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Terör Olaylarının Finansal Piyasalar Üzerine Etkisi

Author

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  • Özge KORKMAZ
  • Deniz ERER
  • Elif ERER

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 used. Because of the study, it has 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 has found that gold, service and technology indices have affected by only positive events; however, both negative and positive ones affect industrial and financial indices.

Suggested Citation

  • Özge KORKMAZ & Deniz ERER & Elif ERER, 2017. "Terör Olaylarının Finansal Piyasalar Üzerine Etkisi," Sosyoekonomi Journal, Sosyoekonomi Society, issue 25(31).
    • Handle: RePEc:sos:sosjrn:170101
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    More about this item

    Keywords

    Volatility Models; Equity Market; Gold Market; Financial Market; Terrorist Attack;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • K42 - Law and Economics - - Legal Procedure, the Legal System, and Illegal Behavior - - - Illegal Behavior and the Enforcement of Law

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