Which Index is More Affected by CDS Premium and VIX Index: BIST-30 or Participation-30?
Journal Title: Journal of Corporate Governance, Insurance, and Risk Management - Year 2022, Vol 9, Issue 2
Abstract
Purpose: This study aims at determining the existence and, if any, the extent of comparative effects of the CDS premium and the VIX index on the BIST-30 and the Participation-30 indices before and during the pandemic. Methodology: The study explores the relationships of the CDS premium and VIX index to the BIST-30 index and the Participation-30 index for two time periods, as pre-pandemic and pandemic. The date range is set as 02.01.2018-10.03.2020 for the pre-pandemic period and as 11.03.2020-31.12.2021 for the pandemic period. Following the Johansen cointegration and ARDL tests employed to detect the long run relationships between the variables, FMOLS regression tests were used to determine the effect sizes. Results: As a result of the cointegration tests, long-term cointegration relationships of both the BIST-30 and the Participation-30 indices with the variables of the CDS premiums and the VIX index were determined before and during the pandemic period. FMOLS regression results posited that the VIX index had greater effect on the Participation 30 index in both periods. Originality and Practical Implications: The fact that the literature review does not reveal the existence of any study providing the comparative effects of the CDS premiums and the VIX index on both the BIST-30 and Participation-30 indices contributes to the originality of this paper.
Authors and Affiliations
Javidan Bayramli, Veysel Kula, Letife Özdemir
Keywords
Related Articles
- EP ID EP732692
- DOI https://doi.org/10.56578/jcgirm090206
- Views 90
- Downloads 0
Impact of Accounting Information Systems, Work Motivation, and Internal Controls on Employee Performance: A Study at PT. Bank Danamon, Ambon Branch
This study aimed to evaluate the influence of accounting information systems (AIS), employee intrinsic motivation, and internal controls on the productivity of employees at PT. Bank Danamon's Ambon Branch. Primary data c...
Which Index is More Affected by CDS Premium and VIX Index: BIST-30 or Participation-30?
Purpose: This study aims at determining the existence and, if any, the extent of comparative effects of the CDS premium and the VIX index on the BIST-30 and the Participation-30 indices before and during the pandemic. Me...
Evaluating Economic Crisis Theory: A Comprehensive Examination of the Aftalion Methodology
The Aftalion methodology of economic crisis theory presents a complex and comprehensive understanding of economic crises, the exploration of which is riddled with nuanced considerations and varied perspectives. Primarily...
A View of the Future of the Metaverse Economy on the Basis of the Global Financial System: New Opportunities and Risks
The burgeoning Metaverse represents an unprecedented technology frontier that is poised to redefine our financial, societal, and cultural paradigms. This research introduces a new economic term, Metanomics, to the academ...
Cyber Attack Against E-Albania and Its Social, Economic and Strategic Effects
Purpose: During last years, even because of pandemic situation caused by covid-19 virus, in Albania most of governmental public services for citizens, businesses and other customers were offered in an electronic way by c...