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A Research on the Relationship Between Sovereign Credit Default Swap Premiums and Stock Indexes in Emerging Financial Markets

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  • Haşmet Sarıgül

Abstract

In this study Johansen Cointegration test based on VAR analysis was applied in order to determine the existence of long term relationship between default credit swap premiums and stock index values of fourteen developing countries. By using daily data of January, 2016 - July, 2019 period, it was observed that sovereign credit default swap premiums of Argentina, South Africa and Turkey had an impact on each countries stock indexes. Then, Granger Causality Analysis was conducted to determine the existence of short term relationships. The findings revealed that causality relationships exist in all countries except Greece and South Korea.

Suggested Citation

  • Haşmet Sarıgül, 2020. "A Research on the Relationship Between Sovereign Credit Default Swap Premiums and Stock Indexes in Emerging Financial Markets," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 35(114), pages 103-128, October.
    • Handle: RePEc:acc:malfin:v:35:y:2020:i:114:p:103-128
    DOI: https://doi.org/10.33203/mfy.605173
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    Keywords

    Credit default swaps; sovereign credit default swaps; stock prices; stock index;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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