This paper uses daily data to analyze how Turkish stock market reacted to terror attacks that took place between 1996 and 2007 in Turkey and September 11, 2001 in the United States. Two different methodologies are used. The first one is abnormal returns methodology, and the second one is time series analysis. Although, some of the events in our sample experienced high negative returns, most events do not have statistically significant abnormal returns (ARs) for the event day (t=0).For longer event windows, from the event date to 5 days following the event (t= + 5) and from the event date to 10 days following the event (t= + 10) the cumulative abnormal returns (CARs) are calculated. CARs are higher than the event day ARs for most of the events. This implies that the stock market continued to decline the following days.On the other hand, the volatility models used for the analysis revealed that Turkish stock market is sensitive to terrorist attacks
Abadie, A. ve Gardeazabal,J. (2003) “The Economic
Costs of Conflict: A Case Study of the Basque Country”
American Economic Review, 93(1):113-132.
Abadie, A.veGardeazabal, J. (2005) “Terrorism and
the World Economy” Harvard University and NBER
Working Paper Series.
Arin, K., Ciferri, D. ve Spagnolo, N. (2008) “The
Price of Terror: The Effects of Terrorism on Stock Market
Returns and Volatility”Economics Letters, 101(3):164-
167.
Berrebi, C. ve Klor, E. (2010) “The Impact of
Terrorism on the Defence Industry” Economica, 77:518-
543.
Bollerslev, T. (1986) “Generalized Autoregressive
Conditional Heteroskedasticity” Journal of Econometrics,
31:307-327.
Brown, S. ve Warner, J. (1985) “Using Daily Stock
Returns: The Case of Events Studies” Journal of Financial
Economics 14:3-31.
Center of Excellence Defense Against Terrorism
(2007) “Special Report No: 9, 4th June 2007, Ankara
Suicide Bombing Overview” http://www.tmmm.tsk.tr/
anasayfa.htm (24.04.2013).
Chen, A. ve Siems, T. (2004) “The Effects of Terrorism
on Global Capital Markets” European Journal of Political
Economy, 20:349-366.
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. ve Melnick, R. (2004) “Financial Markets
and Terrorism” European Journal of PoliticalEconomy,
20:367-386.
Enders, W., Sandler, T. ve Parise, G.F. (1992) “An
Econometric Analysis of the Impact of Terrorism on
Tourism” Kyklos, 45(4):531-554.
Enders, W. veSandler, T. 1996) “Terrorism and
Foreign Direct Investment in Spain and Greece” Kyklos,
49(3):3331-352.
Glaser, M. ve Weber, M. (2005) “September 11
and Stock Return Expectations of Individual Investors”
Review of Finance, 9(2):243-279.
Hon, M.T., Strauss, J. ve Yong, S. (2004) “Contagion
in financial markets after September 11: mith or reality?”
Journal of Financial Research, 27(1):95-114.
Johnston, R.ve Nedelescu, O. (2005) “The Impact of
Terrorism on Financial Markets”International Monetary
Fund Working Paper Series.
Mun, C.K. (2005) “Contagion and Impulse Response
of International Stock Markets around the 9-11 Terrorist
Attacks” Global Finance Journal, 16(1):48-68.
Türkiye Cumhuriyeti Dışişleri Bakanlığı (2013)http://
www.mfa.gov.tr/pkk_kongra-gel.en.mfa,(24.04.2013).
Türkiye Cumhuriyeti Dışişleri Bakanlığı (2013)
http://www.mfa.gov.tr/what-is-terrorism_---theproblem-of-definition_.en.mfa,(24.04.2013).
