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

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dc.contributor.authorCamgoz, Mevlut
dc.date.accessioned2026-02-08T15:08:32Z
dc.date.available2026-02-08T15:08:32Z
dc.date.issued2023
dc.departmentBursa Teknik Üniversitesi
dc.description.abstractThis 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 countries? 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 correlations and covariance relationships show significant changes during periods of financial turmoil.
dc.identifier.doi10.5152/TBE.2022.221748
dc.identifier.endpage110
dc.identifier.issn2822-2652
dc.identifier.issue2
dc.identifier.startpage98
dc.identifier.trdizinid1169723
dc.identifier.urihttps://doi.org/10.5152/TBE.2022.221748
dc.identifier.urihttps://hdl.handle.net/20.500.12885/5072
dc.identifier.volume37
dc.indekslendigikaynakTR-Dizin
dc.language.isoen
dc.relation.ispartofTrends in business and economics (Online)
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_TR-Dizin_20260207
dc.subjectİktisat
dc.subjectİşletme Finans
dc.titleRevealing Volatility Spillover Effects Between CDS Premiums and Equity Markets in Developed and Developing Countries: VAR-BEKK-GARCH Model Approach
dc.typeArticle

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