Please use this identifier to cite or link to this item: https://hdl.handle.net/11499/47189
Title: THE FRACTAL STRUCTURE OF CDS SPREADS: EVIDENCE FROM THE OECDCOUNTRIES
Authors: Balkan, Emrah
Uyar, Umut
Keywords: efficient market hypothesis
fractal market hypothesis
CDS
OECD countries
6 Oecd Countries
Market
Volatilities
Returns
Equity
Bond
Publisher: Inst Economic Forecasting
Abstract: There is a large and growing literature that criticizes the random walk assumption of the Gaussian distribution and the Efficient Market Hypothesis (EMH) as well. In this respect, the Fractal Market Hypothesis (FMH) is an alternative approach to the EMH. On the other hand, Credit Default Swaps (CDSs) are also taken as an indicator of risk. It is a puzzle for the researchers whether CDS spreads are following a random walk process or not. The aim of this study is to investigate the validity of the FMH in CDS spreads for 34 OECD countries between March 2003 and February 2020. The rescaled range analysis is used for each country's data with four different frequencies. The results show that there is a persistency in all CDS spreads. That process, called the Hurst process, indicates that the Fractal Market Hypothesis is valid in the CDS spreads.
URI: https://hdl.handle.net/11499/47189
ISSN: 1582-6163
2537-6071
Appears in Collections:İktisadi ve İdari Bilimler Fakültesi Koleksiyonu
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

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