ARAP BAHARI COĞRAFYASINDAN GELEN HABERLERİN CDS PRİMLERİ ÜZERİNDEKİ ETKİSİ: TÜRKİYE ÖRNEĞİ

İbrahim Bozkurt; Muhammed Veysel Kaya

doi:10.18092/ulikidince.292772

Araştırma Makalesi

ARAP BAHARI COĞRAFYASINDAN GELEN HABERLERİN CDS PRİMLERİ ÜZERİNDEKİ ETKİSİ: TÜRKİYE ÖRNEĞİ

Yıl 2018, Sayı: 20, 1 - 16, 10.01.2018

İbrahim Bozkurt Muhammed Veysel Kaya

https://doi.org/10.18092/ulikidince.292772

Cited By: 10

Öz

Bir ülkenin CDS primleri, ekonomik ve finansal gelişmelerle birlikte yatırımcıların risk algısına etki edebilecek
nitelikte olan siyasi, askeri ve toplumsal olaylardan da olumlu ya da olumsuz şekilde etkilenir. Yatırımcı risk
algısına etki eden olaylardan biri de global olaylar ve global olaylardan kaynaklanan global risklerdir. Global
risk, uluslararası nitelikteki olayların finansal araçların getirisinde meydana getireceği değişimler olarak
tanımlanmaktadır. Bu bağlamda, bu çalışma, Arap Baharı coğrafyasında yer alan ve Türkiye’ye sınır olan
ülkelerden Irak, İran ve Suriye ile ilgili iyi ve kötü haberlerin, Türkiye’nin 5 yıl vadeli CDS primleri üzerindeki
etkisini incelemeyi amaç edinmiştir. Olay çalışması yönteminin kullanıldığı çalışmada; 2010-2013 dönemine
ait, Irak, İran ve Suriye ile ilgili haberler ile Türkiye’nin 5 yıl vadeli CDS primleri veri olarak kullanılmıştır. Çalışma
sonucunda; sadece İran’a ait hem iyi hem de kötü haberlerin, Türkiye’nin CDS primlerine diğer bir ifadeyle
Türkiye’nin ülke riskine etki ettiği ortaya konulmuştur. Edindiği amaç ve ele aldığı konuya ilişkin olarak ortaya
koyduğu bulguları ile çalışmanın ilgili yazına önemli katkılar sağladığı düşünülmektedir.

