Abstract:

Credit Rate Exchange (CDS) is considered to be one of the main determinants of the country’s credit risk measurement and the investor’s risk perception towards the country concerned. One of the areas in which the change in risk perception is ineffective is the stock markets. The stock exchanges that are traded in the Stock Exchange in Istanbul are not independent. In this framework, the short-term and long-term relationship between our country’s CDS primes and BIST Bank Price Index and the stock prices of banks has been studied and the impact of the country’s risk perception on the specified market has been analyzed. Johansen based on VAR analysis to determine the existence of a long-term relationship between the series of time in the study, the integration test was applied. After the test, it was found that the country Temerrüt Exchange was influenced by five banks that were tested with the BIST Bank Index for a long period of time. According to the Granger Causability Analysis findings, the country’s CDS and a bank have a two-way causality relationship and the number of variables with one-way causality is five. One of the banks found that the country's CDSs were the cause of Granger.

Keywords: