Özet:

Developing countries such as Turkey need foreign investors and foreign portfolio investors. In countries with developing financial markets, trust and transparency in the markets are very important. In recent years, the increase in technological and production innovation has increased the importance of this even more. What actually causes financial volatility has become the subject of considerable research. With the increasing globalization, financial markets are the factor affecting financial volatility. These increases in the world have also reflected on the volatility of the markets in a certain way. Uncertainty and volatility in the markets also affect stability and uncertainty in investments. The main objective of this study is to examine the volatility spillover between CDS premiums and selected BIST indices. Five-year credit default swaps default swaps (CDS), BIST 100 Index (BIST100), BIST 30 Index (BIST30), BIST Bank Index (XBNK), BIST Service Index (XUHIZ) and BIST Industrial Index (XUSIN) variables are used. Daily data for the period 2010-2022 have been used; Dynamic Correlation Multivariate Stochastic Volatility (DC-MSV) model was used. Based on the obtained result, it has been determined that the volatility of CDS premiums, BIST 30, BIST 100, BIST Service (XUHIZ), BIST Bank (XBNK) and BIST Industrial (XUSIN) indices are permanent. In addition, the volatility of the CDS premiums, BIST 30, BIST 100, BIST Service (XUHIZ), BIST Bank (XBNK) and BIST Industrial (XUSIN) indices are predictable.

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