Özet:

The importance of the volatility transmission across the international financial markets has become a current issue by the effects of global crisis in 2008. The purpose of this study is to assign the effect of the global crisis among the Credit Default Swap (CDS) risk premium volatilities in Brazil, Russia, China, South Africa and Turkey, and which country is more effective than the others in the volatility transmission. We analyze these countries’ daily CDS returns for the period January 27th, 2003 – November 4th, 2014 by using a MGARCH model. The empirical results show that the CDS returns’ volatility has increased during the global crisis period, the source of degree of innovation is China CDS risk premium and the source of volatility transmission is Brazil and Turkey CDS risk premiums

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