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Covid-19 Salgınının CDS Primleri İle Borsa Endeksleri Arasındaki İlişki Üzerine Etkileri: Başlıca Avrupa Endeksleri İçin Bir Uygulama

Yıl 2020, Cilt: 5 Sayı: Özel Sayı, 97 - 114, 26.12.2020
https://doi.org/10.30784/epfad.810614

Öz

CDS primlerinin bir risk ölçüsü olarak borsa endeksleri üzerindeki etkileri oldukça ilgi çekmektedir. CDS ve borsa endeksleri arasındaki, ilişki kriz ve benzeri olaylardan etkilenebilmektedir. Bu etkinin derecesi, yatırımcıların kararlarını etkileyebilecek güce sahip olabilmektedir. Bu nedenle CDS ile borsa endeksleri arasındaki ilişkinin Covid-19 pandemisi sonrasındaki değişiminin belirlenmesi ihtiyacı doğmuştur. Çalışmanın amacı Covid 19 salgınının yakın dönemi ile pandemi döneminde Avrupa’nın önemli finans merkezi özelliğine sahip ülkeleri için CDS ve borsa endeksleri arasındaki değişimi izlemektir. 22 Şubat 2019 ile 29 Ağustos 2020 tarihleri arasındaki günlük CDS ve endeks verileri, regresyon analizi, birim kök testleri ve Toda-Yamamoto nedensellik analizleri ile incelenmiştir. Çalışmanın bulguları, pandemi öncesi CDS primleri ile endeksler arasındaki zayıf sayılabilecek ilişkilerin, pandemi sonrasında ciddi biçimde arttığını göstermiştir. Ayrıca, ikinci dönemde İtalya dışındaki ülkelerde CDS primleri ile borsa endeksleri arasında çift yönlü nedensellik ilişki ortaya çıkmıştır. Çalışma, ekonomik olarak zayıf ülkelerde CDS primleri ile borsa endeksi ilişkisinin daha güçlü olduğunu göstermekte ve riskin açık olduğu durumlarda risk fiyatlamasının doğrudan borsada fiyatlandığını ve CDS primlerinin borsa endeksini takip ettiğini göstermektedir.

Kaynakça

  • Anton, S. G. and Afloarei Nucu, A. E. (2020). Sovereign credit default swap and stock markets in central and Eastern European countries: Are feedback effects at work?. Entropy, 22(3), 338. https://doi.org/10.3390/e22030338
  • Aydın, G. K., Hazar, A. ve Çütçü, İ. (2016). Kredi temerrüt takası ile menkul kıymet borsaları arasındaki ilişki: gelişmiş ve gelişmekte olan ülke uygulamaları. Türk Sosyal Bilimler Araştırmaları Dergisi, 1(2), 1-20. Erişim adresi: http://tursbad.hku.edu.tr/
  • Bektur, Ç. ve Malcıoğlu, G. (2017). Kredi temerrüt takasları ile BİST 100 endeksi arasındaki ilişki: Asimetrik nedensellik analizi. Bolu Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 17(3), 73-83. Erişim adresi: https://dergipark.org.tr/tr/pub/basbed
  • Breger, L., Goldberg, L. and Cheyette, O. (2003). Market implied ratings. Risk Magazine, 1-15. http://dx.doi.org/10.2139/ssrn.402800
  • Coronado, M., Corzo, M. T. and Lazcano, L. (2012). A case for Europe: The relationship between sovereign CDS and stock indexes. Frontiers in Finance and Economics, 9(2), 32-63. Retrieved from https://ffejournal.wordpress.com/
  • Corzo, M. T., Gomez-Biscarri, J. and Lazcano, L. (2012). The co-movement of sovereign credit default swaps and bonds, and stock markets in Europe. http://dx.doi.org/10.2139/ssrn.2000057
  • Gerry S., Lynch, D. and Denyer, S. (2020, 27 Haziran). Fifth coronavirus case confirmed in U.S., 1,000 more cases expected in China. Retrieved from https://www.nationthailand.com/news/30381111?utm_source=homepage&utm_medium=internal_referral
  • Kliber, A. (2019). The sovereign credit default swap market – Is there anything to be afraid of? A comparison of selected Central and Western European Economies. Argumenta Oeconomica, 2(43), 137-167. Retrieved from http://argumenta.ae.wroc.pl/
  • Lee, J. and Strazicich, M.C. (2003). Minimum LaGrange multiplier unit root test with two structural breaks. The Review of Economics and Statistics, 85(4), 1082-1089. https://doi.org/10.1162/003465303772815961
  • Lee, J. and Strazicich, M.C. (2004). Minimum LM unit root test with one structural break. (Working Papers 04-17, Department of Economics, Appalachian State University). Retrieved from https://core.ac.uk/download/pdf/7080165.pdf
  • MacKinnon, J. G. (1996). Numerical distribution functions for unit root and cointegration tests. Journal of applied econometrics, 11(6), 601-618. https://doi.org/10.1002/(SICI)1099-1255(199611)11:6<601::AID-JAE417>3.0.CO;2-T
  • Mateev, M. and Marinova, E. (2019). Relation between credit default swap spreads and stock prices: A non-linear perspective. Journal of Economics and Finance, 43, 1–26. https://doi.org/10.1007/s12197-017-9423-9
  • Norden, L. and Weber, M. (2009). The co-movement of credit default swap, bond and stock markets: An empirical analysis. European financial management, 15(3), 529-562. https://doi.org/10.1111/j.1468-036X.2007.00427.x
  • Pittis, N. (1999). Efficient estimation of cointegrating vectors and testing for causality in vector autoregressions. Journal of economic surveys, 13(1), 1-35. https://doi.org/10.1111/1467-6419.00073
  • Sadeghzadeh, K. (2019). Borsa endekslerinin ülke risklerine duyarlılığı: Seçilmiş ülkeler üzerine analizler. Ataturk University Journal of Economics & Administrative Sciences, 33(2), 435-450. Erişim adresi: https://dergipark.org.tr/tr/pub/atauniiibd
  • Toda, HY. and Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics, 66(1-2), 225-250. https://doi.org/10.1016/0304-4076(94)01616-8
  • Tolikas, K. and Topaloglou, N. (2017). Is default risk priced equally fast in the credit default swap and the stock markets? An empirical investigation. Journal of International Financial Markets, Institution and Money, 51, 39–57. https://doi.org/10.1016/j.intfin.2017.09.029
  • Wolde-Rufael, Y. (2005). Energy demand and economic growth: The African experience. Journal of Policy Modelling, 27(8), 891-903. https://doi.org/10.1016/j.jpolmod
  • Yenice, S. and 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), 135-151. Retrieved from https://dergipark.org.tr/tr/pub/jefa
  • Zivot, E. and Andrews, D. W. K. (2002). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of business & economic statistics, 20(1), 25-44. https://doi.org/10.1198/073500102753410372

