ANALYSIS OF THE RELATIONSHIP BETWEEN CREDIT DEFAULT SWAPS (CDS), THE FEAR INDEX (VIX), AND BIST 100 USING THE WAVELET COHERENCE MODEL

High levels of volatility, which reflect fluctuations in the price of a financial asset or instrument, lead investors to monitor global markets more closely. The VIX index, closely followed by global investors, signals expectations of increased market volatility when it is at high levels and decreased volatility when it is at low levels. Increases in the VIX index lead to an increase in CDS premiums, which represent a country’s risk premium. The relationship between the VIX index, which is a global risk indicator, and the BIST 100 index is highly significant for investors operating in Türkiye’s capital markets. This study examines the relationships between CDS premiums, the VIX index, and the BIST 100 index using the Wavelet Coherence Analysis method. The analysis results reveal that the relationship between VIX and CDS varies in intensity and direction over time. Furthermore, it can be seen that the relationship between the VIX and BIST variables is very strong in both the short and long term, with a negative direction from the VIX variable to the BIST variable. Moreover, the CDS variable was found to negatively impact the BIST index during the short-term period of 2019-2021.