Terörizmin Türk Hisse Senedi Piyasası Üzerindeki Etkileri
Bu çalışmada 1996 ile 2007 tarihleri arasında Türkiye’de ve 11 Eylül 2001 tarihinde Amerika Birleşik Devletleri’nde gerçekleşen terörist saldırıların Türk Hisse Senedi Piyasası üzerindeki etkileri analiz edilmiştir. İki farklı analiz yöntemi kullanılmıştır. Bu yöntemlerden ilki olay etüdü yöntemi diğeri ise zaman serisi analizidir. Örneklem üzerinde bazı terör olayları yüksek negatif getiriye sebep olurken, çoğu terör olayı, terör olayının gerçekleştiği gün için (t=0) istatistiksel olarak anlamlı anormal getiri (ARs) oluşturmamıştır. Daha uzun olay pencereleri için, olay gününden 5 gün sonrasına (t= + 5) ve olay gününden 10 gün sonrasına (t= + 10) kadar kümülatif anormal getiriler (CARs) hesaplanmıştır. Çoğu terör olayı için kümülatif anormal getiriler olay günü için hesaplanmış olan anormal getirilerden daha yüksek çıkmıştır. Bu sonuç hisse senedi piyasasının terör olayını takip eden günlerde düşmeye devam ettiğini göstermiştir. Zaman serisi analizlerinde kullanılan oynaklık (volatilite) modelleri ise Türk Hisse Senedi Piyasasının terör saldırılarına duyarlı olduğunu göstermiştir
Abadie, A. ve Gardeazabal,J. (2003) “The Economic
Costs of Conflict: A Case Study of the Basque Country”
American Economic Review, 93(1):113-132.
Abadie, A.veGardeazabal, J. (2005) “Terrorism and
the World Economy” Harvard University and NBER
Working Paper Series.
Arin, K., Ciferri, D. ve Spagnolo, N. (2008) “The
Price of Terror: The Effects of Terrorism on Stock Market
Returns and Volatility”Economics Letters, 101(3):164-
167.
Berrebi, C. ve Klor, E. (2010) “The Impact of
Terrorism on the Defence Industry” Economica, 77:518-
543.
Bollerslev, T. (1986) “Generalized Autoregressive
Conditional Heteroskedasticity” Journal of Econometrics,
31:307-327.
Brown, S. ve Warner, J. (1985) “Using Daily Stock
Returns: The Case of Events Studies” Journal of Financial
Economics 14:3-31.
Center of Excellence Defense Against Terrorism
(2007) “Special Report No: 9, 4th June 2007, Ankara
Suicide Bombing Overview” http://www.tmmm.tsk.tr/
anasayfa.htm (24.04.2013).
Chen, A. ve Siems, T. (2004) “The Effects of Terrorism
on Global Capital Markets” European Journal of Political
Economy, 20:349-366.
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. ve Melnick, R. (2004) “Financial Markets
and Terrorism” European Journal of PoliticalEconomy,
20:367-386.
Enders, W., Sandler, T. ve Parise, G.F. (1992) “An
Econometric Analysis of the Impact of Terrorism on
Tourism” Kyklos, 45(4):531-554.
Enders, W. veSandler, T. 1996) “Terrorism and
Foreign Direct Investment in Spain and Greece” Kyklos,
49(3):3331-352.
Glaser, M. ve Weber, M. (2005) “September 11
and Stock Return Expectations of Individual Investors”
Review of Finance, 9(2):243-279.
Hon, M.T., Strauss, J. ve Yong, S. (2004) “Contagion
in financial markets after September 11: mith or reality?”
Journal of Financial Research, 27(1):95-114.
Johnston, R.ve Nedelescu, O. (2005) “The Impact of
Terrorism on Financial Markets”International Monetary
Fund Working Paper Series.
Mun, C.K. (2005) “Contagion and Impulse Response
of International Stock Markets around the 9-11 Terrorist
Attacks” Global Finance Journal, 16(1):48-68.
Türkiye Cumhuriyeti Dışişleri Bakanlığı (2013)http://
www.mfa.gov.tr/pkk_kongra-gel.en.mfa,(24.04.2013).
Türkiye Cumhuriyeti Dışişleri Bakanlığı (2013)
http://www.mfa.gov.tr/what-is-terrorism_---theproblem-of-definition_.en.mfa,(24.04.2013).