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Ülke CDS Primi ile Hisse Senedi Piyasası Arasındaki Oynaklık Yayılımları Gelişmiş ve Gelişmekte Olan Ülkelerde Farklılaşmakta mıdır? VAR-BEKK-GARCH Modeli Yaklaşımı

Yıl 2023, Cilt: 37 Sayı: 2, 98 - 110, 15.04.2023

Öz

Bu çalışmada hisse senedi ve CDS (Kredi Temerrüt Swapı) piyasaları arasındaki oynaklık yayılımı etkileri VAR-BEKK-GARCH(1,1) modeli ile analiz edilmektedir. Piyasalar arasında yayılma etkisi olup olmadığı, varsa gelişmiş ve gelişmekte olan ülkelerde bu etkilerin farklılaşıp farklılaşmadığı ve piyasalar arasındaki korelasyon ilişkileri incelenmiştir. Genel olarak hisse senedi ve CDS piyasaları arasında çapraz şok geçişgenliğinin zayıf olduğu tespit edilmiştir. Yani hisse senedi ve CDS piya- sasında gözlemlenen oynaklık, çapraz şok geçişlerinden ziyade kendi geçmiş dönem şoklarından kaynaklanmaktadır. Hem hisse senedi hem de CDS piyasasındaki geçmiş dönem oynaklığının cari dönem koşullu oynaklığı üzerinde etkili olduğu anlaşılmaktadır. Ayrıca, genel olarak CDS piyasa- sından hisse senetleri piyasasına oynaklık yayılımı olmadığı tespit edilmiştir. Finansal piyasalarla ilgili haber akışı öncelikle hisse senedi piyasasında fiyatlanmakta, ardından CDS piyasasına yan- sımaktadır. CDS primleri ile hisse senedi endeksleri arasındaki korelasyon ve kovaryans ilişkileri zamana bağlı olarak değişim göstermektedir. Korelasyon ve kovaryans ilişkilerinin finansal piyasa- larda stres seviyesinin arttığı dönemlerde önemli değişimler gösterdiği gözlenmiştir.

Kaynakça

  • Badaoui, S., Cathcart, L., & El-Jahel, L. (2013). Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach. Journal of Banking and Finance, 37(7), 2392–2407. [CrossRef]
  • Baklaci, H. F., Aydoğan, B., & Yelkenci, T. (2020). Impact of stock market trading on currency market volatility spillovers. Research in International Business and Finance, 52, 101182. [CrossRef]
  • Belhassine, O. (2020). Volatility spillovers and hedging effectiveness between the oil market and Eurozone sectors: A tale of two crises. Research in International Business and Finance, 53, 101195. [CrossRef]
  • Blanco, R., Brennan, S., & Marsh, I. W. (2005). An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps. Journal of Finance, 60(5), 2255–2281. [CrossRef]
  • Blommestein, H., Eijffinger, S., & Qian, Z. (2016). Regime-dependent determinants of euro area sovereign CDS spreads. Journal of Financial Stability, 22(5), 10–21. [CrossRef]
  • Bollerslev, T. (1990). Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model. Review of Economics and Statistics, 72(3), 498–505. [CrossRef]
  • Bollerslev, T., Engle, R. F., & Wooldridge, J. M. (1988). A capital asset pricing model with time-varying covariances. Journal of Political Economy, 96(1), 116–131. [CrossRef]
  • Campbell, J. Y., & Taksler, G. B. (2003). Equity volatility and corporate bond yields. Journal of Finance, 58(6), 2321–2350. [CrossRef]
  • Cheuathonghua, M., de Boyrie, M. E., Pavlova, I., & Wongkantarakorn, J. (2022). Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries: A VAR quantile analysis. International Review of Financial Analysis, 80, 102033. [CrossRef]
  • Collin-Dufresn, P., Goldstein, R. S., & Martin, J. S. (2001). The determinants of credit spread changes. Journal of Finance, 56(6), 2177–2207. [CrossRef]
  • Da Fonseca, J., & Gottschalk, K. (2020). The co-movement of credit default swap spreads, equity returns and volatility: Evidence from Asia-Pacific markets. International Review of Finance, 20(3), 551–579. [CrossRef]
  • Da Fonseca, J., & Wang, P. (2016). A joint analysis of market indexes in credit default swap, volatility and stock markets. Applied Economics, 48(19), 1767–1784. [CrossRef]
  • Diebold, F. X., & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. Economic Journal, 119(534), 158–171. [CrossRef]
  • Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57–66. [CrossRef]
  • Diebold, F. X., & Yılmaz, K. (2014). On the network topology of variance decompositions: Measuring the connectedness of financial firms. Journal of Econometrics, 182(1), 119–134. [CrossRef]
  • Engle, R. F., & Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11(1), 122–150. [CrossRef]
  • Ericsson, J., Jacobs, K., & Oviedo, R. (2009). The determinants of credit default swap premia. Journal of Financial and Quantitative Analysis, 44(1), 109–132. [CrossRef]
  • Fei, F., Fuertes, A.-M., & Kalotychou, E. (2017). Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching. International Journal of Forecasting, 33(3), 662–678. [CrossRef]
  • Feng, Q., Sun, X., Liu, C., & Li, J. (2021). Spillovers between sovereign CDS and exchange rate markets: The role of market fear. North American Journal of Economics and Finance, 55, 101308. [CrossRef]
  • Ho, S. H. (2016). Long- and short-runs determinants of the sovereign CDS spread in emerging countries. Research in International Business and Finance, 36, 579–590. [CrossRef] Ibhagui, O. (2021). How do sovereign risk, equity and foreign exchange derivatives markets interact? Economic Modelling, 97, 58–78. [CrossRef]
  • Kanas, A. (2005). Nonlinearity in the stock price-dividend relation. Journal of International Money and Finance, 24(4), 583–606. [CrossRef]
  • Liu, X., An, H., Huang, S., & Wen, S. (2017). The evolution of spillover effects between oil and stock markets across multi-scales using a wavelet- based GARCH – BEKK model. Physica. Part A, 465, 374–383. [CrossRef]
  • Mateev, M. (2019). Volatility relation between credit default swap and stock market: New empirical tests. Journal of Economics and Finance, 43(4), 681–712. [CrossRef]
  • McMillan, D. G. (2009). Revisiting dividend yield dynamics and returns predictability: Evidence from a time-varying ESTR model. Quarterly Review of Economics and Finance, 49(3), 870–883. [CrossRef]
  • Merton, R. C. (1974). On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance, 29(2), 449–470. [CrossRef]
  • Norden, L., & Weber, M. (2009). The co-movement of credit default swap, bond and stock markets: An empirical analysis. European Financial Management, 15(3), 529–562. [CrossRef]
  • Pavlova, I., de Boyrie, M. E., & Parhizgari, A. M. (2018). A dynamic spillover analysis of crude oil effects on the sovereign credit risk of exporting countries. Quarterly Review of Economics and Finance, 68, 10–22. [CrossRef]
  • Sun, X., Wang, J., Yao, Y., Li, J., & Li, J. (2020). Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective. International Review of Financial Analysis, 68, 101271. [CrossRef]
  • Tachibana, M. (2022). Safe haven assets for international stock markets: A regime-switching factor copula approach. Research in International Business and Finance, 60, 101591. [CrossRef]
  • Wen, D., Wang, Y., Ma, C., & Zhang, Y. (2020). Information transmission between gold and financial assets: Mean, volatility, or risk spillovers? Resources Policy, 69, 101871. [CrossRef]
  • Yunus, N. (2020). Time-varying linkages among gold, stocks, bonds and real estate. Quarterly Review of Economics and Finance, 77, 165–185. [CrossRef]
  • Zhang, B. Y., Zhou, H., & Zhu, H. (2009). Explaining credit default swap spreads with equity volatility and jump risks of individual firms. Review of Financial Studies, 22(12), 5099–5131. [CrossRef]

