The Impact of Terrorism on Financial Markets: An Empirical Study

Year 2014, Volume: 8 Issue: 2, 99 - 117, 01.12.2014

Ensar Ağırman Muhammet Özcan Ömer Yılmaz

Abstract

Uncertainty is one of the factors negatively affecting financial markets. Terrorism and terrorist activities are located in the factors that trigger this uncertainty. The purpose of this study is to investigate the impact of the uncertainties created by terrorist activities on financial markets. In this context, the effects of terrorism on financial market indexes for 35 countries for the period of 2003-2011 are studied. The Global Terrorism Index derived from Vision of Humanity and annual average stock market indexes obtained from World Federation of Exchanges are used. In this regard, firstly, unit root tests were applied to investigate whether variables are stationary or not. Then, Pedroni and Kao cointegration tests were conducted and a long term relationship between variables were found. A causual relationship either from stock markets to terrorist incidents or from terrorist incidents to stock markets has not been observed in the Granger Causality analysis. The results of the analysis shows that the short term effects of terrorist incidents on stock markets are fixed by the market mechanism in the long term.

Keywords

Terrorism, Financial Markets, Panel Data Models

Terörizmin Finansal Piyasalara Etkisi: Ampirik Bir Çalışma

Abstract

Finansal piyasaları olumsuz yönde etkileyen en temel unsurlar arasında belirsizlik yer almaktadır. Terörizm ve terörist faaliyetler ise, bu belirsizliği tetikleyen faktörlerdendir. Bu çalışma terörist faaliyetlerin oluşturduğu belirsizliklerin finansal piyasalar üzerinde yarattığı etkileri incelemeyi amaçlamaktadır. Bu çerçevede, terörizmin finansal piyasaları üzerindeki etkileri, 35 ülke için 2003-2011 dönemini kapsayacak biçimde araştırılmış ve Vision of Humanity’den elde edilen küresel terörizm endeksi ile Dünya Borsalar Birliğinden elde edilen yıllık ortalama borsa endeksleri kullanılmıştır. Bu doğrultuda, ilk olarak değişkenlerin durağan olup olmadıklarını araştırmak amacıyla birim kök testleri yapılmıştır. Daha sonra Pedroni ve Kao eşbütünleşme testleri yapılmış ve değişkenler arasında uzun dönemli ilişkilerin olduğu görülmüştür. Granger nedensellik analizi bulgularında ise, gerek hisse senedi piyasalarından terör olaylarına, gerekse terör olaylarından hisse senedi piyasalarına doğru bir nedensellik ilişkisine rastlanılmamıştır. Elde edilen analiz sonuçlarına göre, terörist faaliyetlerin hisse senedi piyasaları üzerine gerçekleşen kısa vadeli olumsuz etkilerinin uzun dönemde piyasa mekanizması tarafından düzeltildiği görülmüştür

Keywords

Terörizm, Finansal Piyasalar, Panel Veri Modelleri

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