Abstract:

The stock exchanges are the financial markets where domestic and foreign investors assess savings. In particular, it is seen as a liquidity source for credit expansion in developing countries with high investment needs. The stock exchanges of these countries with a high level of financial vulnerability can be affected by economic, social and political developments in both the national and international arena. At the beginning of this, the CDS risk premiums come. The aim of the study in this context is to explore the relationship between the BIST100 index and the CDS risk premium, the dollar price, the ounce price of gold and the brent price of oil. The study was analyzed using weekly data for the 2015w50-2020w2 period. First, ADF and PP unit root tests were conducted in order to test the durability of the series. Then, in order to identify the long-term relationship between the variables, the Johansen equalization test was applied. Later, a VAR-based Granger causality test was conducted to determine whether there is a causality relationship between the variables included in the model. When we look at the results of the trace and maximum equivalent test, it was concluded that there was no matching relationship between the variables. Given the Granger causality test results, it was found that there was a unilateral causality relationship from CDS to BIST100 and from USD to BIST100.

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