EFFECTS OF CREDIT DEFAULT SWAPS (CDS) ON BIST-100 INDEX

Murat Eren, and Selim BAÅžAR
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Murat Eren,: Ataturk University, Department of Economics, Turkey
Selim BAÅžAR: Ataturk University, Department of Economics, Turkey

EcoForum, 2016, vol. 5, issue Special Issue, 27

Abstract: The aim of this study is to determine whether there is an impact of credit default swaps on BIST-100 Index by using monthly data of 2005:12-2014:03. BIST-100 Index was used as a dependent variable and credit default swaps (CDS) were used as an independent variable. Unit root test was applied on each variable and bound test approach was adopted for co-integration according to the result of the test. Short and long term relationships of variables were analyzed using ARDL approach. According to the results, it was found that credit default swaps affected negatively on stock prices in the short term, however, it has no effects on the stock prices in long term.

Keywords: BIST-100; Credit Default Swaps; Bound Test (search for similar items in EconPapers)
Date: 2016
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