International Conference on Eurasian Economies
29-31 August 2016 – Kaposvár, HUNGARY
Paper detail
Paper ID : 1706
Status : Paper published
Language : Turkish
Topic : Finance and Financial Crises
Presenter:
Session : 2D Finans II
Impact of Terrorism on Financial Markets: The Case of Turkey
Terörizmin Finansal Piyasalara Etkisi: Türkiye Örneği
- Prof. Dr. Neşe Algan (Çukurova University, Türkiye)
- Prof. Dr. Mehmet Balcılar (Eastern Mediterranean University, TR of Northern Cyprus)
- Prof. Dr. Harun Bal (Çukurova University, Türkiye)
- Asst. Prof. Dr. Müge Manga (Erzincan Binali Yıldırım University, Türkiye)
Abstract
This study investigates the impact of terrorism on the Turkish financial market using daily data from Jan 4, 1988 to May 24, 2016. In order to measure the impacts of terrorist attacks in Turkey we test for causality from terrorism index to returns and volatilities of 3 aggregate and 16 sector level stock indices using a recently developed nonparametric causality-in-test test of Balcilar et al. (2016). The results obtained indicate that there is no causality from terrorist activities to stock market returns (1st moment). However, we find significant causality at various quantiles from terrorist activates to volatility (2nd moment) of tourism, food and basic materials sectors.
JEL codes: D74, D53, C32
Algan, Neşe, Balcılar, Mehmet, Bal, Harun, Manga, Müge (2016). "Impact of Terrorism on Financial Markets: The Case of Turkey" in Proceedings of International Conference of Eurasian Economies 2016, pp.624-631, Kaposvár, HUNGARY.
DOI: https://doi.org/10.36880/C07.01706
