Markets Authority, CRA Market Share Report. Retrieved April 5, 2024, from https://www.esma.europa. eu/sites/default/files/2023-12/ESMA84-2037069784-2106_2023_CRA_Market_Share_Calcula tion .pdf
  • Filippos, A. (2017). The relationship between cds spreads and macroeconomic factors of the countries of the eurozone. [A Master’s Thesis], Holand: Tilburg University.
  • Frost, C. A. (2007). Credit rating agencies in capital markets: A review of research evidence on selected criticisms of the agencies. Journal of accounting, auditing & finance, 22(3), 469-492.
  • 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 ındices, The Journal of Alternative Investments, 11 (1), 43-61. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1156600
  • Gropp, R., & Richards, A. J. (2001). Rating agency actions and the pricing of debt and equity of European banks: what can we infer about private sector monitoring of bank soundness? Economic Notes, 30(3), 373-398. https://onlinelibrary.wiley.com/doi/pdf/10.1111/1468-0300.00064
  • Haan, J. d., & Amtenbrink, F. (2011). Credit Rating Agencies. De Nederlandsche Bank NV Working Paper No. 278. Amsterdam. Retrieved April 5, 2024, from file:///C:/ Users/melte/OneDrive/Belgeler/ Downloads/SSRN-id1950563.pdf
  • Haspolat, F. B. (2019). Analysis of the relationship between sovereign credit ratings and credit default swaps: A comparative study for Turkey and selected countries (Master's thesis, Sosyal Bilimler Enstitüsü).
  • He, Z., & Zhang, S. (2024). Risk contagion and diversification among sovereign CDS, stock, foreign exchange and commodity markets: Fresh evidence from G7 and BRICS countries. Finance Research Letters, 62, 105267. https://doi.org/10.1016/j.frl.2024.105267
  • Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12, 231-254. https://doi.org/10.1016/0165-1889(88)90041-3
  • Keskin, M. (2020). Uluslararası Bankacılık ve Finans Sistemi (3. bs.). Ankara: Astana Yayınları.
  • Kónya, L. (2006). Exports and growth: Granger causality analysis on OECD countries with a panel data approach. Economic Modelling, 23(6), 978–992. https://doi.org/10.1016/j.econmod.2006.04.008
  • Lee, K. H., Sapriza, H., & Wu, Y. (2016). Sovereign debt ratings and stock liquidity around the World. Journal of Banking & Finance, 73, 99-112. https://doi.org/ 10.1016/j.jbankfin.2016.09.011
  • Luitel, P., & Vanpée, R. (2018). How do sovereign credit ratings help to financially develop low-developed countries? Available at SSRN 3287881.
  • Meles, A., Salerno, D., Sampagnaro, G., Verdoliva, V., & Zhang, J. (2023). The influence of green innovation on default risk: Evidence from Europe. International Review of Economics & Finance, 84, 692-710.
  • Neal, R. S. (1996). Credit derivatives: New financial instruments for controlling credit risk. Economic Review-Federal Reserve Bank of Kansas City, 81, 15-28.
  • Nye, R. P. (2014). Understanding and Managing the Credit Rating Agencies. Euromoney Books. 228 pages Pagano, M., & Volpin, P. (2010). Credit rating failures and policy options. Economic Policy, 25(62), 401-431.
  • Schroeter, U. G. (2013). Credit Ratings and Credit Rating Agencies. G. Caprio, & D. W. Arner içinde, Handbook of Key Global Financial Markets, Institutions, and Infrastructure (pp. 614-653). Boston: Academic Press. Available at SSRN 1903670. Schroeter, Ulrich G., Credit Ratings and Credit Rating Agencies Available at SSRN: Retrieved April 5, 2024, from http://dx.doi.org/10.2139/ssrn.1903670
  • Securities and Exchange Commission (2024). Annual Report on Nationally Recognized Statistical Rating Organizations. U.S. Securities and Exchange Commission. Retrieved April 6, 2024, from https://www.sec.gov/files/feb-2024-ocr-staff-report.pdf
  • Shear, F. & Butt, H.A. (2017). An analysis of the relationship between sovereign credit default swaps and the stock market of Pakistan through handling outliers (SSRN Working Paper No. 2964820). https://doi.org/: 10.20472/EFC.2017.008.010
  • Topaloğlu, E. E., & Ege, İ. (2020). The relationship between credit default swaps and Borsa Istanbul 100 ındex: the short and long term time series analysis, Journal Of Business Research-Turk, 12 (2), 1373-1393. https://isarder.org/index.php/isarder/article/view/1088
  • Varlık, S., & Öbekcan, M. (2023). Central Bank Credibility as A Determinant of Sovereign Risk Premium: Evidence from Turkey. Bulletin of Economic Theory and Analysis, 8(2), 128-155.
  • White, L. J. (2016). Credit Rating Agencies: An Analysis Through the Lenses of Industrial Organization, Finance and Regulation. Pacific Economic Review, 21(2). https://doi.org/10.1111/1468-0106.12164

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

Yıl 2024, Cilt: 9 Sayı: 2, 537 - 558, 30.06.2024
https://doi.org/10.25229/beta.1470087

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.

