Global Risk Algılamasının Gelişmekte Olan Piyasalara Etkisi Türkiye Örneği

Erk, Hacıhasanoğlu
Soytaş, Uğur
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.
AİBÜ - İİBF Ekonomik ve Sosyal Araştırmalar Dergisi


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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: