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Terrorism and the Stock Market: A Case Study for Turkey Using STR Models

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dc.contributor.author Çorakçı, Ayşegül
dc.contributor.author Omay, Tolga
dc.date.accessioned 2024-04-25T07:45:38Z
dc.date.available 2024-04-25T07:45:38Z
dc.date.issued 2014-07
dc.identifier.citation Çorakçı, Ayşegül; Omay, T. (2014). "Terrorism and the Stock Market: A Case Study for Turkey Using STR Models", Journal of Reviews on Global Economics, Vol.3, pp.220-227. tr_TR
dc.identifier.issn 19297092
dc.identifier.uri http://hdl.handle.net/20.500.12416/8020
dc.description.abstract Several attempts have been made in the literature to analyze the detrimental effects of terrorist activities on the stock market. However, in neither of these studies the effects of terrorist activities on stock returns are investigated through employing nonlinear models in spite of the fact that most financial data is shown to exhibit nonlinear behaviour. This study, therefore, aims to contribute to this growing area of research by exploring the potential nonlinear effects of terrorist activities on stock returns by employing smooth transition regression (STR) models. Our results show that terrorism has a statistically significant negative effect on the stock index when the intensity of terrorist activities passes a certain threshold level. This negative effect continues for terrorist activities below this threshold level, but becomes statistically insignificant. This study by conducting the analysis within a nonlinear framework offers important insights into the investors who want to make portfolio diversification strategies against terrorism risk. tr_TR
dc.language.iso eng tr_TR
dc.relation.isversionof 10.6000/1929-7092.2014.03.17 tr_TR
dc.rights info:eu-repo/semantics/closedAccess tr_TR
dc.title Terrorism and the Stock Market: A Case Study for Turkey Using STR Models tr_TR
dc.type article tr_TR
dc.relation.journal Journal of Reviews on Global Economics tr_TR
dc.contributor.authorID 103299 tr_TR
dc.identifier.volume 3 tr_TR
dc.identifier.startpage 220 tr_TR
dc.identifier.endpage 227 tr_TR
dc.contributor.department Çankaya Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü tr_TR


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