Analysis of the Relationship Between Credit Default Swaps (CDS),Credit Ratings and Stock Markets: The Case of Turkey

Hakan Sarıtaş, Emre Kılıç and Elif Hilal Nazlıoğlu
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Hakan Sarıtaş: Pamukkale University
Emre Kılıç: Nişantaşı University
Elif Hilal Nazlıoğlu: Pamukkale University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2021, vol. 36, issue 116, 73-92

Abstract: In terms of economic agents, CDS premiums and credit ratings are considered as an indicator of the risk related to financial markets. In this context, relationship between CDS and credit ratings with BIST 100 index was examined for Turkey in particular In the econometric analysis part of the study, the period 2010:02-2020:02 was used and the ARDL co-integration test was imposed on. Analysis results showed that the variables are co-integrated. In other words, it is concluded that CDS premiums, credit rating scores and BIST 100 index move together in the relevant sample period for Turkey.

Keywords: CDS Premiums; Credit Rating Scores; BIST; ARDL Co-integration (search for similar items in EconPapers)
JEL-codes: C22 G10 G24 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:36:y:2021:i:116:p:73-92

DOI: 10.33203/mfy.854876

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