Proceedings of the 17th International Academic Conference, Vienna

THE RELATIONSHIP BETWEEN CREDIT DEFAULT SWAP SPREADS, EQUITY INDICES AND SECTOR EQUITY INDICES: AN EMPIRICAL STUDY ON ISTANBUL STOCK EXCHANGE

AYBEN KOY

Abstract:

The link between stock prices and Credit Default Swaps (CDS) spreads is important for risk managers to make an investment decision. Furthermore, the choice of sector is important in the preference of the investors. The literature have different evidences as there is a powerful relation with the country CDS and the equity indices or not. This study aims to investigate the linkages between the CDS spreads and equity indices including the scope and diversity of sector. The sample of the study consists of BIST30, BIST100, BIST Bank and BIST Industry. The data of the study included the January 2013 and April 2014 were tried with weekly data range.

Keywords: Credit Default Swaps, Equity Index, Sector Equity Index, BIST30, BIST100, Istanbul Stock Exchange, Vector Autoregression, Impulse Response, Variance Decomposition

DOI: 10.20472/IAC.2015.017.047

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