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The Effects of Terrorist Attacks on Financial Markets

Year 2017, , 11 - 30, 19.01.2017
https://doi.org/10.17233/sosyoekonomi.281942

Abstract

In this study, we examined the volatility effect of terrorist incidents on Istanbul Gold Exchange, ISE100 and on the index yields of the sub-sectors in Turkey. Since negative and positive events have different effects on volatility, EGARCH and GJR-GARCH models were used. As a result of the study, it was seen that the terrorist attacks which occured in Turkey do not have statistically significant effects on the volatility of Istanbul Gold Exchange, ISE100 and of the sub-sectors. In addition, it was found that gold, service and technology indices are affected by only positive events; however, industrial and financial indices are affected by both negative and positive ones.

References

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Terör Olaylarının Finansal Piyasalar Üzerine Etkisi

Year 2017, , 11 - 30, 19.01.2017
https://doi.org/10.17233/sosyoekonomi.281942

Abstract

Bu çalışmada, Türkiye’de meydana gelen terör olaylarının İstanbul Altın Borsası, BIST100 ve alt sektör endeks getirileri üzerindeki oynaklık etkisi incelenmiştir. Çalışmada, negatif ve pozitif olayların oynaklık üzerindeki etkilerinin farklı olması nedeniyle EGARCH ve GJR-GARCH modelleri kullanılmıştır. Çalışmanın sonucunda, Türkiye’de yaşanan terör olaylarının BIST 100, alt sektör ve İstanbul Altın Borsası endeks oynaklığı üzerinde istatistiksel olarak anlamlı bir etkiye sahip olmadığı görülmüştür. Ayrıca altın, hizmet ve teknoloji sektör endekslerinin sadece pozitif yönlü; sınai ve mali sektör endekslerinin ise hem negatif hem de pozitif yönlü haberlerden etkilendiği tespit edilmiştir.

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There are 1 citations in total.

Details

Journal Section Articles
Authors

Özge Korkmaz

Deniz Erer

Elif Erer

Publication Date January 19, 2017
Submission Date March 7, 2016
Published in Issue Year 2017

Cite

APA Korkmaz, Ö., Erer, D., & Erer, E. (2017). The Effects of Terrorist Attacks on Financial Markets. Sosyoekonomi, 25(31), 11-30. https://doi.org/10.17233/sosyoekonomi.281942
AMA Korkmaz Ö, Erer D, Erer E. The Effects of Terrorist Attacks on Financial Markets. Sosyoekonomi. January 2017;25(31):11-30. doi:10.17233/sosyoekonomi.281942
Chicago Korkmaz, Özge, Deniz Erer, and Elif Erer. “The Effects of Terrorist Attacks on Financial Markets”. Sosyoekonomi 25, no. 31 (January 2017): 11-30. https://doi.org/10.17233/sosyoekonomi.281942.
EndNote Korkmaz Ö, Erer D, Erer E (January 1, 2017) The Effects of Terrorist Attacks on Financial Markets. Sosyoekonomi 25 31 11–30.
IEEE Ö. Korkmaz, D. Erer, and E. Erer, “The Effects of Terrorist Attacks on Financial Markets”, Sosyoekonomi, vol. 25, no. 31, pp. 11–30, 2017, doi: 10.17233/sosyoekonomi.281942.
ISNAD Korkmaz, Özge et al. “The Effects of Terrorist Attacks on Financial Markets”. Sosyoekonomi 25/31 (January 2017), 11-30. https://doi.org/10.17233/sosyoekonomi.281942.
JAMA Korkmaz Ö, Erer D, Erer E. The Effects of Terrorist Attacks on Financial Markets. Sosyoekonomi. 2017;25:11–30.
MLA Korkmaz, Özge et al. “The Effects of Terrorist Attacks on Financial Markets”. Sosyoekonomi, vol. 25, no. 31, 2017, pp. 11-30, doi:10.17233/sosyoekonomi.281942.
Vancouver Korkmaz Ö, Erer D, Erer E. The Effects of Terrorist Attacks on Financial Markets. Sosyoekonomi. 2017;25(31):11-30.