Kredi Temerrüt Swapları (CDS) ile Borsa İstanbul 100 Endeksi Arasındaki İlişki: Kısa ve Uzun Dönemli Zaman Serisi Analizleri
The Relationship between Credit Default Swaps and Borsa Istanbul 100 Index: The Short and Long Term Time Series Analysis

Summary/Abstract: Purpose – This study that focuses on the analyzing the short and long terms impacts of Turkey’s CDS on return of BIST100 Index in 2010:01-2019:06 periods. Design/methodology/approach – Considering the the short and long term time series analysis used to process with constant, constant-trend, level shift, level shift-trend, trend shift, regime shift, regime-trend shift models. Findings – It was determined that both series were stationary at the level. The cointegration was determined relationship between CDS and return of BIST100. A negative relationship was found between CDS and BIST100 return in the long term by 25% according to FMOLS and CCR and 43% to DOLS.

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