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CDS primlerinin bir risk ölçüsü olarak borsa endeksleri üzerindeki etkileri oldukça ilgi çekmektedir. CDS ve borsa endeksleri arasındaki, ilişki kriz ve benzeri olaylardan etkilenebilmektedir. Bu etkinin derecesi, yatırımcıların kararlarını etkileyebilecek güce sahip olabilmektedir. Bu nedenle CDS ile borsa endeksleri arasındaki ilişkinin Covid-19 pandemisi sonrasındaki değişiminin belirlenmesi ihtiyacı doğmuştur. Çalışmanın amacı Covid 19 salgınının yakın dönemi ile pandemi döneminde Avrupa’nın önemli finans merkezi özelliğine sahip ülkeleri için CDS ve borsa endeksleri arasındaki değişimi izlemektir. 22 Şubat 2019 ile 29 Ağustos 2020 tarihleri arasındaki günlük CDS ve endeks verileri, regresyon analizi, birim kök testleri ve Toda-Yamamoto nedensellik analizleri ile incelenmiştir. Çalışmanın bulguları, pandemi öncesi CDS primleri ile endeksler arasındaki zayıf sayılabilecek ilişkilerin, pandemi sonrasında ciddi biçimde arttığını göstermiştir. Ayrıca, ikinci dönemde İtalya dışındaki ülkelerde CDS primleri ile borsa endeksleri arasında çift yönlü nedensellik ilişki ortaya çıkmıştır. Çalışma, ekonomik olarak zayıf ülkelerde CDS primleri ile borsa endeksi ilişkisinin daha güçlü olduğunu göstermekte ve riskin açık olduğu durumlarda risk fiyatlamasının doğrudan borsada fiyatlandığını ve CDS primlerinin borsa endeksini takip ettiğini göstermektedir.
The impact of CDS primes on stock exchanges as a risk measure is quite interesting. The relationship between the CDS and the stock exchange index can be affected by crisis and similar events. The degree of this effect may have the power to influence investors’ decisions. Therefore, it was necessary to determine the change in the relationship between the CDS and the stock exchange index after the Covid-19 pandemic. The aim of the study is to monitor the shift between the CDS and stock exchanges for countries with the key financial center in Europe during the recent period of the Covid 19 epidemic and the pandemic period. Daily CDS and index data between 22 February 2019 and 29 August 2020 were studied by regression analysis, unit root tests and Toda-Yamamoto causal analysis. The findings of the study showed that the weakness in the relationship between pre-pandemic CDS primes and indicators increased significantly after the pandemic. In addition, in the second period there was a double causal relationship between CDS primes and stock index in countries outside Italy. The study shows that in economically weak countries the CDS primes and stock exchange index are stronger, and in cases where the risk is open, the risk pricing is priced directly on the stock exchange and the CDS primes follow the stock exchange index.
The impact of CDS premiums on stock market indices as a measure of risk is of great interest. The relationship between CDS and indices can be affected by crises and similar events. The extent of this effect may have the power to influence investors ' decisions. For this reason, the need arose to determine the change in the relationship between CDS and indices after the covid-19 pandemic. Aim of the study is to monitor this change for the major countries, financially and economically, of Europe during the pandemic period and the recent period of the Covid 19 outbreak. From February 22, 2019 to August 29, 2020 daily CDS and index data were analyzed by regression analysis, unit root tests, cointegration analysis and Toda-Yamamoto causality analysis. The study findings showed that the relationship between CDS premiums before the pandemic and indices, which can be considered weak, increased significantly after the pandemic. In addition, in the second period, there was a bidirectional causal relationship between CDS premiums and stock market indices in countries except for Italy. The study shows that the relationship between the CDS premiums and stock market is stronger in economically weak countries and shows that risk is priced directly on the stock market when risks are clear, and CDS premiums follow the stock market index.
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Uluslararası
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