SavedAdd your journal

Journals / Ege Akademik Bakış / 2017 / Cilt: 17 - Sayı: 1

Impact of Terrorism on Financial Markets of Turkey: An Empirical Study

Terörizmin Türkiye Finansal Piyasaları Üzerine Etkisi: Ampirik Bir Çalışmai

Mehmet BALCILAR
Harun BAL
Müge MANGA
Neşe ALGAN
Pages
147–160
Publication Date
2022-10-12
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The results show that there is no causality from terrorist activities to stock market returns.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The purpose of the study is to investigate the impact of terrorism on the Turkish financial market.
📊
Key Findings & Data:We test for causality from terrorism index to returns and volatilities of 16 sector level stock indices using daily data from Jan 4, 1988 to May 24, 2016 and a recently developed nonparametric causality-intest test of Balcilar et al. (2016).
💡
Conclusion & Impact:The results show that there is no causality from terrorist activities to stock market returns.
🔬Design:Research Article
📍Scope:2016 Verileri
⚙️Variables:Domain Parameters

Abstract

The purpose of the study is to investigate the impact of terrorism on the Turkish financial market. We test for causality from terrorism index to returns and volatilities of 16 sector level stock indices using daily data from Jan 4, 1988 to May 24, 2016 and a recently developed nonparametric causality-intest test of Balcilar et al. (2016). The results show that there is no causality from terrorist activities to stock market returns. However, we find significant causality at various quantiles from terrorist activates to volatility of tourism, food and basic materials sectors.

Özet

Bu çalışmada, Türkiye'deki terör eylemlerinin finansal piyasalar üzerindeki etkisinin incelenmesi amaçlanmaktadır. 4 Ocak 1988-24 Mayıs 2016 tarihleri arasındaki günlük veriler ile 16 sektör endeksi kullanılarak yapılan analizde Balcilar vd. (2016) tarafından geliştirilen Parametrik olmayan kantil nedensellik testi kullanılmaktadır. Yapılan analiz sonucunda, terör eylemleri ile finansal piyasalar arasında ortalama getiri bakımından nedensellik ilişkisinin mevcut olmadığı ancak terör eylemlerinin Türkiye'deki turizm, gıda, temel materyaller gibi sektörlerde getiri oynaklığını arttırarak belirsizliğe yol açtığı sonucuna ulaşılmıştır.

🔖

Cite This Article

BALCILAR, M., BAL, H., MANGA, M., ALGAN, N. (2022). Impact of Terrorism on Financial Markets of Turkey: An Empirical Study. Ege Akademik Bakış, Cilt: 17 - Sayı: 1, 147–160. https://ajindex.com/articles/495247

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (13)

  1. Abadie, A. ve Gardeazabal, J. (2005). "Terrorism and the World Economy". European Economic Review, 52(1):1-27
  2. Ağırman, E., Özcan, M. ve Yılmaz, Ö. (2014). "Terörizmin Finansal Piyasalara Etkisi: Ampirik Bir Çalışma". BDDK Bankacılık ve Finansal Piyasalar, 8(2):99-117
  3. Aksoy, M. (2014). "The Effects of Terrorism on Turkish Stock Market". Ege Akademik Bakış, 14(1):31-41
  4. Arin, K.P., Ciferri, D. ve Spagnolo, N. (2008) "The Price of Terror: The Effects of Terrorism on Stock Market Returns and Volatility". Economics Letters, 101:164- 167. Alexande, Y. ve Charles, K.E (ed). (1982), Political Terrorism and Energy: The Threat and Response, Praeger Publishers Alkan, N. 2002,
  5. Gençlik ve Terörizm, Ankara,
  6. Temüh Yayınları Balcilar, M., Bekiros, S. ve Gupta, R. (2016). "The Role of News-Based Uncertainty Indices in Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method", Department of Economics Working Paper Series.1-17
  7. Balcilar, M., Gupta, R., Pierdzioch, C., & Wohar, M. (2016). Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-inQuantiles Test for the G7 Countries (No. 201608). Bashir, U, Gillani, A H, & Muhammad, S. 2013. "Influence of Terrorist Activities on Financial Markets: Evidence from KSE". Financial Assets and Investing, (2), p. 5-13
  8. Brock W.A., Dechert D, Lebaron B. ve Scheinkman J. (1996) "A test for independence based on a correlation dimension", Econometric Review, 15:197-235
  9. Cam, M. A. (2008) "The impact of terrorism on United States industries". Economic Papers: A journal of applied economics and policy, 27(2):115-134.
  10. Chen, A.H. ve Siems, T.F. (2004)"The Effects of Terrorism on Global Capital Markets". European Journal of Political Economy, 20:349-366.
  11. Chesney, M. Reshetar, G. ve Karaman, M. (2011)"The Impact of Terrorism on Financial Markets: An Empirical Study". Journal of Banking and Finance, 35 (2):253- 267. Christofis, N. Kollias, C., Papadamou, S. ve Stagiannis, A. (2010) "Terrorism and Capital Markets: The Effects of the Istanbul Bombings". Economics of Security Working Paper 31 Chuliá, H., Climent, F.J., Soriano, P. ve Torró, H. (2009) "Volatility transmission patterns and terrorist attacks"Quantitative Finance, 9 (5), p. 607-619.
  12. Drakos, K. (2010) "Terrorism Activity, Investor Sentiment and Stock Returns". Review of Financial Economics, 19 (3):128-135.
  13. Eckstein, Z. ve Tsiddon, D. (2004) "Macroeconomic Consequences of Terror: Theory and the Case of Israel". Journal of Monetary Economics,