The effect of VIX index and CDS premiums on BIST-30 and KAT-30 indices

COVID-19, which has surrounded the world as a global epidemic that started in 2019, has caused great damage to the economies of countries. Based on this, the effect of CDS premium and VIX index on BIST-30 and Participation-30 index before and during the pandemic period in the study, If there is an effect, is intended to determine the dimensions of this effect, that is, to find out whether the CDS premium and VIX index affect the BIST-30 index or the Participation-30 index more. Knowing how these indices interact before and during the pandemic period and the results from the study will be a guide for investors, and the fact that such a comparison has not yet been made increases the importance of the research. In this dissertation, the relationship between variables using the CDS premiums, VIX, BIST-30 and KAT-30 indices was divided into three groups and into two periods, before the pandemic and pandemic period. The date range is determined as the pre-pandemic period as 02.01.2018-10.03.2020 and the pandemic period as 11.03.2020-31.12.21. FMOLS regression testing was used to determine the impact relationship between variables with Johansen Combination and ARDL approach. As a result of the harmonization tests, the long-term co-ordination relationship was determined between the CDS premiums and the VIX index and the BIST-30 both Participation-30 indices during the pre-pandemic and pandemic period. As a result of the FMOLS regression test to determine the level of impact, it was observed that the effect of the CDS premium and VIX index on the Participation-30 index was greater before and during the pandemic period.