Anahtar Kelimeler

CDS, Ülke Riski, Uluslararası Haberler, Anormal Getiri

Kaynakça

Aydın, N., Başar, M. ve Coşkun, M.. (2010). Finansal Yönetim. Ankara: Detay Yayıncılık.
Beers, D.T. ve Cavanaugh, M.. (2008). Sovereign Credit Ratings: A Primer. Standard & Poor's.
Brandorf, C. ve Holmberg, J.. (2010). Determinants of Sovereign Credit Default Swap Spreads for PIIGS– A Macroeconomic Approach. Bachelor Thesis, Lund Uniiversity School of Economics and Management.
Chan, Y.C. ve Wei, K.C.J.. (1996). Political Risk and Stock Price Volatility: The Case of Hong Kong, Pacific-Basin Finance Journal, 4(2), 259-275.
Cosset, J.C. ve Suret, J.M.. (1995). Political Risk and The Benefits of International Portfolio Diversification, Journal of International Business Studies, 26(2), 301-318.
Cossin, D. ve Jung, G.. (2005). Do Major Financial Crises Provide İnformation On Sovereign Risk to The Rest of The World? A Look at Credit Default Swap Markets. International Center for Financial Asset Management and Engineering, 134, 1-31.
Di Cesare, A. ve Guazzarotti, G.. (2010). An Analysis of The Determinants Of Credit Default Swap Spread Changes Before and During the Subprime Financial Turmoil, Banca d'Italia, 749, 5-37.
Duffie, D.. (1999). Credit Swap Valuation, Financial Analysts Journal, 73-87.
Erb, C., Harvey, C. ve Viskanta, T.. (1998). Risk in Emerging Markets. The Financial Survey, 42-46.
Ercan, M.K. ve Ban, Ü.. (2005). Finansal Yönetim. Ankara: Gazi Kitabevi.
Ferson, W.E. ve Harvey, C.R. (1997). Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing, Journal of Banking & Finance, 21(11), 1625-1665.
Flannery, M.J., Houston, J.F. ve Partnoy, F.. (2010). Credit Default Swap Spreads As Viable Substitutes For Credit Ratings. University of Pennsylvania Law Review, 2085-2123.
Fontana, A. and Scheicher, M.. (2010). An Analysis of Euro Area Sovereign CDS and Their Relation with Government Bonds. European Central Bank (ECB) Working Paper, No: 1271.
Harvey, C.R., Solnik, B. ve Zhou, G. (2002). What determines expected international asset returns?, Annals of Economics and Finance, 3(2), 249-98.
http://www.bloomberght.com
https://products.markit.com,
http://www.bbc.co.uk/turkce/,
http://www.milliyet.com.tr/
http://www.hurriyet.com.tr/anasayfa/
Hendricks, K.B. ve Singhal, V.R.. (2008). The Effect of Supply Chain Disruptions on Shareholder Value, Total Quality Management, 19(7), 777-791.
Huang, R.D.. (1985) Common Stock Returns and Presidential Elections. Financial Analysts Journal, 41, 58-61
Hull, J.C. ve White, A.. (2000). Valuing Credit Default Swaps I: No Counterparty Default Risk, Journal of Derivatives, 8, 29-40.
Kibaroğlu, M.. (2011). Arap baharı ve Türkiye, Adam Akademi, 2(2), 6-36
Lobo, B.J.. (1999). Jump Risk in the U.S. Stock Market: Evidence Using Political Information, Review of Financial Economics, 8(2), 149-163.
Longstaff, F.A., Pan, J., Pedersen, L.H. ve Singleton, K.J.. (2011). How Sovereign Is Sovereign Credit Risk? American Economic Journal, 3(2), 75-103.
Mateus, T.. (2004). The Risk and Predictability of Equity Returns of The EU Accession Countries, Emerging Markets Review, 5(2), 241-266.
Mora, N.. (2006). Sovereign Credit Ratings: Guilty Beyond Reasonable Doubt?. Journal of Banking & Finance, 30(7), 2041-2062.
Norden, L. ve Weber, M.. (2009). The Co‐movement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis, European financial management, 15(3), 529-562.
Plank, T.J.. (2010). Do Macro-Economic Fundamentals Price Emerging Market Sovereign CDS Spreads?, Available at SSRN: http://ssrn.com/abstract=1765352 or http://dx.doi.org/10.2139/ssrn.1765352 (12.07.2014).
Remolona, E.M., Scatigna, M. ve Wu, E.. 2008. The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion, The Journal of Fixed Income, 17(4), 57-71.
Saens, R. ve Sandoval, E.. (2005). Measuring Security Price Performance Using Chilean Daily Stock Returns: The Event Study Method, Cuadernos De Economia, 42, 307-328.
Sand, H.J.H.. (2012). The Impact of Macro-Economic Variables On The Sovereign CDS Spreads Of The Eurozone Countries. Master’s Thesis, University of Groningen.
Skinner, F.S. ve Townend, T.G.. (2002). An empirical Analysis Of Credit Default Swaps, International Review of Financial Analysis, 11(3), 297 -309.
Tuominen, T.. (2005). Corporate Layoff Announcements And Shareholder Value: Empirical Evidence from Finland. Master’s Thesis, Lappeenranta University of Technology, Kuala Lumpur.
Yaprakli, S. ve Güngör, B.. (2007). Ülke Riskinin Hisse Senedi Fiyatlarına Etkisi: İMKB 100 Endeksi Üzerine Bir Araştırma, Ankara Üniversitesi SBS Dergisi, 62(2), 199-218.
Bozkurt, İ., Öksüz, S. ve Karakuş, R. (2015). Finansal Tablo İlanlarının Hisse Getirileri Üzerindeki Etkisi: BİST’de ampirik Bir Uygulama. Maliye ve Finans Yazıları, 29 (103), 113-140.

