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

Author

Listed:
  • Güven Sevil

    (Anadolu University)

  • Tutku Ünkaracalar

    (Kirklareli University)

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.

Suggested Citation

  • Güven Sevil & Tutku Ünkaracalar, 2020. "An Assessment of The Relationship Between CDS Spreads And Portfolio Investments: Turkey Case," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 35(113), pages 285-300, April.
    • Handle: RePEc:acc:malfin:v:35:y:2020:i:113:p:285-300
    DOI: https://doi.org/10.33203/mfy.654360
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    More about this item

    Keywords

    CDS Spreads; Portfolio Investments; Fully Modified Ordinary Least Squares; Granger Causality Test;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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