Revealing Volatility Spillover Effects Between CDS Premiums and Equity Markets in Developed and Developing Countries: VAR-BEKK-GARCH Model Approach

Yıl 2023, Cilt: 37 Sayı: 2, 98 - 110, 15.04.2023

Öz

This study aims to analyze volatility spillover effects between stock and sovereign credit default swap (CDS) markets by adopting the VAR-BEKK-GARCH(1,1) model. The research questions can be expressed as follows. Does a significant volatility spillover exist between equity and CDS markets? Does a difference in volatility spillovers occur between developed and developing countries? Do the correlations between the stock market and CDS market differ in developed and developing coun- tries? The empirical findings demonstrate a weak cross-market spillover between the stock and CDS markets. In other words, the volatility observed in the stock and CDS markets is subject to past shocks more than cross-market spillovers. The lagged volatility in both stock and CDS markets has a substantial effect on the current period conditional volatility. In addition, no volatility spillovers were detected from the CDS market to the stock market. The information outflow about financial markets is priced initially in the stock market and then gets reflected onto the CDS market. The correlations and covariance relationships between CDS premiums and stock indices change over time. The cor- relations and covariance relationships show significant changes during periods of financial turmoil.

Kaynakça

  • Badaoui, S., Cathcart, L., & El-Jahel, L. (2013). Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach. Journal of Banking and Finance, 37(7), 2392–2407. [CrossRef]
  • Baklaci, H. F., Aydoğan, B., & Yelkenci, T. (2020). Impact of stock market trading on currency market volatility spillovers. Research in International Business and Finance, 52, 101182. [CrossRef]
  • Belhassine, O. (2020). Volatility spillovers and hedging effectiveness between the oil market and Eurozone sectors: A tale of two crises. Research in International Business and Finance, 53, 101195. [CrossRef]
  • Blanco, R., Brennan, S., & Marsh, I. W. (2005). An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps. Journal of Finance, 60(5), 2255–2281. [CrossRef]
  • Blommestein, H., Eijffinger, S., & Qian, Z. (2016). Regime-dependent determinants of euro area sovereign CDS spreads. Journal of Financial Stability, 22(5), 10–21. [CrossRef]
  • Bollerslev, T. (1990). Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model. Review of Economics and Statistics, 72(3), 498–505. [CrossRef]
  • Bollerslev, T., Engle, R. F., & Wooldridge, J. M. (1988). A capital asset pricing model with time-varying covariances. Journal of Political Economy, 96(1), 116–131. [CrossRef]
  • Campbell, J. Y., & Taksler, G. B. (2003). Equity volatility and corporate bond yields. Journal of Finance, 58(6), 2321–2350. [CrossRef]
  • Cheuathonghua, M., de Boyrie, M. E., Pavlova, I., & Wongkantarakorn, J. (2022). Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries: A VAR quantile analysis. International Review of Financial Analysis, 80, 102033. [CrossRef]
  • Collin-Dufresn, P., Goldstein, R. S., & Martin, J. S. (2001). The determinants of credit spread changes. Journal of Finance, 56(6), 2177–2207. [CrossRef]
  • Da Fonseca, J., & Gottschalk, K. (2020). The co-movement of credit default swap spreads, equity returns and volatility: Evidence from Asia-Pacific markets. International Review of Finance, 20(3), 551–579. [CrossRef]
  • Da Fonseca, J., & Wang, P. (2016). A joint analysis of market indexes in credit default swap, volatility and stock markets. Applied Economics, 48(19), 1767–1784. [CrossRef]
  • Diebold, F. X., & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. Economic Journal, 119(534), 158–171. [CrossRef]
  • Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57–66. [CrossRef]
