Estimating The Long-Term Effect of Credit Default Swap (Cds) on Borsa Istanbul 100 Index with FMOLS, DOLS and CCR Methods

Süreyya Yılmaz Özekenci

Makale detayları

Estimating The Long-Term Effect of Credit Default Swap (Cds) on Borsa Istanbul 100 Index with FMOLS, DOLS and CCR Methods

Yazarlar:

Süreyya Yılmaz Özekenci

Yayıncı:

Manisa Celal Bayar University

Ana Başlıklar:

İktisat Metodolojisi

Dergi:

Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi Vol.21 Issue 3, pp.133-146

Belge Tipi:

Makale

Yayın Tarihi:

9/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001299653

pISSN:

1304-4796

Anahtar kelimeler:

Özet:

 The aim of this study is to reveal the direction and coefficient of the long-term impact of i5-year term CDS premiums on the BIST 100 index. In this regard, the analysis examined data on the 5-year CDS premiums and the BIST 100 index, which covered the months of January 2010 and November 2022. In the study, Johansen Co-Integration analysis is used to determine the cointegration relationship between the variables. The direction and coefficient of the cointegration relationship are estimated using the FMOLS, CCR, and DOLS methods. The research findings have shown that the series are long-term correlated, and according to the FMOLS, DOLS, and CCR methods, an increase in CDS of 1 results in a decrease in the BIST100 index of 28.2, 34.3, and 29, respectively.

 The aim of this study is to reveal the direction and coefficient of the long-term impact of i5-year term CDS premiums on the BIST 100 index. In this regard, the analysis examined data on the 5-year CDS premiums and the BIST 100 index, which covered the months of January 2010 and November 2022. In the study, Johansen Co-Integration analysis is used to determine the cointegration relationship between the variables. The direction and coefficient of the cointegration relationship are estimated using the FMOLS, CCR, and DOLS methods. The research findings have shown that the series are long-term correlated, and according to the FMOLS, DOLS, and CCR methods, an increase in CDS of 1 results in a decrease in the BIST100 index of 28.2, 34.3, and 29, respectively.

 The aim of this study is to reveal the direction and coefficient of the long-term impact of i5-year term CDS premiums on the BIST 100 index. In this regard, the analysis examined data on the 5-year CDS premiums and the BIST 100 index, which covered the months of January 2010 and November 2022. In the study, Johansen Co-Integration analysis is used to determine the cointegration relationship between the variables. The direction and coefficient of the cointegration relationship are estimated using the FMOLS, CCR, and DOLS methods. The research findings have shown that the series are long-term correlated, and according to the FMOLS, DOLS, and CCR methods, an increase in CDS of 1 results in a decrease in the BIST100 index of 28.2, 34.3, and 29, respectively.

 Bu çalışmanın amacı, Türkiye 5 yıllık vadeli CDS primlerinin BİST 100 endeksi üzerindeki uzun dönemli etkisinin yönünü ve katsayısını ortaya koymaktır. Bu doğrultuda, çalışmada Ocak 2010- Kasım 2022 dönemini kapsayan BİST 100 endeksi ve 5 yıllık vadeli CDS primi verileri kullanılmıştır. Çalışmada seriler arasındaki eş bütünleşme ilişkisinin tespit edilmesi amacıyla Johansen Eş Bütünleşme analizi kullanılmıştır. Eş bütünleşme ilişkisinin yönü ve katsayısına yönelik tahminlemede ise FMOLS, CCR ve DOLS yöntemleri kullanılmıştır. Yapılan analizler sonucunda, serilerin uzun dönemde birlikte hareket ettiği ve FMOLS, DOLS ve CCR yöntemlerine göre sırayla CDSde meydana gelen 1lik artışın BİST100 endeksinde 28,2, 34,3 ve 29 oranında azalışa sebep olduğu tespit edilmiştir.

Makale detayları

Estimating The Long-Term Effect of Credit Default Swap (Cds) on Borsa Istanbul 100 Index with FMOLS, DOLS and CCR Methods

Yazarlar:

Süreyya Yılmaz Özekenci

Yayıncı:

Manisa Celal Bayar University

Ana Başlıklar:

İktisat Metodolojisi

Dergi:

Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi Vol.21 Issue 3, pp.133-146

Belge Tipi:

Makale

Yayın Tarihi:

9/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001299653

pISSN:

1304-4796

CDS BİST 100 FMOLS DOLS CCRCDS

BİST100

FMOLS

DOLS

CCR

Sayı

Makale detayları

Estimating The Long-Term Effect of Credit Default Swap (Cds) on Borsa Istanbul 100 Index with FMOLS, DOLS and CCR Methods

Yazarlar: Süreyya Yılmaz Özekenci

Yayıncı: Manisa Celal Bayar University

Ana Başlıklar: İktisat Metodolojisi

Dergi: Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi Vol.21 Issue 3, pp.133-146

Belge Tipi: Makale

Yayın Tarihi: 9/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001299653

pISSN: 1304-4796

CDS BİST 100 FMOLS DOLS CCRCDS

BİST100

FMOLS

DOLS

CCR

Sayı

Yazarlar:

Süreyya Yılmaz Özekenci

Yayıncı:

Manisa Celal Bayar University

Ana Başlıklar:

İktisat Metodolojisi

Dergi:

Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi Vol.21 Issue 3, pp.133-146

Belge Tipi:

Makale

Yayın Tarihi:

9/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001299653

pISSN:

1304-4796