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

Yıl 2018, Sayı: 643, 771 - 788, 01.09.2018

Kaya TOKMAKÇIOĞLU Oğuzhan ÖZÇELEBİ Berkay MANİOĞLU

Öz

Bu çalışmada, Granger and Hatemi-J (2012) testleri ile BRIC ülke kredi temerrüt takaslarının (KTT) hisse senedi endeksleri üzerinde nedensellik etkisine sahip olup olmadığı incelenmiştir. Çalışmanın bulguları Brezilya’nın ülke riskinin düşmesinin hisse senedi getirilerini düşürdüğünü desteklemekle birlikte, hisse senedi yatırımcılarının risk sever bir yapıya sahip olabileceğini ima etmektedir. Rusya’da ise teorik varsayımlara aykırı olarak, sermaye hareketlerinin ülke KTT ile yakından ilişkili olmadığı ve ülke riskinin artmasının/azalmasının hisse senedi getirilerini düşürebileceği/yükseltebileceği yönünde bulgulara rastlanılmamıştır. Nedensellik analizi ile KTT’lerin Brezilya ve Rusya’da olduğu gibi Hindistan ve Çin’de de uluslararası finansal sermaye akımları ve risk iştahı üzerinde belirgin bir etkiye sahip olmadığı saptanmış ve hisse senedi piyasalarındaki yatırım kararları için politik, sosyal ve diğer ekonomik faktörlerin önemli olabileceği iddia edilmiştir

Anahtar Kelimeler

Kümülatif toplamlar yaklaşımı, nedensellik analizi, KTT, hisse senedi endeksi, BRIC ülkeleri

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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