한·터키 경제 불확실성의 영향력 분석: 충격-반응 모형

초록

This study focused on the events that cause the economic uncertainty in Turkey. Aiming at discovering the causality, this study examines the information effect of social, political, and security events on the stock market in Turkey. In practice, this study discovers whether a specific event results in the change in the cumulative average abnormal return of listed companies during January 2000 ~ July 2016 by applying the event study. The main events refer to the political events(break-up conduct of islamic parties, the victory of AKP in the general election in 2002, 2011, and 2015, enterance to Parliament of a pro-Kurdish left wing party, HDP), foreign security events(the Russian fighter’s shootdown incident in Turkey), Terrors(wild shooting in the Turkey High Court, PKK rebels near Iraq’s borders, a series of bomb terrors in Istanbul and Ankara), and military coup, etc. The research objectives are the listed companies in the stock market in Turkey, which are capable of realizing the output of the cumulative average abnormal return. The main findings are as follows. First, the political events such as the victory of AKP in the general election(the year 2002)(+) and the entrance to Parliament of a pro-Kurdish left wing party, HDP(the year 2015)(-) exert the information effect on the stock market. In contrast, the victory of AKP in the general election of the year 2011 and 2015 does not exert an effect on the stock market. In the meantime, civil terrors(-) such as wild shooting in the Turkey High Court in 2006 exert the information effect on the stock market, whilst a recent series of terrors in Istanbul and Ankara do not exert an information effect on it. Unlike this, the military coup in 15. July, 2016 exerts a negative effect on the market investors’ expectation resulting in the decrease in the cumulative average abnormal return.

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