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Journals / Mehmet Akif Ersoy Üniversitesi Uygulamalı Bilimler Dergisi / 2022 / Cilt: 6 - Sayı: 2

Spread Effect of Exchange Rates and CDS Premium Volatility on BIST Indices

Döviz Kurları ve CDS Primi Oynaklığının BIST Endekslerine Yayılım Etkisi

Hüseyin Başar ÖNEM
Pages
274–293
Publication Date
2022-09-29
DOI
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AI Summary & Key Takeaways

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

As a result of the research, there was a volatility and correlation relationship between the BIST variables of the Dollar and the Euro, while there was a volatility relationship between the CDS premium and BIST variables, and no correlation was found.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Researches on financial markets and the volatility of instruments in these markets have found a place in both national and international literature in recent years.
📊
Key Findings & Data:The aim of this study is to examine the volatility interaction, transmission and correlation between Dollar, Euro, CDS and BIST 30, BIST Bank and BIST Insurance variables by using the CCC-GARCH model.
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Conclusion & Impact:As a result of the research, there was a volatility and correlation relationship between the BIST variables of the Dollar and the Euro, while there was a volatility relationship between the CDS premium and BIST variables, and no correlation was found.
🔬Design:Modeling & Simulation
📍Scope:2017 Verileri
⚙️Variables:Döviz · CDS · BIST

Abstract

Researches on financial markets and the volatility of instruments in these markets have found a place in both national and international literature in recent years. With the effect of globalization, the price volatility of financial markets and instruments can affect other financial assets in many cases. As a result, these issues are important for capital owners and investors. The aim of this study is to examine the volatility interaction, transmission and correlation between Dollar, Euro, CDS and BIST 30, BIST Bank and BIST Insurance variables by using the CCC-GARCH model. The daily opening values of the related variables were used for the periods 02.01.2017-31.12.2021. As a result of the research, there was a volatility and correlation relationship between the BIST variables of the Dollar and the Euro, while there was a volatility relationship between the CDS premium and BIST variables, and no correlation was found.

Özet

Finansal piyasalar ve bu piyasalarda yer alan araçların volatilitesi ile ilgili araştırmalar son yıllarda gerek ulusal gerekse uluslararası literatürde çok fazla kendine yer bulmuştur. Küreselleşmenin de etkisiyle birlikte finansal piyasaların ve araçların fiyat oynaklıkları birçok durumda diğer finansal varlıkları da etkileyebilmektedir. Bunun sonucu olarak sermaye sahipleri ve yatırımcılar açısından bu konular önem arz etmektedir. Bu çalışmanın amacı Dolar, Euro, CDS ile BIST 30, BIST Banka ve BIST Sigorta değişkenleri arasındaki volatilite etkileşimi, aktarımı ve korelasyonunun CCC-GARCH modeli kullanılarak incelenmesidir. Çalışmada ilgili değişkenlerin 02.01.2017-31.12.2021 dönemlerine ait günlük açılış değerleri kullanılmıştır. Araştırma sonucunda Dolar ve Euro’nun BIST değişkenleri ile volatilite ve korelasyon ilişkisine rastlanırken, CDS primi ile BIST değişkenleri arasında volatilite ilişkisi olup, korelasyon ilişkisine rastlanılmamıştır.

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Cite This Article

ÖNEM, H. B. (2022). Spread Effect of Exchange Rates and CDS Premium Volatility on BIST Indices. Mehmet Akif Ersoy Üniversitesi Uygulamalı Bilimler Dergisi, Cilt: 6 - Sayı: 2, 274–293. https://ajindex.com/articles/790548

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