War-related risks and the Ýstanbul bourse on the eve of the First World War
Erdost Torun and
Elmas Yaldız Hanedar ()
Borsa Istanbul Review, 2015, vol. 15, issue 3, 205-212
The lack of well-documented information in the historical literature on the relationship between war-related expectations and their effects on the bond market in the Ottoman Empire motivates this paper's three contributions. First, this paper is the first empirical study to investigate the break points in the volatility of Ottoman bond prices from a historical point of view. Second, we use the econometric technique developed by Inclan and Tiao (1994) to identify the structural breaks. Last, we use a manually collected dataset from the daily newspapers of the time on daily Ottoman bond prices from 1910 to 1914. Subsequently, we identify five structural break dates, each of them corresponding to important war-related events. When we investigate the commentaries in the Ottoman newspapers, we see that the outbreak of several wars might not have been a surprise for investors in the Ottoman Empire, as reflected by government bond prices.
Keywords: The Turco-Italian war; Ottoman government bonds; Inclan-Tiao test (search for similar items in EconPapers)
JEL-codes: G1 N25 N45 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:bor:bistre:v:15:y:2015:i:3:p:205-212
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