The Impacts of the Credit Default Swap on the Stock Index: Asymmetric Causality Approach for BRIC Countries

Kaya Tokmakçıoğlu; Oğuzhan Özçelebi; Berkay Manioğlu

TR EN

The Impacts of the Credit Default Swap on the Stock Index: Asymmetric Causality Approach for BRIC Countries

Öz

In this study, Granger and Hatemi-J (2012) tests are used to examine whether or not the credit default swaps (CDS) have causality effects on stock indices in BRIC countries. Although the findings of the study support the fact that a fall in Brazil's country risk leads to a decrease in stock returns, it is implied that stock investors may have a risk-likely behavior. In Russia, contrary to theoretical assumptions, causality analysis shows that capital movements are closely related to the country's CDS, and that the increase / decrease of the country risk may neither reduce nor raise stock indices. Causality analysis reveals that the CDS’s do not have a significant influence on international capital flows and risk appetite in Brazil and Russia as well as in India and China, and thus, it can be asserted that political, social and other economic factors may become crucial for investment decisions in stock markets

Anahtar Kelimeler

Cumulative sums approach,causality analysis,CDS,stock index,BRIC countries

Kaynakça

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Ayrıntılar

Birincil Dil

İngilizce

Konular

-

Bölüm

-

Yazarlar

Kaya Tokmakçıoğlu

Oğuzhan Özçelebi

Berkay Manioğlu Bu kişi benim

Yayımlanma Tarihi

1 Eylül 2018

Gönderilme Tarihi

-

Kabul Tarihi

-

Yayımlandığı Sayı

Yıl 2018 Sayı: 643

IZ

https://izlik.org/JA52EN37MC

APA

Tokmakçıoğlu, K., Özçelebi, O., & Manioğlu, B. (2018). The Impacts of the Credit Default Swap on the Stock Index: Asymmetric Causality Approach for BRIC Countries. Finans Politik ve Ekonomik Yorumlar, 643, 771-788. https://izlik.org/JA52EN37MC

AMA

1.Tokmakçıoğlu K, Özçelebi O, Manioğlu B. The Impacts of the Credit Default Swap on the Stock Index: Asymmetric Causality Approach for BRIC Countries. FPEYD. 2018;(643):771-788. https://izlik.org/JA52EN37MC

Chicago

Tokmakçıoğlu, Kaya, Oğuzhan Özçelebi, ve Berkay Manioğlu. 2018. “The Impacts of the Credit Default Swap on the Stock Index: Asymmetric Causality Approach for BRIC Countries”. Finans Politik ve Ekonomik Yorumlar, sy 643: 771-88. https://izlik.org/JA52EN37MC.

EndNote

Tokmakçıoğlu K, Özçelebi O, Manioğlu B (01 Eylül 2018) The Impacts of the Credit Default Swap on the Stock Index: Asymmetric Causality Approach for BRIC Countries. Finans Politik ve Ekonomik Yorumlar 643 771–788.

IEEE

[1]K. Tokmakçıoğlu, O. Özçelebi, ve B. Manioğlu, “The Impacts of the Credit Default Swap on the Stock Index: Asymmetric Causality Approach for BRIC Countries”, FPEYD, sy 643, ss. 771–788, Eyl. 2018, [çevrimiçi]. Erişim adresi: https://izlik.org/JA52EN37MC

ISNAD

Tokmakçıoğlu, Kaya - Özçelebi, Oğuzhan - Manioğlu, Berkay. “The Impacts of the Credit Default Swap on the Stock Index: Asymmetric Causality Approach for BRIC Countries”. Finans Politik ve Ekonomik Yorumlar. 643 (01 Eylül 2018): 771-788. https://izlik.org/JA52EN37MC.

JAMA

1.Tokmakçıoğlu K, Özçelebi O, Manioğlu B. The Impacts of the Credit Default Swap on the Stock Index: Asymmetric Causality Approach for BRIC Countries. FPEYD. 2018;:771–788.

MLA

Tokmakçıoğlu, Kaya, vd. “The Impacts of the Credit Default Swap on the Stock Index: Asymmetric Causality Approach for BRIC Countries”. Finans Politik ve Ekonomik Yorumlar, sy 643, Eylül 2018, ss. 771-88, https://izlik.org/JA52EN37MC.

Vancouver

1.Kaya Tokmakçıoğlu, Oğuzhan Özçelebi, Berkay Manioğlu. The Impacts of the Credit Default Swap on the Stock Index: Asymmetric Causality Approach for BRIC Countries. FPEYD [Internet]. 01 Eylül 2018;(643):771-88. Erişim adresi: https://izlik.org/JA52EN37MC

The Impacts of the Credit Default Swap on the Stock Index: Asymmetric Causality Approach for BRIC Countries

Kredi Temerrüt Takasının Hisse Senedi Endeksi Üzerindeki Etkileri: BRIC Ülkeleri İçin Asimetrik Nedensellik Yaklaşımı

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The Impacts of the Credit Default Swap on the Stock Index: Asymmetric Causality Approach for BRIC Countries

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