Interaction Between CDS Premiums and Stock Markets: Case of Turkey

Öz

Bu çalışma kapsamında Türkiye verisi kullanılarak CDS primleri ile hisse senedi piyasası arasındaki ilişki incelenmiştir. Burada ülke riskini temsilen ülke kredi notlarına alternatif olarak kullanılan CDS primlerindeki değişim kullanılmıştır. Araştırma sonunda değişkenler arasında uzun vadeli ilişkinin varlığı kanıtlanmıştır. Nedensellik ilişkisi tespit edilememiştir. Tespit edilen uzun vadeli ilişki, CDS primlerindeki değişimi ülke riskinin barometresi olarak değerlendiren yabancı ve yerli yatırımcıların CDS primlerini de içeren faktörleri dikkate alarak yatırım kararlarını vermesiyle ilişkilendirilebilir.  

Anahtar Kelimeler

• kredi temerrüt takası,pay piyasaları,ülke kredi riski

Interaction Between CDS Premiums and Stock Markets: Case of Turkey

Abstract

The relationship between CDS premiums and stock market is investigated in this study by using data of Turkey. Here CDS premiums, which constitute an alternative to credit ratings of countries, are used as a measure of sovereign credit risk. At the end of the examination a long-term relationship is found between variables. Nonetheless causality relationship cannot be detected between variables. Long run relationship that is detected could be associated with both foreign and domestic investors who perceive CDS premiums as a barometer of sovereign credit risk and make investment decisions by considering factors including sovereign credit risk.  

Keywords

• credit default swap,stock markets,sovereign credit risk

Kaynakça

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