The Effect of Credit Default Swaps (CDS) on BIST100 in Turkey: MSVAR Approach
The Effect of Credit Default Swaps (CDS) on BIST100 in Turkey: MSVAR Approach
Author(s): Isil Erem Ceylan, Fatih Ceylan, Osman Tüzün, Ramazan EkinciSubject(s): Supranational / Global Economy, Economic policy, Transformation Period (1990 - 2010), Financial Markets
Published by: Asociaţia de Cooperare Cultural-Educaţională Suceava
Keywords: BIST100; Credit Default Swap (CDS); Markov Regime Switching Vector Autoregressive (MS-VAR) Model; Risk Premiums; Turkey;
Summary/Abstract: 2008 Global Financial Crisis has brought financial risk control to the forefront for countries. In this context, the Credit Default Swap (CDS), which shows the country's risk premiums as well as the credit ratings of the countries, has become an important indicator especially for foreign investors. Thus, investor decisions in stock markets have become more sensitive to CDS premiums. In particular, it is expected that foreign investments needed in a country such as Turkey having a volatile financial system may be affected from risk premiums such as CDS. In this study; the non-linear relationship between CDS premiums and Borsa Istanbul 100 Index (BIST100) has been analyzed by using Markov Regime Switching Vector Autoregressive (MS-VAR) model for the period of March 2005-May 2017. According to the findings; it has been seen that there is a negative relationship between CDS premiums and BIST100 index in both regimes. From this point of view; it is possible to say that investors consider CDS premiums as an important indicator while taking investment decisions.
Journal: Ecoforum
- Issue Year: 7/2018
- Issue No: 1
- Page Range: 0-0
- Page Count: 5
- Language: English
