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The Effects of Terrorism on Turkish Stock Market

Author

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  • Mine AKSOY

    (Yalova University, Faculty of Economics and Administrative Sciences, Department of Business Administration)

Abstract

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.

Suggested Citation

  • Mine AKSOY, 2014. "The Effects of Terrorism on Turkish Stock Market," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 14(1), pages 31-41.
    • Handle: RePEc:ege:journl:v:14:y:2014:i:1:p:31-41
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    Citations

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    Cited by:

    1. Emrah Koçak & Umit Bulut & Angeliki N. Menegaki, 2022. "The resilience of green firms in the twirl of COVID‐19: Evidence from S&P500 Carbon Efficiency Index with a Fourier approach," Business Strategy and the Environment, Wiley Blackwell, vol. 31(1), pages 32-45, January.
    2. Gok, Ibrahim Yasar & Demirdogen, Yavuz & Topuz, Sefa, 2020. "The impacts of terrorism on Turkish equity market: An investigation using intraday data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    3. Syed Abdul Rehman KHAN & Zhang YU, 2020. "The Impact of Terrorism on Economics and Logistics Performance: An Empirical Study from the Perspective of SAARC Member States," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 99-117, December.
    4. Chaudhry, Naukhaiz & Roubaud, David & Akhter, Waheed & Shahbaz, Muhammad, 2018. "Impact of terrorism on stock markets: Empirical evidence from the SAARC region," Finance Research Letters, Elsevier, vol. 26(C), pages 230-234.

    More about this item

    Keywords

    Stock market; volatility; abnormal returns; terrorism;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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