A study for the interaction between risk premiums and stock exchange in developing countries

Yenice, Sedat; Hazar, Adalet

doi:10.17261/pressacademia.2015211508

Cited by 6 publications

(3 citation statements)

References 7 publications

(1 reference statement)

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…The results are consistent with theoretical assumptions in most of the cases. The coefficients found related to the variables and direction of the relationships are in parallel with the studies conducted by Pan and Singleton (2008), Longstaff et al (2011), Liu and Morley (2012), Ertugrul and Ozturk (2013), Hanci (2014), Eren and Basar (2016), Basarir and Keten (2016), Yenice and Hazar (2015), Akkaya (2017), Munyas (2018) and Sadeghzadeh (2019).…”

Section: Tablesupporting

confidence: 81%

“…A causality relationship between the CDSs and Euro bond was detected. Yenice and Hazar (2015) used correlation analysis to examine the relationship between the stock exchange, exchange rate, and CDS premium, focusing on developing countries (including Turkey) from 2009 to 2014. The results showed that the CDS premium correlates with the stock exchanges and exchange rates of countries.…”

Section: Review Of Literaturementioning

confidence: 99%

See 1 more Smart Citation

The Impact of Financial Drivers on Credit Default Swap (CDS) in Turkey: The Cointegration with Structural Breaks and FMOLS Approach

Erdaş¹

2022

ibr

View full text Add to dashboard Cite

The CDS premium is considered to be an important criterion in the risk premiums of countries with emerging markets and it also provides important information about the credibility of these countries for investors. Decreasing the level of CDS for developing countries helps investors to work with the country and smoothes the way for investments in financial assets. Hence, determining the factors which can affect changes in the CDS of these countries has beco me crucial for their economies. Thus, the relationship between Turkey's CDS for 5 years and financial factors have been analyzed through the monthly data for the period between 2012 and 2020. For this purpose, the existence of the long-run relationship between the series was investigated by Gregory-Hansen (1996) and Hatemi-J ( 2008) and it was seen that the series are cointegrated. Afterwards, the long-run coefficients between the series were estimated by FMOLS. The results indicate that the BIST100 index and liquid liabilities have a positive effect on CDS and that the domestic credit volume of the banking sector has a negative effect on CDS. Furthermore, the estimated break dates suggest that significant events are occurring in the Turkish economy.

show abstract

Section: Tablesupporting

confidence: 81%

Section: Review Of Literaturementioning

confidence: 99%

The Impact of Financial Drivers on Credit Default Swap (CDS) in Turkey: The Cointegration with Structural Breaks and FMOLS Approach

Erdaş¹

2022

ibr

View full text Add to dashboard Cite

show abstract

“…Faiz ve USD kurunun CDS üzerindeki etkisi incelendiğinde ise Çin'de USD kuru etkisinin Faiz oranına göre daha fazla olduğu, Rusya'da ise Faiz oranının etkisinin USD kuruna göre daha fazla olduğu görülmüştür. Türkiye'de ise Faiz oranının etkisi yok denecek kadar az olmasına rağmen USD kurunun etkisinin olduğu tespit edilmiştir.Yapılan analizdeki bulgular, Longstaff & diğerleri (2011), Yenice & Hazar (2015), Liu & Morley (2012), Başarır & Keten (2016)'in çalışmalarını Türkiye için doğrular niteliktedir fakat incelenen diğer ülkeler için faiz oranı etkisinin de önemli olduğuna dair kanıtlara ulaşılmıştır.…”

Section: Sonuçunclassified

Credit default SWAPS and the research on selected indicators in emerging markets

Atmisdortoglu¹

2019

Pressacademia

View full text Add to dashboard Cite

Purpose-CDS premiums are an important variable which used in the measurement of country credit risk and especially in the formation of risk perception of international investors towards the country. In this study, between CDS premiums and selected economic indicators for China, Russia and Turkey from developing countries has made an empirical analysis, interaction with each other and whether the findings support other studies in the literature had investigated. Methodology-The relationship between the CDS premiums from countries and China SHCOMP, Russia INDEXCF and Turkey XU100 stock market index and 2-year government bond interest rate and the USD exchange rate parity, by using daily data between 08.04.2010 and 15.03.2019 periods was researched with VAR analysis. Findings-According to the empirical tests, it was concluded that the stock exchange index had the largest effect among the selected variables, whereas the exchange rate and interest rate had no significant effect. Conclusion-In this study, offers evidence which occur the changes in CDS's standard deviation is affected from the stock market index and the effect is more in Turkey than other examined countries groups.

show abstract

Kredi̇ Ri̇sk Pri̇mi̇, Dövi̇z Kurlari Ve Bazi Emti̇alarin Bi̇st100 Performansina Etki̇si̇

Tufaner

2021

Finansal Araştırmalar Ve Çalışmalar Dergisi

View full text Add to dashboard Cite

Borsalar, yerli ve yabancı yatırımcıların tasarruflarını değerlendirdiği finansal piyasalardır. Özellikle, yatırım ihtiyacı yüksek olan gelişmekte olan ülkelerde kredi genişlemesi için bir likidite kaynağı olarak görülmektedir. Finansal kırılganlık seviyesi yüksek olan bu ülkelerin borsaları hem ulusal hem de uluslararası arenada meydana gelen ekonomik, sosyal ve politik gelişmelerden etkilenebilmektedir. Bunların en başında ise CDS risk primleri gelmektedir. Bu bağlamda çalışmanın amacı, BİST100 endeksi ile CDS risk primi, dolar kuru, ons altın fiyatı ve brent petrol fiyatı arasındaki ilişkiyi incelemektir. Araştırmada, 2015w50-2020w2 dönemi haftalık veriler kullanılarak analiz edilmiştir. İlk olarak, serilerin durağanlığını sınamak amacıyla ADF ve PP birim kök testleri yapılmıştır. Ardından, değişkenler arasındaki uzun dönem ilişkisinin tespit edilmesi amacıyla, Johansen eşbütünleşme testi uygulanmıştır. Daha sonra, modelde yer alan değişkenler arasında nedensellik ilişkisinin mevcut olup olmadığının tespit edilmesi için VAR temelli Granger nedensellik testi gerçekleştirilmiştir. İz ve Maksimum Özdeğer testi sonuçlarına bakıldığında, değişkenler arasında bir eşbütünleşme ilişkisi olmadığı sonucuna varılmıştır. Granger nedensellik testi sonuçlarına bakıldığında, CDS' den BİST100' e ve USD' den BİST100' e tek taraflı bir nedensellik ilişkisi olduğu anlaşılmıştır.

show abstract

A study for the interaction between risk premiums and stock exchange in developing countries

Cited by 6 publications

References 7 publications

The Impact of Financial Drivers on Credit Default Swap (CDS) in Turkey: The Cointegration with Structural Breaks and FMOLS Approach

The Impact of Financial Drivers on Credit Default Swap (CDS) in Turkey: The Cointegration with Structural Breaks and FMOLS Approach

Credit default SWAPS and the research on selected indicators in emerging markets

Kredi̇ Ri̇sk Pri̇mi̇, Dövi̇z Kurlari Ve Bazi Emti̇alarin Bi̇st100 Performansina Etki̇si̇

Contact Info

Product

Resources

About