Global Risk Algılamasının Gelişmekte Olan Piyasalara Etkisi Türkiye Örneği

Date

2009-01-01

Author

Erk, Hacıhasanoğlu
Soytaş, Uğur

Metadata

Show full item record

Item Usage Stats

199
views

0
downloads

This paper studies the impact of the intense volatility in world financial markets on the credit default risk spread for the 01.01.2007-31.12.2008 period in Turkey. We use the VIX index which is derived from the S-P 500 option prices to represent the volatility in world financial markets. We find permanent effect of changes in the volatility of interantional financial markets on Turkish credit default premium, İstanbul Stock Exchange (ISE), and the government bond markets. We also discover that the governmet bond markets are also affected by changes in the credit default spread in Turkey. Our results show that international sources of risk should be accounted for in domestic risk measurements.

Subject Keywords

Credit default risk spread, Government Bond Market, Istanbul Stock Exchange, International Financial Market Volatility

URI

https://hdl.handle.net/11511/86372
https://dergipark.org.tr/tr/pub/esad/issue/6052/81376

Journal

AİBÜ - İİBF Ekonomik ve Sosyal Araştırmalar Dergisi

Collections

Department of Business Administration, Article

Suggestions

OpenMETU
Core

Testing for rational bubbles in the Turkish stock market Başoğlu, Fatma; Sezer, Ali Devin; Department of Financial Mathematics (2012) In this thesis we empirically examine whether the Turkish stock market is driven by rational bubbles over the period between March 1990 and February 2012. The bubble periods are estimated using a recently developed right-tailed unit root test, the generalized sup augmented Dickey-Fuller test of Phillips, Shi and Yu (2011a). Applying their bubble detection and location strategies to weekly price dividend ratio series, we find strong evidence for the existence of rational bubbles in the Turkish stock market b...
Non-linear structure of the Turkish interest rate transmission mechanism Bozok, İhsan; Yıldırım Kasap, Dilem; Department of Economics (2012) This paper empirically analyses the interest rate transmission mechanism from money market rate to lending rate by utilizing the bank-level data in the distinction of cash, automobile, housing and corporate loans in Turkey. The main objective is to reveal the possible asymmetries of the adjustment process as well as the extent of the pass through. Empirical results indicate that mark-up value is the minimum for corporate rates on average, followed by housing, automobile and cash rates, respectively. Additio...
Information in the financial news: effect of market commentary on stock market performance Giray, Aynur; Danışoğlu, Seza; Department of Business Administration (2012) This paper studies the effect of investment sentiment on asset prices. A sentiment proxy is calculated by performing content analysis on the Wall Street Journal‘s "Heard on the Street‘ columns. This proxy is extracted by the principal component analysis of the word tags from the Harvard psychological dictionary that is used by the content analysis software General Inquirer. The relationship between stock prices, trading volume and the media sentiment proxy is estimated within the VAR context. Results sugges...
How does the stock market volatility change after inception of futures trading? Esen, İnci; Danışoğlu, Seza; Department of Financial Mathematics (2007) As the trading volume in TURKDEX, the first and only options and futures exchange in Turkey, increases, it becomes more important to have an understanding of the effect of stock index futures trading on the underlying spot market volatility. In this respect, this thesis analyzes the effect of ISE-National 30 index futures contract trading on the underlying stocks’ volatility. In this thesis, spot portfolio volatility is decomposed into two components and this decomposition is applied to a single-factor retu...
Business cycles in emerging market economies: the role of financial shocks Pirgan Matur, Eser; Parmaksız, Ömer Kağan; Kılınç, Mustafa; Department of Economics (2014) This dissertation documents the differences in the course of macroeconomic volatility in emerging market economies and advanced countries. Then the dynamics of emerging market business cycles and macroeconomic effects of financial shocks are investigated using a small open economy real business cycle model with credit constraints calibrated to the Turkish economy. The results indicate that the impact of financial shocks crucially depends on whether the firms can access to alternative sources of finance when...

Citation Formats

H. Erk and U. Soytaş, “Global Risk Algılamasının Gelişmekte Olan Piyasalara Etkisi Türkiye Örneği,” AİBÜ - İİBF Ekonomik ve Sosyal Araştırmalar Dergisi, pp. 39–50, 2009, Accessed: 00, 2021. [Online]. Available: https://hdl.handle.net/11511/86372.