Proje Numarası

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Kaynakça

  • Abad Romero, P., Robles, M. D., & Cuervo, G. (2013). Changes in Corporate Debt Ratings and stock liquidity: evidence from the Spanish Market. Retrieved April 5, 2024 from https://docta.ucm.es/rest/api/core/bitstreams/2d2023e1-0328-4019-ba37-6c803db8058d/ content
  • Abidi, N., Falagiarda, M., & Miquel-Flores, I. (2023). Quantitative easing and credit rating agencies. International Review of Financial Analysis, 86, 102489. https://doi.org/10.1016/j.irfa.2023.102489
  • Asandului, M., Lupu, D., Mursa, G.C. & Muşetescu, R. (2015). Dynamic relations between CDS and stock markets in Eastern European countries. Economic Computation and Economic Cybernetics Studies and Research, 4, 151-170. Retrieved from https://mpra.ub.uni-muenchen.de/
  • Balcilar, M., Bathia, D., Demirer, R., & Gupta, R. (2021). Credit ratings and predictability of stock return dynamics of the BRICS and the PIIGS: Evidence from a nonparametric causality-in-quantiles approach. The Quarterly Review of Economics and Finance, 79, 290-302. https://doi.org/10.1016/j.qref.2020.07.005
  • Ballard-Rosa, C., Mosley, L., & Wellhausen, R. L. (2021). Contingent advantage? Sovereign borrowing, democratic institutions and global capital cycles. British Journal of Political Science, 51(1), 353-373.
  • Ballester, L., & González-Urteaga, A. (2021). Do sovereign ratings cause instability in cross-border emerging CDS markets? International Review of Economics & Finance, 72, 643-663.
  • Borsa İstanbul (2024). Share Index Data. Retrieved April 5, 2024, from https:// borsaistanbul.com/tr/sayfa/49/veriler
  • Bratis, T., Laopodis, N. T., & Kouretas, G. P. (2023). CDS and equity markets’ volatility linkages: lessons from the EMU crisis. Review of Quantitative Finance and Accounting, 60(3), 1259-1281. https://doi.org/10.1016/j.gfj.2022.100773
  • Cantor, R., & Packer, F. (1996). Determinants and impact of sovereign credit ratings. Economic Policy Review, 2(2). https://moodle2.units.it/pluginfile.php/259644/mod_resource/content/0/9610cant.pdf
  • Chan, K.C., Fung, H. and Zhang, G. (2009). On the relationship between Asian credit default swap and equity markets. Journal of Asia Business Studies, 4(1), 3-12. https://doi.org/10.1108/15587890980000414
  • Choudhry, M. (2006). The credit default swap basis, New York, Bloomberg Press.
  • Coronado, M., Corzo, M.T. & Lazcano, L. (2012). A case for Europe: The relationship between sovereign CDS and stock indexes. Frontiers in Finance and Economics, 9(2), 32-63. https://doi.org/10.2139/ssrn.1889121
  • Cossin, D., & Jung, G. (2005). Do major financial crises provide information on sovereign risk to the rest of the world? a look at credit default swap markets. A Look at Credit Default Swap Markets. FAME-Research Paper, 13. Pp.1-35. https://d1wqtxts1xzle7. cloudfront.net/73040060/rp134-libre.pdf? 1634565244=&response-content-
  • Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427-431. https://doi.org/10.1080/01621459.1979.10482531
  • European Securities and Markets Authority (2023). European Securities and Markets Authority, CRA Market Share Report. Retrieved April 5, 2024, from https://www.esma.europa. eu/sites/default/files/2023-12/ESMA84-2037069784-2106_2023_CRA_Market_Share_Calcula tion .pdf
  • Filippos, A. (2017). The relationship between cds spreads and macroeconomic factors of the countries of the eurozone. [A Master’s Thesis], Holand: Tilburg University.
  • Frost, C. A. (2007). Credit rating agencies in capital markets: A review of research evidence on selected criticisms of the agencies. Journal of accounting, auditing & finance, 22(3), 469-492.
  • 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 ındices, The Journal of Alternative Investments, 11 (1), 43-61. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1156600
  • Gropp, R., & Richards, A. J. (2001). Rating agency actions and the pricing of debt and equity of European banks: what can we infer about private sector monitoring of bank soundness? Economic Notes, 30(3), 373-398. https://onlinelibrary.wiley.com/doi/pdf/10.1111/1468-0300.00064
