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THE EFFECTS OF POLITICAL UNCERTAINTY ON THE TURKISH STOCK MARKET: AN EVENT STUDY ANALYSIS

by | Dec 5, 2019 | DOI 2018

Ibrahim Yasar Gok
Suleyman Demirel University, The Faculty of Economics and Administrative Sciences, Department of Banking and Finance, Isparta/TURKEY
Faruk Dayi
Kastamonu University, The Faculty of Economics and Administrative Sciences, Department of Business Administration, Kastamonu/TURKEY​
​​DOI: https://doi.org/10.31410/EMAN.2018.191

2nd International Scientific Conference – EMAN 2018 – Economics and Management: How to Cope With Disrupted Times, Ljubljana – Slovenia, March 22, 2018, CONFERENCE PROCEEDINGS published by: Association of Economists and Managers of the Balkans, Belgrade, Serbia; Faculty of Management Koper, Slovenia; Doba Business School – Maribor, Slovenia; Integrated Business Faculty – Skopje, Macedonia; Faculty of Management – Zajecar, Serbia, ISBN 978-86-80194-11-0

Abstract​

Since the general elections are a source of political uncertainty, in this study, we examine the relationship between Turkish general elections and the stock market returns. By conducting an event study analysis, the effects of three general elections are investigated in the period of 01/02/2010-12/31/2017. The results of the event study analysis indicate that the general election in June 2015 has a significant negative impact on the stock market. Since the coalition talks fail after the election, a new general election is held in November 2015 and this election causes a significant positive impact on the stock market. Moreover, after applying GARCH (1,1) model, we obtain a GARCH volatility series and we detect that the June 2015 election is associated with a high volatility level. We conclude that although the effects of the elections on returns are apparent, the effects are short-lived and the political stability is an important determinant for investors.

Key words

political risk, stock market, event study analysis, return, volatility

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Yasar Gok_Dayi_THE EFFECTS OF POLITICAL UNCERTAINTY ON THE TURKISH STOCK MARKET – AN EVENT STUDY ANALYSIS_pp_191-196Download
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