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KAMU FİNANSMANI, FİNANSAL PİYASALAR VE KREDİ TEMERRÜT RİSKİ: TÜRKİYE VE BRICS ÜLKELERİ UYGULAMASI

Year 2019, Volume: 20 Issue: 1, 226 - 240, 31.05.2019

Sedat Yenice , Şaban Çelik , Yasin Erdem Çevik

Abstract

Bu
çalışmanın amacı Türkiye ile Brezilya, Rusya, Hindistan, Çin ve Güney Afrika
(BRICS) ülkelerindeki tahvil piyasası, hisse senedi piyasası ile CDS primleri
arasındaki uzun dönem ilişkiyi ülke bazında ortaya koymaktır. Özsermaye ve
tahvil piyasalarının CDS piyasalarıyla olan ilişkisini Türkiye ile BRICS
ülkeleri kapsamında ortaya konması amacıyla araştırmada eşbütünleşme ve
nedensellik analizleri uygulanmıştır. Araştırma sonuçları, genel olarak bu
piyasalardaki eşbütünleşme ve nedensellik ilişkisinin incelenen analiz dönemi
itibariyle farklılıklar içerdiğini göstermektedir.

Keywords

kamu finansı sermaye piyasaları ülke risk primi

References

  • ACARAVCI, S. K ve KARAÖMER, M. Y. (2017) “Borsa İstanbul (BİST-100) ve Kredi Temerrüt Takası (CDS) Arasındaki İlişkinin İncelenmesi” In Mediterranean International Conference on Social Sciences by UDG (p. 260).
  • ACHARYA, V. V., ve JOHNSON, T. C. (2007). “Insider Trading in Credit Derivatives” Journal of Financial Economics, 84(1), 110-141.
  • ALPER, D. (2011). Kredi İflas Takası CDS. Bursa: Ekin Yayınları.
  • BALI, S., ve YILMAZ, Z.(2012)”Kredi temerrüt takası marjları ile İMKB 100 endeksi arasındaki ilişki” XVI. Finans Sempozyumunda Sunulmuş Bildiri.
  • BAŞARIR, Ç., ve KETEN, M. (2016). “Gelişmekte Olan Ülkelerin Cds Primleri İle Hisse Senetleri Ve Döviz Kurları Arasındaki Kointegrasyon İlişkisi.” Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 8(15), 369-380.
  • BEKTUR, Ç., ve MALCİOĞLU, G. (2017). “Kredi Temerrüt Takaslari ile BİST 100 Endeksi Arasindaki İlişki: Asimetrik Nedensellik Analizi.”Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 1(2).
  • BRICS. (2017). What is BRICS?. (Internet URL: h https://www.brics2017.org/English/AboutBRICS/BRICS/ Erisim 18.02.2018)CEYLAN, İ. E.; CEYLAN, F.; TUZUN, O., ve EKİNCİ, R. (2018). “The Effect of Credit Default Swaps (cds) on BİST100 in Turkey: Ms-Var Approach.” Ecoforum journal, 7(1).
  • CHEN, L. H.; HAMMOUDEH, S. ve YUAN, Y. (2011). “Asymmetric Convergence in Us Financial Credit Default Swap Sector İndex Markets.” The Quarterly Review of Economics and Finance, 51(4), 408-418.
  • DİCKEY, D. A., ve FULLER, W. A. (1979). “Distribution af The Estimators for Autoregressive Time Series With a Unit Root.” Journal of the American statistical association, 74(366a), 427-431.
  • ENGLE, R. F., ve GRANGER, C. W. (1987). “Co-İntegration and Error Correction: Representation, Estimation, and Testing.” Econometrica: journal of the Econometric Society, 251-276.
  • EYÜBOĞLU, K., ve EYÜBOĞLU, S. (2016). “Doğal Gaz ve Petrol Fiyatları ile BIST Sanayi Sektörü Endeksleri Arasındaki İlişkinin İncelenmesi.” Journal of Yaşar University, 11(42), 150-162.
  • FLANNERY, M. J.; HOUSTON, J. F. ve PARTNOY, F. (2010). “Credit Default Swap Spreads as Viable Substitutes for Credit Ratings.” University of Pennsylvania Law Review, 2085-2123.
