An Assessment of The Relationship Between CDS Spreads And Portfolio Investments: Turkey Case

Güven Sevil and Tutku Ünkaracalar
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Güven Sevil: Anadolu University
Tutku Ünkaracalar: Kirklareli University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2020, vol. 35, issue 113, 285-300

Abstract: In this study, the relationship between CDS spreads for Turkey and portfolio investments is investigated through time series analysis, using the quarterly data from 2010 to 2018. or this purpose, firstly, Johansen Cointegration Test was performed to determine if there is a long run relationship between the series used in the study. As there is a cointegration of the variable, the findings from Fully Modified Ordinary Least Squares show that there is a negative relationship between portfolio investments and CDS spreads. Furthermore, the short run relationship between the variables was investigated using Granger Causality Test and it was determined that portfolio investments have an effect upon CDS spreads in the short run.

Keywords: CDS Spreads; Portfolio Investments; Fully Modified Ordinary Least Squares; Granger Causality Test (search for similar items in EconPapers)
JEL-codes: C10 C32 G10 G11 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:35:y:2020:i:113:p:285-300

DOI: 10.33203/mfy.654360

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