THE EFFECT OF THE NEWS THAT COME FROM THE ARAB SPRING REGION ON CDS PREMIUMS: EVIDENCE FROM TURKEY

Yıl 2018, Sayı: 20, 1 - 16, 10.01.2018

İbrahim Bozkurt Muhammed Veysel Kaya

https://doi.org/10.18092/ulikidince.292772

Cited By: 10

Öz

The credit default swap spreads of a country are affected positively or negatively by economic and financial
headwinds in addition to political, military and social events which have an impact on investors’ risk
perception. One of the events, which affect the investors’ risk perception, is also global events and
consequent global risks. Global risk is defined as the changes in the returns of the financial instruments which
will be caused by international developments. In this context, this study aims to analyse the effect of good
and bad news related to Iraq Iran and Syria on Turkey’s 5-year term CDS premiums. In this study that used
event study methodology, the news related to Iraq Iran and Syria and Turkey’s 5-year term CDS premiums
were used as data. As a result of this study, it was found that only the good and bad news related to Iran had
an effect on Turkey’s CDS premiums, in other words, Turkey’s sovereign risk. It is thought that this study
contributes to the related literature by revealing findings regarding its subject and purpose

Anahtar Kelimeler

Credit Default Swap, Sovereign Risk, İnternational news, Abnormal Return

Kaynakça

Aydın, N., Başar, M. ve Coşkun, M.. (2010). Finansal Yönetim. Ankara: Detay Yayıncılık.
Beers, D.T. ve Cavanaugh, M.. (2008). Sovereign Credit Ratings: A Primer. Standard & Poor's.
Brandorf, C. ve Holmberg, J.. (2010). Determinants of Sovereign Credit Default Swap Spreads for PIIGS– A Macroeconomic Approach. Bachelor Thesis, Lund Uniiversity School of Economics and Management.
Chan, Y.C. ve Wei, K.C.J.. (1996). Political Risk and Stock Price Volatility: The Case of Hong Kong, Pacific-Basin Finance Journal, 4(2), 259-275.
Cosset, J.C. ve Suret, J.M.. (1995). Political Risk and The Benefits of International Portfolio Diversification, Journal of International Business Studies, 26(2), 301-318.
Cossin, D. ve Jung, G.. (2005). Do Major Financial Crises Provide İnformation On Sovereign Risk to The Rest of The World? A Look at Credit Default Swap Markets. International Center for Financial Asset Management and Engineering, 134, 1-31.
Di Cesare, A. ve Guazzarotti, G.. (2010). An Analysis of The Determinants Of Credit Default Swap Spread Changes Before and During the Subprime Financial Turmoil, Banca d'Italia, 749, 5-37.
Duffie, D.. (1999). Credit Swap Valuation, Financial Analysts Journal, 73-87.
Erb, C., Harvey, C. ve Viskanta, T.. (1998). Risk in Emerging Markets. The Financial Survey, 42-46.
Ercan, M.K. ve Ban, Ü.. (2005). Finansal Yönetim. Ankara: Gazi Kitabevi.
Ferson, W.E. ve Harvey, C.R. (1997). Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing, Journal of Banking & Finance, 21(11), 1625-1665.
Flannery, M.J., Houston, J.F. ve Partnoy, F.. (2010). Credit Default Swap Spreads As Viable Substitutes For Credit Ratings. University of Pennsylvania Law Review, 2085-2123.
Fontana, A. and Scheicher, M.. (2010). An Analysis of Euro Area Sovereign CDS and Their Relation with Government Bonds. European Central Bank (ECB) Working Paper, No: 1271.
