Terör Olaylarının Finansal Piyasalar Üzerine Etkisi

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.

Enerji Belirsizliği ve Enerji Sektörü Getirileri İlişkisi

“…Statistical analysis of 23 sector indexes during the pandemic showed that a price bubble was present in ten of them, while the remaining 13 did not exhibit any signs of a price bubble. We can exemplify various important studies (i.e., Akkaya, 2018;Çağlı & Mandacı, 2017;Gök, 2021;Işıldak, 2022;Karcıoğlu & Akyol Özcan, 2023;Korkmaz et al, 2016;Ünal & Çömlekçi, 2021;Ural, 2022;Yıldırım & Akdağ, 2021) to investigate bubble formation in Turkish stock market.…”

An empirical comparison of stock market bubbles

“…The empirical evidence demonstrates that rational bubbles do not exist in BIST 100 and the sector indices considered in the study. Korkmaz et al (2016) examine the effect of bubbles in alternative investment instruments on the BIST 100 index return volatility for the period 2002:1-2016:5. SADF and GSADF test results find that the increases in gold and dollar exchange rates, which are alternative investment instruments, increase the volatility of the BIST 100 index.…”