  • Haan, J. d., & Amtenbrink, F. (2011). Credit Rating Agencies. De Nederlandsche Bank NV Working Paper No. 278. Amsterdam. Retrieved April 5, 2024, from file:///C:/ Users/melte/OneDrive/Belgeler/ Downloads/SSRN-id1950563.pdf
  • Haspolat, F. B. (2019). Analysis of the relationship between sovereign credit ratings and credit default swaps: A comparative study for Turkey and selected countries (Master's thesis, Sosyal Bilimler Enstitüsü).
  • He, Z., & Zhang, S. (2024). Risk contagion and diversification among sovereign CDS, stock, foreign exchange and commodity markets: Fresh evidence from G7 and BRICS countries. Finance Research Letters, 62, 105267. https://doi.org/10.1016/j.frl.2024.105267
  • Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12, 231-254. https://doi.org/10.1016/0165-1889(88)90041-3
  • Keskin, M. (2020). Uluslararası Bankacılık ve Finans Sistemi (3. bs.). Ankara: Astana Yayınları.
  • Kónya, L. (2006). Exports and growth: Granger causality analysis on OECD countries with a panel data approach. Economic Modelling, 23(6), 978–992. https://doi.org/10.1016/j.econmod.2006.04.008
  • Lee, K. H., Sapriza, H., & Wu, Y. (2016). Sovereign debt ratings and stock liquidity around the World. Journal of Banking & Finance, 73, 99-112. https://doi.org/ 10.1016/j.jbankfin.2016.09.011
  • Luitel, P., & Vanpée, R. (2018). How do sovereign credit ratings help to financially develop low-developed countries? Available at SSRN 3287881.
  • Meles, A., Salerno, D., Sampagnaro, G., Verdoliva, V., & Zhang, J. (2023). The influence of green innovation on default risk: Evidence from Europe. International Review of Economics & Finance, 84, 692-710.
  • Neal, R. S. (1996). Credit derivatives: New financial instruments for controlling credit risk. Economic Review-Federal Reserve Bank of Kansas City, 81, 15-28.
  • Nye, R. P. (2014). Understanding and Managing the Credit Rating Agencies. Euromoney Books. 228 pages Pagano, M., & Volpin, P. (2010). Credit rating failures and policy options. Economic Policy, 25(62), 401-431.
  • Schroeter, U. G. (2013). Credit Ratings and Credit Rating Agencies. G. Caprio, & D. W. Arner içinde, Handbook of Key Global Financial Markets, Institutions, and Infrastructure (pp. 614-653). Boston: Academic Press. Available at SSRN 1903670. Schroeter, Ulrich G., Credit Ratings and Credit Rating Agencies Available at SSRN: Retrieved April 5, 2024, from http://dx.doi.org/10.2139/ssrn.1903670
  • Securities and Exchange Commission (2024). Annual Report on Nationally Recognized Statistical Rating Organizations. U.S. Securities and Exchange Commission. Retrieved April 6, 2024, from https://www.sec.gov/files/feb-2024-ocr-staff-report.pdf
  • Shear, F. & Butt, H.A. (2017). An analysis of the relationship between sovereign credit default swaps and the stock market of Pakistan through handling outliers (SSRN Working Paper No. 2964820). https://doi.org/: 10.20472/EFC.2017.008.010
  • Topaloğlu, E. E., & Ege, İ. (2020). The relationship between credit default swaps and Borsa Istanbul 100 ındex: the short and long term time series analysis, Journal Of Business Research-Turk, 12 (2), 1373-1393. https://isarder.org/index.php/isarder/article/view/1088
  • Varlık, S., & Öbekcan, M. (2023). Central Bank Credibility as A Determinant of Sovereign Risk Premium: Evidence from Turkey. Bulletin of Economic Theory and Analysis, 8(2), 128-155.
  • White, L. J. (2016). Credit Rating Agencies: An Analysis Through the Lenses of Industrial Organization, Finance and Regulation. Pacific Economic Review, 21(2). https://doi.org/10.1111/1468-0106.12164
Toplam 36 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Sermaye Piyasaları, Uluslararası Finans, Uluslararası İktisadi Kuruluşlar
Bölüm Makaleler
Yazarlar

Meltem Keskin 0000-0002-8536-4940

Proje Numarası -
Erken Görünüm Tarihi 29 Haziran 2024
Yayımlanma Tarihi 30 Haziran 2024
Gönderilme Tarihi 17 Nisan 2024
Kabul Tarihi 27 Mayıs 2024
Yayımlandığı Sayı Yıl 2024 Cilt: 9 Sayı: 2

Kaynak Göster

APA Keskin, M. (2024). Effects of Türkiye’s Credit Rantings and Credit Default Swaps (CDS) on BIST ALL. Bulletin of Economic Theory and Analysis, 9(2), 537-558. https://doi.org/10.25229/beta.1470087