Kredi Temerrüt Takasının (Cds) Borsa İstanbul 100 Endeksine Uzun Dönemdeki Etkisinin FMOLS, DOLS ve CCR Yöntemleri İle Tahmini
Estimating The Long-Term Effect of Credit Default Swap (Cds) on Borsa Istanbul 100 Index with FMOLS, DOLS and CCR Methods

Summary/Abstract: 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.

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