Abstract:

The aim of the study is to reveal the short-term and long-term relationship between the Turkish Credit Temerrüt Swap (CDS) and the Borsa Istanbul (BIST) 100 Index Revenue for the 2010:01-2019:06 period. Method - In the study, the fixed, fixed and trend, the fixed breakdown, the fixed breakdown and trend, the breakdown in trend, the breakdown in regime, the breakdown in regime and trend models were defined as a short and long-term time series analysis method. The findings - CDS and BIST100 series have been determined to be stable in level values. The existence of a long-term matching relationship between the CDS primes and the BIST100 returns has been identified. A long-term negative relationship between the CDS and BIST100 returns was by 25% compared to FMOLS and CCR and by 43% compared to DOLS. According to the Granger causality test results, one-way causality ratio from CDS to BIST100 returns was found. The impact-up analysis found that a shock in the CDS caused 0.013 decrease in BIST100 revenue in the 2nd month and that this effect was close to zero by disappearing in the 5th month. According to the variance separation, and from the 9th month it was found that about 0.20% of changes in the BIST100 return occurred by the CDS exchange. Discussions - It is possible to say that the negative relationship between the CDS and BIST100 returns achieved in the study is theoretically supported and that the share market returns decrease as the country’s risk increases.

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