Country CDS premiums and stock market relations: Turkey, Brazil and Russia case

The importance of credit default swap premiums, which are used as a risk assessment criterion, especially in developing countries, has increased in an environment of increasing risk and uncertainty in recent years. As a result of the financial crisis and scandals, credit default swap premiums which make it possible to predict the risk factor that is likely to occur in the future provides the relevant parties (government, customers, investors, etc.) to feel confident. Default swap premiums have been associated with stock market by using 5 year credit data within the range of the years 2011 2020 belonging to Turkey, Brazil, and Russia countries which are among the developing countries. The main purpose of the study is to determine the existence of a long-term balance relationship of stock market returns on credit default swap premiums. For this purpose, Johansen cointegration test, Toda Yamamoto Granger Causality analysis and vector error correction model (VECM) were applied. It has emerged a true casualty all in Turkey, Brazil and Russia countries in stock market returns on credit default swap premiums. However, when it' s looked at the cointegration and long term casualties, it couldn't be seen any result about two variables in terms of being in a long term casualty cointegratedly.