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 were used. As a result of the study, it was 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 was found that gold, service and technology indices are affected by only positive events; however, industrial and financial indices are affected by both negative and positive ones.

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