The effect of global risk indicators on developing country stock exchanges: The case of BRICS-T

Global risk factors have great effects on the economies of countries. It is observed that the stock markets of countries are affected by globalization especially in times of global crisis. It has been observed that CDS, VIX and Credit rating agencies have started to be examined recently in order to decrease global risk factors. CDS is a global risk indicators in this study, the VIX and credit rating agencies BRICS-T (Brazil, Russia, India, China, South Africa and Turkey) aimed to investigate the effects of the stock market of the country. During the analysis, the data between the years 2008-2020 for the BRICS-T countries were examined. Due to the access to data for India, the data between 2015-2020 were analyzed. ARDL / Bound Test and ADF Unit Root Tests were used in the analysis. It has been tried to reach the conclusion by looking at CDS, VIX and Stock Exchange indices of the global effects of BRICS-T countries. When examinations were made among BRICS-T countries, it was seen that there was no long-term relationship for China. Brazil, India, South Africa, Russia and Turkey long-term relationship was found. At the same time, in accordance with the purpose of the study, it was determined as a result of the analysis that global risk indicators have an effect on each other and also on BRICS-T country stock markets.