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

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

Keywords

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

Terörizmin Türkiye Finansal Piyasaları Üzerine Etkisi: Ampirik Bir Çalışma

Abstract

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

Keywords

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

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