The Effects of Terrorism on Turkish Stock Market

44414

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.

31

Stock market , volatility , abnormal returns , terrorism

Ege Academic Review (EAR)

41

Ege Academic Review (EAR)