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

Yıl 2017, Cilt: 17 Sayı: 1, 147 - 160, 01.02.2017

Neşe Algan Mehmet Balcılar Harun Bal Müge Manga

Öz

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

Anahtar Kelimeler

Nonparametric causality-in-quantiles test, TurkeyFinancial markets, Terrorism

Terörizmin Türkiye Finansal Piyasaları Üzerine Etkisi: Ampirik Bir Çalışma

Öz

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

Anahtar Kelimeler

Finansal piyasalar, Terörizm, Parametrik olmayan kantil nedensellik testi, Türkiye

Kaynakça

• Abadie, A. ve Gardeazabal, J. (2005). “Terrorism and the World Economy”. European Economic Review, 52(1):1-27
• Ağırman, E., Özcan, M. ve Yılmaz, Ö. (2014). “Terörizmin Finansal Piyasalara Etkisi: Ampirik Bir Çalışma”. BDDK Bankacılık ve Finansal Piyasalar, 8(2):99-117
• Aksoy, M. (2014). “The Effects of Terrorism on Turkish Stock Market”. Ege Akademik Bakış, 14(1):31-41
• 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, Gençlik ve Terörizm, Ankara, 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
• 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
• 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
• 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.
• Chen, A.H. ve Siems, T.F. (2004)“The Effects of Terrorism on Global Capital Markets”. European Journal of Political Economy, 20:349-366.
• Chesney, M. Reshetar, G. ve Karaman, M. (2011)“The Impact of Terrorism on Financial Markets: An Neşe ALGAN, Mehmet BALCILAR, Harun BAL, Müge MANGA 160 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.
• Drakos, K. (2010) “Terrorism Activity, Investor Sentiment and Stock Returns”. Review of Financial Economics, 19 (3):128-135.
• Eckstein, Z. ve Tsiddon, D. (2004) “Macroeconomic Consequences of Terror: Theory and the Case of Israel”. Journal of Monetary Economics, 51 (5):971-1002.
• Eldor, R. R., Hauser, S., Kroll, Y. ve Shoukair, S. (2012) “Financial Markets and Terrorism: The Perspective of The Two Sides of The Conflict”. Journal of Business Administration Research, 1:18-29.
• Eldor, R.,ve Melnick, R. (2004). “Financial Markets and Terrorism”. European Journal of Political Economy, 20:367-386.
• Fathi, S. ve Sahahraki, K. (2011) “Effect of Terrorism on Financial Markets”, Interdisciplinary Journal of Contemporary Research in Business, 3 (5): 249–255
• Frey, B., Luechinger, S., ve Stutzer, A. (2007) “Calculating Tragedy: Assessing the Costs of Terrorism”, Journal of Economic Surveys, (21):1-24
• Global Terrorism Database, (2016). Global Terrorism Index. https://www.start.umd.edu/gtd/ (20.03.2016)
• Graham, M. A. ve Ramiah, V. B. (2012). “Global Terrorism and Adaptive Expectations in Financial Markets: Evidence from Japanese Equity Market”. Research in International Business and Finance, 26(1):97-119.
• Gürel, M. M. (2008). “Küreselleşen Dünya ve Terörizm”, Yayınlanmamış Yüksek Lisans Tezi, Kadir Has Üniversitesi Sosyal Bilimler Enstitüsü J.B.S. Hardman: “Terrorism”, Encyclopedia of the Social Sciences (yön. E.R. Seligman; New York: Macmillan, 1936), 578.s. Ayrıca: R. Gaucher, Les Terroristes (Paris: Albin Michel, 1965), s. 24
• Hon, M.T., Strauss, J., ve Yong, S.Y. (2004) “Contagion in Financial Markets After September 11: Myth or Reality?”, Journal of Financial Research, 27:95-114.
• Johnson, P. (1980) ”The Seven Deadly Sins Of Terrorism, International Terrorism: challenge and Response” ed. Benjamin Netayahu, Jeıusalem: The Jonathan Institue, 15
• Jeong, K., Härdle, W. K. ve Song, S. (2012). “A Consistent Nonparametric Test for Causality in Quantile”. Econometric Theory, 28:861-887.
• Karolyi, A., ve Martell, R., (2010). “Terrorism and The Stock Market”. International Review of Applied Financial Issues and Economics, 2,:285-314.
• Kollias, C., Papadamou, S. ve Stagiannis, A. (2011). “Terrorism and Capital Markets: The Effects of The Madrid and London Bomb Attacks”. International Review of Economics & Finance, 20(4):532-541.
• Nikkinen, J., Omran, M., Sahlstrom, P., ve Aijo, J. (2008). “Stock Returns and Volatility Following The September 11 Attacks: Evidence from 53 Equity Markets”. International Review of Financial Analysis, 17 (1):27-46
• Nishiyama, Y., Hitomi, K., Kawasak, Y., ve Jeong, K., (2011). “A Consistent Nonparametric Test for Nonlinear Causality - Specification in Time Series Regression”. Journal of Econometrics, 165:112-127.
• RAND Database (2016) Worldwide Terrorism Incidents, http://www.rand.org/nsrd/ projects/ terrorism-incidents.html, (Erişim tarihi: 03.06.2016)
• Şimşek,M.(2016).“Terörizm: Kavramsal Bir Çalişma”, Akademik Bakış Dergisi,54:319-335
• Suleman T. M. (2012). “Stock market reaction to terrorist attacks:Empirical evidence from a front line state”. Australasian Accounting, Business and Finance Journal, 6(1):97-110.
• Thomson Reuters Datastream (2016) http://financial. thomsonreuters.com/en/products/data-analytics/ financial-news-feed.html (Erişim tarihi: 01.06.2016)
• Yayla,A.(1980),“Terörizm:Kavramsal Bir Çerçeve”A.Ü.Siyasal Bilgiler Fakültesi Dergisi,45(1):335-385.http://www.politics.ankara. edu.tr/dergi/pdf/45/1/atillayayla.pdf. (25.05.2016) http://www3.weforum.org/docs/TT15/WEF_Global_ Travel&Tourism_Report_2015.pdf(04/11/2016.
• Yıldırım M. (2012), “The Effect of Terrorism on Stock Market: Turkish Experience”, http://www.academia. edu/7904736/_The_Effect_of_Terrorism_on_Stock_ Market_Turkish_Experience_ (25.05.2016)