The Causal Relationship between Health Expenditures, Effects of the Covid-19 Epidemic on the Relationship between CDS Premiums and Stock Market Indices: An Application for Major European Indices

Yıl 2020, Cilt: 5 Sayı: Özel Sayı, 97 - 114, 26.12.2020
https://doi.org/10.30784/epfad.810614

Öz

The impact of CDS premiums on stock market indices as a measure of risk is of great interest. The relationship between CDS and indices can be affected by crises and similar events. The extent of this effect may have the power to influence investors ' decisions. For this reason, the need arose to determine the change in the relationship between CDS and indices after the covid-19 pandemic. Aim of the study is to monitor this change for the major countries, financially and economically, of Europe during the pandemic period and the recent period of the Covid 19 outbreak. From February 22, 2019 to August 29, 2020 daily CDS and index data were analyzed by regression analysis, unit root tests, cointegration analysis and Toda-Yamamoto causality analysis. The study findings showed that the relationship between CDS premiums before the pandemic and indices, which can be considered weak, increased significantly after the pandemic. In addition, in the second period, there was a bidirectional causal relationship between CDS premiums and stock market indices in countries except for Italy. The study shows that the relationship between the CDS premiums and stock market is stronger in economically weak countries and shows that risk is priced directly on the stock market when risks are clear, and CDS premiums follow the stock market index.

