The Relationship Between Credit Default Swap Spreads, Equity Indices And Sector Equity Indices: An Empirical Study On Istanbul Stock Exchange
Yükleniyor...
Tarih
2015
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
International Institute of Social and Economic Sciences (IISES)
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
The link between stock prices and Credit Default Swaps (CDS) spreads is important for risk managers to make an investment decision. Furthermore, the choice of sector is important in the preference of the investors. The literature have different evidences as there is a powerful relation with the country CDS and the equity indices or not. This study aims to investigate the linkages between the CDS spreads and equity indices including the scope and diversity of sector. The sample of the study consists of BIST30, BIST100, BIST Bank and BIST Industry. The data of the study included the January 2013 and April 2014 were tried with weekly data range.
Açıklama
Anahtar Kelimeler
Credit Default Swaps, Equity Index, Sector Equity Index, BIST30, BIST100, Istanbul Stock Exchange, Vector Autoregression, Impulse Response, Variance Decomposition
Kaynak
17th International Academic Conference, Vienna 21 June 2015
WoS Q DeÄŸeri
Scopus Q DeÄŸeri
Cilt
Sayı
Künye
Koy, A. The Relationship Between Credit Default Swap Spreads, Equity Indices And Sector Equity Indices: An Empirical Study On Istanbul Stock Exchange. 21 June 2015, 17th International Academic Conference, Vienna, p.235-246.
