Research Article


DOI :10.26650/ISTJECON2022-1223833   IUP :10.26650/ISTJECON2022-1223833    Full Text (PDF)

How Vulnerable is the Turkish Stock Market to the Credit Default Swap? Evidence from the Markov Switching GARCH Model

Veysel Karagöl

This study aims to investigate the effect of the credit default swap (CDS) on the Turkish stock market. More specifically, it analyses whether the relationship between CDS and the Turkish stock market has changed during the period of unprecedented stock returns in 2022. The Markov Switching GARCH method is preferred because of its many advantages in the analysis of the return series of the variables. Two different models are estimated for the full sample weekly period of 2010:01-10/2022:12-11 and the subsample weekly period of 2010:01-10/2021:12-05. The subsample period is more optimal than the full sample period. Nevertheless, the findings of both sample periods are included to make a comparison. The effect of CDS on the Turkish stock market is greater in the high-volatility regime than in the lowvolatility regime. CDS has a negative impact on the Turkish stock market in both low and high volatility periods. The most striking finding is that CDS affects the Turkish stock market approximately twice as much in the subsample period as in the full sample period in both regimes. Policymakers should follow risk-oriented policies instead of policies against the wind against the risk of a possible boom in financial markets.

JEL Classification : C58 , E44 , G24

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APA

Karagöl, V. (2023). How Vulnerable is the Turkish Stock Market to the Credit Default Swap? Evidence from the Markov Switching GARCH Model. Istanbul Journal of Economics, 73(1), 513-532. https://doi.org/10.26650/ISTJECON2022-1223833


AMA

Karagöl V. How Vulnerable is the Turkish Stock Market to the Credit Default Swap? Evidence from the Markov Switching GARCH Model. Istanbul Journal of Economics. 2023;73(1):513-532. https://doi.org/10.26650/ISTJECON2022-1223833


ABNT

Karagöl, V. How Vulnerable is the Turkish Stock Market to the Credit Default Swap? Evidence from the Markov Switching GARCH Model. Istanbul Journal of Economics, [Publisher Location], v. 73, n. 1, p. 513-532, 2023.


Chicago: Author-Date Style

Karagöl, Veysel,. 2023. “How Vulnerable is the Turkish Stock Market to the Credit Default Swap? Evidence from the Markov Switching GARCH Model.” Istanbul Journal of Economics 73, no. 1: 513-532. https://doi.org/10.26650/ISTJECON2022-1223833


Chicago: Humanities Style

Karagöl, Veysel,. How Vulnerable is the Turkish Stock Market to the Credit Default Swap? Evidence from the Markov Switching GARCH Model.” Istanbul Journal of Economics 73, no. 1 (Mar. 2024): 513-532. https://doi.org/10.26650/ISTJECON2022-1223833


Harvard: Australian Style

Karagöl, V 2023, 'How Vulnerable is the Turkish Stock Market to the Credit Default Swap? Evidence from the Markov Switching GARCH Model', Istanbul Journal of Economics, vol. 73, no. 1, pp. 513-532, viewed 4 Mar. 2024, https://doi.org/10.26650/ISTJECON2022-1223833


Harvard: Author-Date Style

Karagöl, V. (2023) ‘How Vulnerable is the Turkish Stock Market to the Credit Default Swap? Evidence from the Markov Switching GARCH Model’, Istanbul Journal of Economics, 73(1), pp. 513-532. https://doi.org/10.26650/ISTJECON2022-1223833 (4 Mar. 2024).


MLA

Karagöl, Veysel,. How Vulnerable is the Turkish Stock Market to the Credit Default Swap? Evidence from the Markov Switching GARCH Model.” Istanbul Journal of Economics, vol. 73, no. 1, 2023, pp. 513-532. [Database Container], https://doi.org/10.26650/ISTJECON2022-1223833


Vancouver

Karagöl V. How Vulnerable is the Turkish Stock Market to the Credit Default Swap? Evidence from the Markov Switching GARCH Model. Istanbul Journal of Economics [Internet]. 4 Mar. 2024 [cited 4 Mar. 2024];73(1):513-532. Available from: https://doi.org/10.26650/ISTJECON2022-1223833 doi: 10.26650/ISTJECON2022-1223833


ISNAD

Karagöl, Veysel. How Vulnerable is the Turkish Stock Market to the Credit Default Swap? Evidence from the Markov Switching GARCH Model”. Istanbul Journal of Economics 73/1 (Mar. 2024): 513-532. https://doi.org/10.26650/ISTJECON2022-1223833



TIMELINE


Submitted24.12.2022
Accepted30.03.2023
Published Online08.06.2023

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