Examining of the relationship between Credit Default Swaps and BIST indices

One of the most preferred credit derivative instruments used in financial markets is the Credit Default Swap. The purpose of this study is to explore the relationship of the CDS premiums of Turkey with the BIST 100 index and the indices of the main sectors (BIST Service, BIST Financial, BIST Industry) and to study if the probable relationship differs from the indices of the main sectors. In the study, cointegration and causality analyzes were carried out with the weekly data set for the period of January 2016-September 2021. While ARDL test results determine the long-term relationship between CDS premiums and BIST indices, the error correction coefficients obtained confirm this relationship. In addition, one-way causality was determined from BIST 100, BIST Service and BIST Industry indices to CDS premiums.