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Effects Of Credit Default Swaps (Cds) On Bist-100 Index

Author

Listed:
  • Murat EREN,

    (Ataturk University, Department of Economics, Turkey)

  • Selim BAÅžAR

    (Ataturk University, Department of Economics, Turkey)

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.

Suggested Citation

  • Murat EREN, & Selim BAÅžAR, 2016. "Effects Of Credit Default Swaps (Cds) On Bist-100 Index," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 5(Special I), pages 1-27, august.
    • Handle: RePEc:scm:ecofrm:v:5:y:2016:i:s:p:27
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    File URL: http://ecoforumjournal.ro/index.php/eco/article/view/527/304
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    References listed on IDEAS

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