The impacts of terrorism on Turkish equity market: An investigation using intraday data
Ibrahim Yasar Gok (),
Yavuz Demirdogen and
Physica A: Statistical Mechanics and its Applications, 2020, vol. 540, issue C
This study investigates the effects of thirty-five major terrorist attacks that occurred between 01/01/2012 and 12/31/2016 in Turkey on the Borsa Istanbul equity market. By applying the E-GARCH (1,1) model, it was detected that the incidents did not significantly affect the volatility. We examined the effects of the incidents on prices by employing event study analysis and using both daily and intraday data. The results of the intra-daily analysis demonstrated that the attacks that occurred during trading hours had the greatest negative effects in the first 30 min. Thereafter, the market ensured recovery by compensating its loss until the end of the day. When the daily effects of the attacks were observed, it was found that only four of the thirty-five attacks caused significant negative impacts on the days they occurred. Moreover, in the aftermath, the 6- and 11-day cumulative abnormal returns were significantly negative in only one among these four attacks. Therefore, the case-by-case findings showed that the Borsa Istanbul equity market is resistant to major terrorist attacks. Although the investors’ intense negative reactions were identified immediately after the incidents, it was clarified that they restored their confidence quickly, and the market turmoil mostly disappeared on the day of the incident.
Keywords: Terrorist attacks; High-frequency data; Event study analysis; E-GARCH; Stock return; Volatility (search for similar items in EconPapers)
JEL-codes: E44 G11 G14 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:540:y:2020:i:c:s0378437119319454
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