The Relationship Between Credit Default Swap Spreads, Equity Indices and Sector Equity Indices: An Empirical Study on Istanbul Stock Exchange

Ayben Koy ()
Additional contact information
Ayben Koy: ISTANBUL COMMERCE UNIVERSITY

No 2604117, Proceedings of International Academic Conferences from International Institute of Social and Economic Sciences

Abstract: The link between stock prices and Credit Default Swaps (CDS) spreads is important for risk managers to make an investment decision. Furthermore, the choice of sector is important in the preference of the investors. The literature have different evidences as there is a powerful relation with the country CDS and the equity indices or not. This study aims to investigate the linkages between the CDS spreads and equity indices including the scope and diversity of sector. The sample of the study consists of BIST30, BIST100, BIST Bank and BIST Industry. The data of the study included the January 2013 and April 2014 were tried with weekly data range.

Keywords: Credit Default Swaps; Equity Index; Sector Equity Index; BIST30; BIST100; Istanbul Stock Exchange; Vector Autoregression; Impulse Response; Variance Decomposition (search for similar items in EconPapers)
JEL-codes: C58 F21 F30 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2015-07
New Economics Papers: this item is included in nep-ara, nep-cfn and nep-cwa
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Proceedings of the Proceedings of the 17th International Academic Conference, Vienna, Jul 2015, pages 235-246

Downloads: (external link)
https://iises.net/proceedings/17th-international-a ... =26&iid=047&rid=4117 First version, 2015

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sek:iacpro:2604117

Access Statistics for this paper

More papers in Proceedings of International Academic Conferences from International Institute of Social and Economic Sciences
Bibliographic data for series maintained by Klara Cermakova ().