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The Effect of Turkey’s CDS Premium on Borsa Istanbul Indices from an Investor Sentiment Perspective: A Fourier-Based Analysis

Author

Listed:
  • Semra DEMÄ°R

Abstract

This research examines the effect of the country's CDS premium on Borsa Istanbul indices within the framework of investor sentiment using a cointegration test. The main reason to analyze this is to detect which sectors the CDS premium creates investor sentiment. In this context, it tests Fourier-based methods on daily data from 29/12/2014 to 25/12/2024. This study, different from other studies in the literature, uses the sectoral decomposition and Fourier-based tests that can also model unknown sudden and smooth transitions. The reason for choosing this method is that it is believed to optimally reflect the structural breaks in the Borsa Istanbul, which is volatile politically and economically. Among the selected stock market indices, the Turkey CDS premium only affects the Borsa Istanbul Real Estate Investment Trust and Borsa Istanbul Construction, with the effect being statistically significant and a cointegration relationship emerging. This result suggests that the high cost of investments in these sectors and the sensitivity of these sectors to monetary policy decisions and rate changes are reflected in the country’s CDS premium and affect the decisions in the sectors in question.

Suggested Citation

  • Semra DEMÄ°R, 2026. "The Effect of Turkey’s CDS Premium on Borsa Istanbul Indices from an Investor Sentiment Perspective: A Fourier-Based Analysis," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 1.
    • Handle: RePEc:fis:journl:260101
    DOI: 10.25295/fsecon.1675560
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    Keywords

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    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • Z13 - Other Special Topics - - Cultural Economics - - - Economic Sociology; Economic Anthropology; Language; Social and Economic Stratification

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