Kaynakça

  • Anton, S. G. and Afloarei Nucu, A. E. (2020). Sovereign credit default swap and stock markets in central and Eastern European countries: Are feedback effects at work?. Entropy, 22(3), 338. https://doi.org/10.3390/e22030338
  • Aydın, G. K., Hazar, A. ve Çütçü, İ. (2016). Kredi temerrüt takası ile menkul kıymet borsaları arasındaki ilişki: gelişmiş ve gelişmekte olan ülke uygulamaları. Türk Sosyal Bilimler Araştırmaları Dergisi, 1(2), 1-20. Erişim adresi: http://tursbad.hku.edu.tr/
  • Bektur, Ç. ve Malcıoğlu, G. (2017). Kredi temerrüt takasları ile BİST 100 endeksi arasındaki ilişki: Asimetrik nedensellik analizi. Bolu Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 17(3), 73-83. Erişim adresi: https://dergipark.org.tr/tr/pub/basbed
  • Breger, L., Goldberg, L. and Cheyette, O. (2003). Market implied ratings. Risk Magazine, 1-15. http://dx.doi.org/10.2139/ssrn.402800
  • Coronado, M., Corzo, M. T. and Lazcano, L. (2012). A case for Europe: The relationship between sovereign CDS and stock indexes. Frontiers in Finance and Economics, 9(2), 32-63. Retrieved from https://ffejournal.wordpress.com/
  • Corzo, M. T., Gomez-Biscarri, J. and Lazcano, L. (2012). The co-movement of sovereign credit default swaps and bonds, and stock markets in Europe. http://dx.doi.org/10.2139/ssrn.2000057
  • Gerry S., Lynch, D. and Denyer, S. (2020, 27 Haziran). Fifth coronavirus case confirmed in U.S., 1,000 more cases expected in China. Retrieved from https://www.nationthailand.com/news/30381111?utm_source=homepage&utm_medium=internal_referral
  • Kliber, A. (2019). The sovereign credit default swap market – Is there anything to be afraid of? A comparison of selected Central and Western European Economies. Argumenta Oeconomica, 2(43), 137-167. Retrieved from http://argumenta.ae.wroc.pl/
  • Lee, J. and Strazicich, M.C. (2003). Minimum LaGrange multiplier unit root test with two structural breaks. The Review of Economics and Statistics, 85(4), 1082-1089. https://doi.org/10.1162/003465303772815961
  • Lee, J. and Strazicich, M.C. (2004). Minimum LM unit root test with one structural break. (Working Papers 04-17, Department of Economics, Appalachian State University). Retrieved from https://core.ac.uk/download/pdf/7080165.pdf
  • MacKinnon, J. G. (1996). Numerical distribution functions for unit root and cointegration tests. Journal of applied econometrics, 11(6), 601-618. https://doi.org/10.1002/(SICI)1099-1255(199611)11:6<601::AID-JAE417>3.0.CO;2-T
  • Mateev, M. and Marinova, E. (2019). Relation between credit default swap spreads and stock prices: A non-linear perspective. Journal of Economics and Finance, 43, 1–26. https://doi.org/10.1007/s12197-017-9423-9
  • Norden, L. and Weber, M. (2009). The co-movement of credit default swap, bond and stock markets: An empirical analysis. European financial management, 15(3), 529-562. https://doi.org/10.1111/j.1468-036X.2007.00427.x
  • Pittis, N. (1999). Efficient estimation of cointegrating vectors and testing for causality in vector autoregressions. Journal of economic surveys, 13(1), 1-35. https://doi.org/10.1111/1467-6419.00073
  • Sadeghzadeh, K. (2019). Borsa endekslerinin ülke risklerine duyarlılığı: Seçilmiş ülkeler üzerine analizler. Ataturk University Journal of Economics & Administrative Sciences, 33(2), 435-450. Erişim adresi: https://dergipark.org.tr/tr/pub/atauniiibd
  • Toda, HY. and Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics, 66(1-2), 225-250. https://doi.org/10.1016/0304-4076(94)01616-8
  • Tolikas, K. and Topaloglou, N. (2017). Is default risk priced equally fast in the credit default swap and the stock markets? An empirical investigation. Journal of International Financial Markets, Institution and Money, 51, 39–57. https://doi.org/10.1016/j.intfin.2017.09.029
  • Wolde-Rufael, Y. (2005). Energy demand and economic growth: The African experience. Journal of Policy Modelling, 27(8), 891-903. https://doi.org/10.1016/j.jpolmod
  • Yenice, S. and 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), 135-151. Retrieved from https://dergipark.org.tr/tr/pub/jefa
  • Zivot, E. and Andrews, D. W. K. (2002). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of business & economic statistics, 20(1), 25-44. https://doi.org/10.1198/073500102753410372
Toplam 20 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Finans
Bölüm Makaleler
Yazarlar

N.serap Vurur 0000-0003-4339-6474

Ercan Özen 0000-0002-7774-5153

Yayımlanma Tarihi 26 Aralık 2020
Kabul Tarihi 12 Kasım 2020
Yayımlandığı Sayı Yıl 2020 Cilt: 5 Sayı: Özel Sayı

Kaynak Göster

APA Vurur, N., & Özen, E. (2020). Covid-19 Salgınının CDS Primleri İle Borsa Endeksleri Arasındaki İlişki Üzerine Etkileri: Başlıca Avrupa Endeksleri İçin Bir Uygulama. Ekonomi Politika Ve Finans Araştırmaları Dergisi, 5(Özel Sayı), 97-114. https://doi.org/10.30784/epfad.810614