An Analysis of the Relationship Between the Sovereign Credit Default Swaps and the Stock Market of Pakistan Through Handling Outliers

Shear, Falik; Butt, Hilal Anwar; Badshah, Imtiaz

doi:10.20472/efc.2017.008.010

Cited by 3 publications

(2 citation statements)

References 15 publications

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“…Considering the CDS–stock connection concentrated on sovereign CDSs, a few studies have examined the relationship between CDS spreads and the stock market at the country level ([ 4 , 20 , 21 , 22 , 23 , 24 ]). Estimating a vector autoregressive generalized conditional heteroskedastic VAR-BEKK(Baba, Engle, Kraft and Kroner) model, with the purpose of explaining the dependency structures between credit spreads and equity returns of the European market (based on iTraxx Europe index, the Dow Jones Euro Stoxx 50 index and the Dow Jones VStoxx index), Schreiber et al [ 20 ] found that the negative relationship between asset prices and credit spreads is valid only for the pre-crisis period.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The empirical literature that dealt with the CDS–stock market connections has applied multivariate time series models, including the Vector Autoregressive (VAR) model ([ 5 , 13 , 20 , 21 ]), the Vector Error Correction Model ([ 4 , 17 ]), the Granger causality tests ([ 6 , 24 ]), Autoregressive Distributed Lag approach ([ 14 ]) and, recently, new econometric tools such as Markov regime-switching models ([ 15 ]), quantile-on-quantile methodology and the nonparametric causality-in-quantiles tests ([ 11 ]) and transfer entropy ([ 12 ]). The concept of entropy is used to depict nonlinear dependence within the financial returns series [ 25 ].…”

Section: Literature Reviewmentioning

confidence: 99%

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Sovereign Credit Default Swap and Stock Markets in Central and Eastern European Countries: Are Feedback Effects at Work?

Anton

Nucu

2020

Entropy

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The purpose of the paper is to investigate the relationship between sovereign Credit Default Swap (CDS) and stock markets in nine emerging economies from Central and Eastern Europe (CEE), using daily data over the period January 2008–April 2018. The analysis deploys a Vector Autoregressive model, focusing on the direction of Granger causality between the credit and stock markets. We find evidence of the presence of bidirectional feedback between sovereign CDS and stock markets in CEE countries. The results highlight a transfer entropy of risk from the private to public sector over the whole period and respectively, from the public to private transfer entropy of risk during the European sovereign debt crisis only in Romania and Slovenia. Another finding that deserves particular attention is that the linkage between the CDS spreads and stock markets is time-varying and subject to regime shifts, depending on global financial conditions, such as the sovereign debt crisis. By providing insights on the inter-temporal causality of the comovements of the CDS–stock markets, the paper has significant practical implications for risk management practices and regulatory policies, under different market conditions of European emerging economies.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Sovereign Credit Default Swap and Stock Markets in Central and Eastern European Countries: Are Feedback Effects at Work?

Anton

Nucu

2020

Entropy

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Hisse Senedi Getirilerinin Belirleyicileri: BİST Bankacılık Sektörü Üzerine Bir İnceleme

TOPCU

2023

İnsan Ve Toplum Bilimleri Araştırmaları Dergisi

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Çalışma BİST’te işlem gören bankacılık sektörü hisse senetlerinin getirisini etkileyen değişkenler ile Covid 19 pandemi sürecinin söz konusu hisse senetlerinin getirisi üzerindeki etkisine odaklanmaktadır. Ekonometrik panel regresyon modelinde bağımlı değişken olarak 2009-Ocak 2022 yılları arası aylık bankacılık sektörü hisse senetleri getirisi kullanılmıştır. Bağımsız değişken olarak ise aylık Türkiye’nin Kredi Risk Primi (CDS), enflasyon oranları ve ABD dolarına uygulanan mevduat faiz oranları kullanılmıştır. Analiz yöntemi olarak ekonometrik panel veri analiz yöntemi kullanılmış ve modeller bankalar bazında ve panel bazında SUR tahmincisi ile tahmin edilmiştir. Analiz sonuçlarına göre; bağımsız değişkenlerden enflasyonun bankacılık sektörü hisse senedi getirileri üzerindeki etkisinin pozitif, USD doları cinsinden mevduat oranlarının ve Türkiye’nin CDS göstergelerinin ise negatif etkisinin olduğu tespit edilmiştir. Modele kukla değişken olarak dâhil edilen Covid 19 pandemi sürecinin ise negatif etkilediği sonucuna ulaşılmıştır. Tüm bağımsız değişkenlerin ve kukla değişkenin söz konusu hisse senetleri getirisi üzerindeki tespit edilen etkileri istatistiksel olarak anlamlıdır. Bankacılık sektörü hisse senedi getirisinin bağımsız değişkenlerin tümü ile olan uzun dönemli ilişkisi Westerlund (2008) Panel Eşbütünleşme testi ile analiz edilmiştir. Uzun dönemde tüm değişkenlerin bankacılık sektörü hisse senedi getirileri ile birlikte hareket ettiği ortaya konulmuştur. Ayrıca sektördeki bazı bankaların hisse senedi getirisi arasında Garanti Bankası ile Akbank (0,94), İş bankası-Akbank (0,91), Vakıfbank-Akbank (0,90), Vakıfbank-Garanti Bankası (0,89) yüksek düzeyde korelasyon olduğu saptanmıştır.

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Effects of Türkiye’s Credit Rantings and Credit Default Swaps (CDS) on BIST ALL

Keskin

2024

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In the study, the relationship between Turkey's Credit Default Swaps (CDS) premiums and credit ratings of Standard and Poor's (S&P), Moody's Investors Service (Moody's) and Fitch Ratings (CRA) and the BIST ALL index listed in Borsa Istanbul and The aim is to observe their effects on each other. The universe of the study; consists of 3956 daily Turkey CDS credit risk premiums and BIST ALL data and 93 credit ratings given by CRAs in the period 2009:1–2024:4. The effect of the increase or decrease in CDS and credit scores on the closing values of the BIST ALL index was analysed with Johansen cointegration and Granger causality tests. Findings obtained in the study; Increasing the credit rating and outlook of CRAs causes an increase in BIST ALL closing values in the short term. The change in Türkiye CDS premiums triggers changes in BIST ALL closing values in the short and long term. Finally, the study concluded that the change in CDS premiums has a negative effect on BIST ALL, while the increase in credit score and outlook has a positive effect on BIST ALL.

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An Analysis of the Relationship Between the Sovereign Credit Default Swaps and the Stock Market of Pakistan Through Handling Outliers

Cited by 3 publications

References 15 publications

Sovereign Credit Default Swap and Stock Markets in Central and Eastern European Countries: Are Feedback Effects at Work?

Sovereign Credit Default Swap and Stock Markets in Central and Eastern European Countries: Are Feedback Effects at Work?

Hisse Senedi Getirilerinin Belirleyicileri: BİST Bankacılık Sektörü Üzerine Bir İnceleme

Effects of Türkiye’s Credit Rantings and Credit Default Swaps (CDS) on BIST ALL

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