Does it take two to tango: Interaction between Credit Default Swaps and National Stock Indices
This paper investigates both short and long-run interaction between BIST-100 index and CDS prices over January 2008 to May 2015 using ARDL technique. The paper documents several findings. First, ARDL analysis shows that 1 TL increase in CDS shrinks BIST-100 index by 22.5 TL in short-run and 85.5 TL...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Tripal Publishing House
2018-01-01
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| Series: | Journal of Economics and Financial Analysis |
| Subjects: | |
| Online Access: | https://ojs.tripaledu.com/jefa/article/view/35/29 |