  • Diebold, F. X., & Yılmaz, K. (2014). On the network topology of variance decompositions: Measuring the connectedness of financial firms. Journal of Econometrics, 182(1), 119–134. [CrossRef]
  • Engle, R. F., & Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11(1), 122–150. [CrossRef]
  • Ericsson, J., Jacobs, K., & Oviedo, R. (2009). The determinants of credit default swap premia. Journal of Financial and Quantitative Analysis, 44(1), 109–132. [CrossRef]
  • Fei, F., Fuertes, A.-M., & Kalotychou, E. (2017). Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching. International Journal of Forecasting, 33(3), 662–678. [CrossRef]
  • Feng, Q., Sun, X., Liu, C., & Li, J. (2021). Spillovers between sovereign CDS and exchange rate markets: The role of market fear. North American Journal of Economics and Finance, 55, 101308. [CrossRef]
  • Ho, S. H. (2016). Long- and short-runs determinants of the sovereign CDS spread in emerging countries. Research in International Business and Finance, 36, 579–590. [CrossRef] Ibhagui, O. (2021). How do sovereign risk, equity and foreign exchange derivatives markets interact? Economic Modelling, 97, 58–78. [CrossRef]
  • Kanas, A. (2005). Nonlinearity in the stock price-dividend relation. Journal of International Money and Finance, 24(4), 583–606. [CrossRef]
  • Liu, X., An, H., Huang, S., & Wen, S. (2017). The evolution of spillover effects between oil and stock markets across multi-scales using a wavelet- based GARCH – BEKK model. Physica. Part A, 465, 374–383. [CrossRef]
  • Mateev, M. (2019). Volatility relation between credit default swap and stock market: New empirical tests. Journal of Economics and Finance, 43(4), 681–712. [CrossRef]
  • McMillan, D. G. (2009). Revisiting dividend yield dynamics and returns predictability: Evidence from a time-varying ESTR model. Quarterly Review of Economics and Finance, 49(3), 870–883. [CrossRef]
  • Merton, R. C. (1974). On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance, 29(2), 449–470. [CrossRef]
  • Norden, L., & Weber, M. (2009). The co-movement of credit default swap, bond and stock markets: An empirical analysis. European Financial Management, 15(3), 529–562. [CrossRef]
  • Pavlova, I., de Boyrie, M. E., & Parhizgari, A. M. (2018). A dynamic spillover analysis of crude oil effects on the sovereign credit risk of exporting countries. Quarterly Review of Economics and Finance, 68, 10–22. [CrossRef]
  • Sun, X., Wang, J., Yao, Y., Li, J., & Li, J. (2020). Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective. International Review of Financial Analysis, 68, 101271. [CrossRef]
  • Tachibana, M. (2022). Safe haven assets for international stock markets: A regime-switching factor copula approach. Research in International Business and Finance, 60, 101591. [CrossRef]
  • Wen, D., Wang, Y., Ma, C., & Zhang, Y. (2020). Information transmission between gold and financial assets: Mean, volatility, or risk spillovers? Resources Policy, 69, 101871. [CrossRef]
  • Yunus, N. (2020). Time-varying linkages among gold, stocks, bonds and real estate. Quarterly Review of Economics and Finance, 77, 165–185. [CrossRef]
  • Zhang, B. Y., Zhou, H., & Zhu, H. (2009). Explaining credit default swap spreads with equity volatility and jump risks of individual firms. Review of Financial Studies, 22(12), 5099–5131. [CrossRef]
Toplam 32 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Ekonomi
Bölüm Araştırma Makaleleri
Yazarlar

Mevlüt Camgöz

Erken Görünüm Tarihi 12 Nisan 2023
Yayımlanma Tarihi 15 Nisan 2023
Yayımlandığı Sayı Yıl 2023 Cilt: 37 Sayı: 2

Kaynak Göster

APA Camgöz, M. (2023). Revealing Volatility Spillover Effects Between CDS Premiums and Equity Markets in Developed and Developing Countries: VAR-BEKK-GARCH Model Approach. Trends in Business and Economics, 37(2), 98-110.

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