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Journals / Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2026 / Volume: 26 Issue: 2

ANALYSIS OF THE RELATIONSHIP BETWEEN CREDIT DEFAULT SWAPS (CDS), THE FEAR INDEX (VIX), AND BIST 100 USING THE WAVELET COHERENCE MODEL

Emine Karaçayır(Karamanoğlu Mehmetbey Üniversitesi)0000-0003-0512-9084
Pages
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Publication Date
2025-06-30
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Moreover, the CDS variable was found to negatively impact the BIST index during the short-term period of 2019-2021.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:High levels of volatility, which reflect fluctuations in the price of a financial asset or instrument, lead investors to monitor global markets more closely.
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Key Findings & Data:The VIX index, closely followed by global investors, signals expectations of increased market volatility when it is at high levels and decreased volatility when it is at low levels.
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Conclusion & Impact:Moreover, the CDS variable was found to negatively impact the BIST index during the short-term period of 2019-2021.
🔬Design:Research Article
📍Scope:2019-2021 Verileri
⚙️Variables:VIX Fear Index · Cds Credit Default Swaps · Wavelet Coherence Analysis

Abstract

High levels of volatility, which reflect fluctuations in the price of a financial asset or instrument, lead investors to monitor global markets more closely. The VIX index, closely followed by global investors, signals expectations of increased market volatility when it is at high levels and decreased volatility when it is at low levels. Increases in the VIX index lead to an increase in CDS premiums, which represent a country’s risk premium. The relationship between the VIX index, which is a global risk indicator, and the BIST 100 index is highly significant for investors operating in Türkiye’s capital markets. This study examines the relationships between CDS premiums, the VIX index, and the BIST 100 index using the Wavelet Coherence Analysis method. The analysis results reveal that the relationship between VIX and CDS varies in intensity and direction over time. Furthermore, it can be seen that the relationship between the VIX and BIST variables is very strong in both the short and long term, with a negative direction from the VIX variable to the BIST variable. Moreover, the CDS variable was found to negatively impact the BIST index during the short-term period of 2019-2021.

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Cite This Article

Karaçayır, E. (2025). ANALYSIS OF THE RELATIONSHIP BETWEEN CREDIT DEFAULT SWAPS (CDS), THE FEAR INDEX (VIX), AND BIST 100 USING THE WAVELET COHERENCE MODEL. Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Volume: 26 Issue: 2. https://doi.org/10.53443/anadoluibfd.1625517

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