Abstract
In this study, the effect of announcements, which were made by Standard & Poor's, Moody’s and Fitch related to Turkey’s sovereign credit ratings, on CDS spreads in the period between 31.10.2001 and 09.03.2015 was examined with the event study method. As a result of the conducted analysis, it has been determined that announcements made on upgrade of credit ratings or upward revisions in the sovereign’s credit outlook did not lead to a significant differentiation in the 14-day period which surrounds the announcement date. On the other hand, it has been determined that announcements made on downgrade of credit ratings or downward revisions in the sovereign’s credit outlook led to a significant differentiation in the 7-day period preceding the announcement and in the 7-day period following the announcement. It was determined that CDS spreads showed an abnormal increase in the 7-day period preceding the date on which the downgrade of credit ratings or downward revisions in the sovereign’s credit outlook in question were announced and showed an abnormal decrease in the 7-day period which follows the announcement.
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