Harvey, C.R., Solnik, B. ve Zhou, G. (2002). What determines expected international asset returns?, Annals of Economics and Finance, 3(2), 249-98.
http://www.bloomberght.com
https://products.markit.com,
http://www.bbc.co.uk/turkce/,
http://www.milliyet.com.tr/
http://www.hurriyet.com.tr/anasayfa/
Hendricks, K.B. ve Singhal, V.R.. (2008). The Effect of Supply Chain Disruptions on Shareholder Value, Total Quality Management, 19(7), 777-791.
Huang, R.D.. (1985) Common Stock Returns and Presidential Elections. Financial Analysts Journal, 41, 58-61
Hull, J.C. ve White, A.. (2000). Valuing Credit Default Swaps I: No Counterparty Default Risk, Journal of Derivatives, 8, 29-40.
Kibaroğlu, M.. (2011). Arap baharı ve Türkiye, Adam Akademi, 2(2), 6-36
Lobo, B.J.. (1999). Jump Risk in the U.S. Stock Market: Evidence Using Political Information, Review of Financial Economics, 8(2), 149-163.
Longstaff, F.A., Pan, J., Pedersen, L.H. ve Singleton, K.J.. (2011). How Sovereign Is Sovereign Credit Risk? American Economic Journal, 3(2), 75-103.
Mateus, T.. (2004). The Risk and Predictability of Equity Returns of The EU Accession Countries, Emerging Markets Review, 5(2), 241-266.
Mora, N.. (2006). Sovereign Credit Ratings: Guilty Beyond Reasonable Doubt?. Journal of Banking & Finance, 30(7), 2041-2062.
Norden, L. ve Weber, M.. (2009). The Co‐movement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis, European financial management, 15(3), 529-562.
Plank, T.J.. (2010). Do Macro-Economic Fundamentals Price Emerging Market Sovereign CDS Spreads?, Available at SSRN: http://ssrn.com/abstract=1765352 or http://dx.doi.org/10.2139/ssrn.1765352 (12.07.2014).
Remolona, E.M., Scatigna, M. ve Wu, E.. 2008. The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion, The Journal of Fixed Income, 17(4), 57-71.
Saens, R. ve Sandoval, E.. (2005). Measuring Security Price Performance Using Chilean Daily Stock Returns: The Event Study Method, Cuadernos De Economia, 42, 307-328.
Sand, H.J.H.. (2012). The Impact of Macro-Economic Variables On The Sovereign CDS Spreads Of The Eurozone Countries. Master’s Thesis, University of Groningen.
Skinner, F.S. ve Townend, T.G.. (2002). An empirical Analysis Of Credit Default Swaps, International Review of Financial Analysis, 11(3), 297 -309.
Tuominen, T.. (2005). Corporate Layoff Announcements And Shareholder Value: Empirical Evidence from Finland. Master’s Thesis, Lappeenranta University of Technology, Kuala Lumpur.
Yaprakli, S. ve Güngör, B.. (2007). Ülke Riskinin Hisse Senedi Fiyatlarına Etkisi: İMKB 100 Endeksi Üzerine Bir Araştırma, Ankara Üniversitesi SBS Dergisi, 62(2), 199-218.
Bozkurt, İ., Öksüz, S. ve Karakuş, R. (2015). Finansal Tablo İlanlarının Hisse Getirileri Üzerindeki Etkisi: BİST’de ampirik Bir Uygulama. Maliye ve Finans Yazıları, 29 (103), 113-140.

Toplam 36 adet kaynakça vardır.

Ayrıntılar

Bölüm	MAKALELER
Yazarlar	İbrahim Bozkurt Muhammed Veysel Kaya
Yayımlanma Tarihi	10 Ocak 2018
Yayımlandığı Sayı	Yıl 2018 Sayı: 20

Kaynak Göster

APA	Bozkurt, İ., & Kaya, M. V. (2018). ARAP BAHARI COĞRAFYASINDAN GELEN HABERLERİN CDS PRİMLERİ ÜZERİNDEKİ ETKİSİ: TÜRKİYE ÖRNEĞİ. Uluslararası İktisadi Ve İdari İncelemeler Dergisi(20), 1-16. https://doi.org/10.18092/ulikidince.292772