  • FORTE, S., ve PENA, J. I. (2009). “Credit Spreads: an Empirical Analysis on the İnformational Content of Stocks, Bonds, And CDS.” Journal of Banking & Finance, 33(11), 2013-2025.
  • FUNG, H. G.; SİERRA, G. E.; YAU, J. ve ZHANG, G. (2008). “Are the Us Stock Market and Credit Default Swap Market Related? Evidence from the CDX Indices.” The Journal of Alternative Investments, 11(1), 43-61.
  • GRANGER, C. W. (1969). “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods.” Econometrica: Journal of the Econometric Society, 424-438.
  • HASSAN, M. K.; NGOW, T. S.; YU, J. S. ve HASSAN, A. (2013). “Determinants of Credit Default Swaps Spreads in European and Asian Markets.” Journal of Derivatives & Hedge Funds, 19(4), 295-310.
  • HİLSCHER, J.; POLLET, J. M. ve WİLSON, M. (2015). “Are Credit Default Swaps a Sideshow? Evidence That Information Flows from Equity to CDS Markets.” Journal of Financial and Quantitative Analysis, 50(3), 543-567.
  • JOHANSEN, S. (1988). “Statistical analysis of cointegration vectors.” Journal of economic dynamics and control, 12(2-3), 231-254.
  • JOHANSEN, S. ve JUSELİUS, K. (1990). “Maximum Likelihood Estimation and Inference on Cointegration—With Applications to the Demand for Money.” Oxford Bulletin of Economics and Statistics, 52(2), 169-210.
  • KOY, A. (2014). “Kredi Temerrüt Swapları ve Tahvil Primleri Üzerine Ampirik Bir Çalışma”. International Review of Economicsand Management, 2(2), 63-79.
  • KUNT, A. S. ve TAŞ, O. (2009). “Kredi Temerrüt Swapları ve Türkiye'nin CDS Priminin Tahmin Edilmesine Yönelik Bir Uygulama.” İTÜ Dergisi/b, 5(1).
  • NORDEN, L. ve WEBER, M. (2004). “Informational Efficiency of Credit Default Swap and Stock Markets: The İmpact of Credit Rating Announcements.” Journal of Banking & Finance, 28(11), 2813-2843.
  • NORDEN, L.ve WEBER, M. (2009). “The Co-Movement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis.” European Financial Management,15(3), 529-562.
  • O'NEİLL, J. (2001). Building better global economic BRICs. (Internet URL: http://www.elcorreo.eu.org/IMG/pdf/Building_Better_Global_Economic_Brics.pdf Erisim 18.02.2018)
  • PHİLLİPS, P. C., ve PERRON, P. (1988). “Testing for a Unit Root in Time Series Regression”. Biometrika, 75(2), 335-346.
  • TOLİKAS, K. ve TOPALOGLOU, N. (2017). “Is Default Risk Priced Equally Fast in the Credit Default Swap and the Stock Markets? AN Empirical Investigation.” Journal of International Financial Markets, Institutions and Money, 51, 39-57.
  • TURGUTTOPBAŞ, N. (2013). “Kredi Temerrüt Swapları ve İlgili Riskin Gerçekleşmesi Durumunda Uygulanan Hukuki Prosedür.” Bankacılar Dergisi, 84, 37 – 53.
  • YENİCE, S., ve HAZAR, A. (2015). “A Study for the Interaction between Risk Premiums and Stock Exchange in Developing Countries.” Journal of Economics Finance and Accounting, 2(2).
  • ZHU, H. (2006). “An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market.” Journal of Financial Services Research, 29(3), 211-235.

Year 2019, Volume: 20 Issue: 1, 226 - 240, 31.05.2019

Sedat Yenice , Şaban Çelik , Yasin Erdem Çevik

Abstract

References

  • ACARAVCI, S. K ve KARAÖMER, M. Y. (2017) “Borsa İstanbul (BİST-100) ve Kredi Temerrüt Takası (CDS) Arasındaki İlişkinin İncelenmesi” In Mediterranean International Conference on Social Sciences by UDG (p. 260).
  • ACHARYA, V. V., ve JOHNSON, T. C. (2007). “Insider Trading in Credit Derivatives” Journal of Financial Economics, 84(1), 110-141.
  • ALPER, D. (2011). Kredi İflas Takası CDS. Bursa: Ekin Yayınları.
  • BALI, S., ve YILMAZ, Z.(2012)”Kredi temerrüt takası marjları ile İMKB 100 endeksi arasındaki ilişki” XVI. Finans Sempozyumunda Sunulmuş Bildiri.
  • BAŞARIR, Ç., ve KETEN, M. (2016). “Gelişmekte Olan Ülkelerin Cds Primleri İle Hisse Senetleri Ve Döviz Kurları Arasındaki Kointegrasyon İlişkisi.” Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 8(15), 369-380.
  • BEKTUR, Ç., ve MALCİOĞLU, G. (2017). “Kredi Temerrüt Takaslari ile BİST 100 Endeksi Arasindaki İlişki: Asimetrik Nedensellik Analizi.”Abant İzzet Baysal Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 1(2).
  • BRICS. (2017). What is BRICS?. (Internet URL: h https://www.brics2017.org/English/AboutBRICS/BRICS/ Erisim 18.02.2018)CEYLAN, İ. E.; CEYLAN, F.; TUZUN, O., ve EKİNCİ, R. (2018). “The Effect of Credit Default Swaps (cds) on BİST100 in Turkey: Ms-Var Approach.” Ecoforum journal, 7(1).
  • CHEN, L. H.; HAMMOUDEH, S. ve YUAN, Y. (2011). “Asymmetric Convergence in Us Financial Credit Default Swap Sector İndex Markets.” The Quarterly Review of Economics and Finance, 51(4), 408-418.
  • DİCKEY, D. A., ve FULLER, W. A. (1979). “Distribution af The Estimators for Autoregressive Time Series With a Unit Root.” Journal of the American statistical association, 74(366a), 427-431.
  • ENGLE, R. F., ve GRANGER, C. W. (1987). “Co-İntegration and Error Correction: Representation, Estimation, and Testing.” Econometrica: journal of the Econometric Society, 251-276.
  • EYÜBOĞLU, K., ve EYÜBOĞLU, S. (2016). “Doğal Gaz ve Petrol Fiyatları ile BIST Sanayi Sektörü Endeksleri Arasındaki İlişkinin İncelenmesi.” Journal of Yaşar University, 11(42), 150-162.
  • FLANNERY, M. J.; HOUSTON, J. F. ve PARTNOY, F. (2010). “Credit Default Swap Spreads as Viable Substitutes for Credit Ratings.” University of Pennsylvania Law Review, 2085-2123.
  • FORTE, S., ve PENA, J. I. (2009). “Credit Spreads: an Empirical Analysis on the İnformational Content of Stocks, Bonds, And CDS.” Journal of Banking & Finance, 33(11), 2013-2025.
  • FUNG, H. G.; SİERRA, G. E.; YAU, J. ve ZHANG, G. (2008). “Are the Us Stock Market and Credit Default Swap Market Related? Evidence from the CDX Indices.” The Journal of Alternative Investments, 11(1), 43-61.
  • GRANGER, C. W. (1969). “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods.” Econometrica: Journal of the Econometric Society, 424-438.
  • HASSAN, M. K.; NGOW, T. S.; YU, J. S. ve HASSAN, A. (2013). “Determinants of Credit Default Swaps Spreads in European and Asian Markets.” Journal of Derivatives & Hedge Funds, 19(4), 295-310.
  • HİLSCHER, J.; POLLET, J. M. ve WİLSON, M. (2015). “Are Credit Default Swaps a Sideshow? Evidence That Information Flows from Equity to CDS Markets.” Journal of Financial and Quantitative Analysis, 50(3), 543-567.
  • JOHANSEN, S. (1988). “Statistical analysis of cointegration vectors.” Journal of economic dynamics and control, 12(2-3), 231-254.
  • JOHANSEN, S. ve JUSELİUS, K. (1990). “Maximum Likelihood Estimation and Inference on Cointegration—With Applications to the Demand for Money.” Oxford Bulletin of Economics and Statistics, 52(2), 169-210.
  • KOY, A. (2014). “Kredi Temerrüt Swapları ve Tahvil Primleri Üzerine Ampirik Bir Çalışma”. International Review of Economicsand Management, 2(2), 63-79.
  • KUNT, A. S. ve TAŞ, O. (2009). “Kredi Temerrüt Swapları ve Türkiye'nin CDS Priminin Tahmin Edilmesine Yönelik Bir Uygulama.” İTÜ Dergisi/b, 5(1).
  • NORDEN, L. ve WEBER, M. (2004). “Informational Efficiency of Credit Default Swap and Stock Markets: The İmpact of Credit Rating Announcements.” Journal of Banking & Finance, 28(11), 2813-2843.
  • NORDEN, L.ve WEBER, M. (2009). “The Co-Movement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis.” European Financial Management,15(3), 529-562.
  • O'NEİLL, J. (2001). Building better global economic BRICs. (Internet URL: http://www.elcorreo.eu.org/IMG/pdf/Building_Better_Global_Economic_Brics.pdf Erisim 18.02.2018)
  • PHİLLİPS, P. C., ve PERRON, P. (1988). “Testing for a Unit Root in Time Series Regression”. Biometrika, 75(2), 335-346.
  • TOLİKAS, K. ve TOPALOGLOU, N. (2017). “Is Default Risk Priced Equally Fast in the Credit Default Swap and the Stock Markets? AN Empirical Investigation.” Journal of International Financial Markets, Institutions and Money, 51, 39-57.
  • TURGUTTOPBAŞ, N. (2013). “Kredi Temerrüt Swapları ve İlgili Riskin Gerçekleşmesi Durumunda Uygulanan Hukuki Prosedür.” Bankacılar Dergisi, 84, 37 – 53.
  • YENİCE, S., ve HAZAR, A. (2015). “A Study for the Interaction between Risk Premiums and Stock Exchange in Developing Countries.” Journal of Economics Finance and Accounting, 2(2).
  • ZHU, H. (2006). “An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market.” Journal of Financial Services Research, 29(3), 211-235.
There are 29 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Sedat Yenice 0000-0003-4232-329X

Şaban Çelik 0000-0002-4918-4598

Yasin Erdem Çevik 0000-0003-3684-6668

Publication Date May 31, 2019
Submission Date December 13, 2018
Published in Issue Year 2019Volume: 20 Issue: 1

Cite

APA Yenice, S., Çelik, Ş., & Çevik, Y. E. (2019). KAMU FİNANSMANI, FİNANSAL PİYASALAR VE KREDİ TEMERRÜT RİSKİ: TÜRKİYE VE BRICS ÜLKELERİ UYGULAMASI. Cumhuriyet Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 20(1), 226-240. https://doi.org/10.37880/cumuiibf.496595
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