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The Relationship Between Credit Default Swap Spreads, Equity Indices and Sector Equity Indices: An Empirical Study on Istanbul Stock Exchange

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  • AYBEN KOY

    (ISTANBUL COMMERCE UNIVERSITY)

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.

Suggested Citation

  • Ayben Koy, 2015. "The Relationship Between Credit Default Swap Spreads, Equity Indices and Sector Equity Indices: An Empirical Study on Istanbul Stock Exchange," Proceedings of International Academic Conferences 2604117, International Institute of Social and Economic Sciences.
    • Handle: RePEc:sek:iacpro:2604117
    as

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    File URL: https://iises.net/proceedings/17th-international-academic-conference-vienna/table-of-content/detail?cid=26&iid=047&rid=4117
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    References listed on IDEAS

    as
    1. Caporin, Massimiliano, 2013. "Equity and CDS sector indices: Dynamic models and risk hedging," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 261-275.
    2. Nils Friewald & Christian Wagner & Josef Zechner, 2014. "The Cross-Section of Credit Risk Premia and Equity Returns," Journal of Finance, American Finance Association, vol. 69(6), pages 2419-2469, December.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Credit Default Swaps; Equity Index; Sector Equity Index; BIST30; BIST100; Istanbul Stock Exchange; Vector Autoregression; Impulse Response; Variance Decomposition;
    All these keywords.

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F30 - International Economics - - International Finance - - - General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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