Analyzing the Relationship Between the Credit Default Swaps and Bist-100

Görkem Hancı
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Görkem Hancı: İstanbul Kültür University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2014, vol. 29, issue 102, 9-22

Abstract: This study aims that able to evaluate the crises, which is related to production level, by investigating the relationship between credit default swaps and stock exchange market. It is analysed that cds basis points belonging turkey and bist-100 daily returns between the duration of january 2008 and december 2012. Considering the empirical study volatility between two variables has been determined and then this volatility has been modelled by garch (generalized autoregressive conditional heteroskedasticity). Result of garch model is that mean reverse is so resistant.

Keywords: Credi Default Swaps; risk; volatility; GARCH (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:29:y:2014:i:102:p:9-22

DOI: 10.33203/mfy.170744

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