Yatırımcı Duyarlılığı ve Ülke Kredi Riskinin Borsa Sektör Endekslerine Etkisi: Kantil-Kantil Regresyon Yöntemi Uygulaması
The Impact of Investor Sentiment (VIX) and Sovereign Credit Risk (CDS) on Stock Market Sector Indices: An Application of the Quantile-on-Quantile Regression Method

Summary/Abstract: This study examines the effects of investor sentiment, represented by the Volatility Index (VIX), and sovereign credit risk, reflected by the five-year CDS premium, on two benchmark indices (XU100, XU030) and eight sectoral indices (XBANK, XUSIN, XUHIZ, XUTEK, XHOLD, XULAS, XUMAL, XKMYA) listed on Borsa Istanbul. The Quantile-on-Quantile Regression method is applied using daily data from January 2015 to May 2025. The findings reveal that both indicators have statistically significant and varying impacts on index returns not only at the mean level but also across different quantiles of the return distribution. The effect of VIX is found to be predominantly negative and strong during high-volatility periods, whereas some sectors display positive pricing behavior under low-volatility conditions. In the case of CDS premiums, the results vary by sector, with notable positive responses at higher quantiles, particularly in XBANK, XULAS, and XHOLD indices. These findings demonstrate that the effects of risk indicators emerge in a heterogeneous and asymmetric manner, depending on the market regime and sectoral structure. It is concluded that investor behavior is sensitive to market conditions, and accounting for sector-specific vulnerabilities is essential for effective policy formulation and portfolio management.

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