Abstract
The relationship between CDS premiums and stock market is investigated in this study by using data of Turkey. Here CDS premiums, which constitute an alternative to credit ratings of countries, are used as a measure of sovereign credit risk. At the end of the examination a long-term relationship is found between variables. Nonetheless causality relationship cannot be detected between variables. Long run relationship that is detected could be associated with both foreign and domestic investors who perceive CDS premiums as a barometer of sovereign credit risk and make investment decisions by considering factors including sovereign credit risk.
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