A Research on the Relationship Between Sovereign Credit Default Swap Premiums and Stock Indexes in Emerging Financial Markets

Haşmet Sarıgül

Journal of Finance Letters (Maliye ve Finans Yazıları), 2020, vol. 35, issue 114, 103-128

Abstract: In this study Johansen Cointegration test based on VAR analysis was applied in order to determine the existence of long term relationship between default credit swap premiums and stock index values of fourteen developing countries. By using daily data of January, 2016 - July, 2019 period, it was observed that sovereign credit default swap premiums of Argentina, South Africa and Turkey had an impact on each countries stock indexes. Then, Granger Causality Analysis was conducted to determine the existence of short term relationships. The findings revealed that causality relationships exist in all countries except Greece and South Korea.

Keywords: Credit default swaps; sovereign credit default swaps; stock prices; stock index (search for similar items in EconPapers)
JEL-codes: G10 G14 G15 (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:114:p:103-128

DOI: 10.33203/mfy.605173

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