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Political news and stock market reactions: evidence from Turkey over the period 2008–2017

Sleiman Karime
Sleiman Karime
 e 
Özlem Sayilir
Özlem Sayilir
   | 30 giu 2019
International Journal of Management and Economics's Cover Image
INFORMAZIONI SU QUESTO ARTICOLO
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Article Category: Empirical Paper
Pubblicato online: 30 giu 2019
Pagine: 83 - 98
Ricevuto: 10 gen 2019
Accettato: 02 giu 2019
DOI: https://doi.org/10.2478/ijme-2019-0013
Parole chiave
© 2019 Sleiman Karime and Özlem Sayilir, published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Figure 1

BIST-100 Index Closing Prices and Returns (January 2008–December 2017).
BIST-100 Index Closing Prices and Returns (January 2008–December 2017).

Figure 2

BIST-100 Index Closing Prices and Returns (January 2008–May 2013).
BIST-100 Index Closing Prices and Returns (January 2008–May 2013).

Figure 3

BIST-100 Index Closing Prices and Returns (June 2013–December 2017).
BIST-100 Index Closing Prices and Returns (June 2013–December 2017).

Figure 4

Quantile–Quantile (Q–Q) normal distribution plots.
Quantile–Quantile (Q–Q) normal distribution plots.

ARCH–LM test for residuals of BIST-100 index returns

Full sampleFirst subperiodSecond subperiod
ARCH–LM test statistic160.2096.01138.601
Prob. Chi-Square (5)0.00000.00000.0000

Estimation of EGARCH(1,1) and TGARCH(1,1) for BIST-100 with bad news

EGARCH(1,1)TGARCH(1,1)
ModelFull sampleFirst subperiodSecond subperiodFull sampleFirst subperiodSecond subperiod
Mean equation
a00.000821***0.000743*0.000744*0.000774**0.000716*0.000934**
a0.0061470.059654**−0.0462790.0081560.042385−0.054156*
1a2−0.0010540.003145**−0.002748***−0.0010450.003549**−0.003142***
Variance equation
w−0.335437***−0.380741***−0.142205***8.82E-06***1.06E-05***7.00E-07
a10.139369***0.184271***0.0138920.033089***0.049834***−0.014458**
γ1−0.071022***−0.079453***−0.050282***0.092487***0.100430***0.039582***
b10.972227***0.969907***0.985540***0.886495***0.870900***0.978532***
a2−0.030995−0.145424***0.034923**−1.11E-06−2.82E-05***1.18E-05***
a1 + b11.1115961.1541780.9994320.9195840.9207340.964074
AIC−5.541641−5.401561−5.789227−5.539515−5.406895−5.782023
SC−5.522625−5.370420−5.752947−5.520500−5.375754−5.745742
Standardized residuals (12)
AC0.0500.0590.0330.0530.0640.036
Standardized residuals squared(12)
AC0.0310.0250.0580.0260.0220.063
ARCH–LM Test (12)
Obs*R215.7230116.8922713.5126812.0228112.0673111.94038

Descriptive statistics of the daily returns of the BIST-100 index

Statistical indicatorFull sample periodFirst subperiodSecond subperiod
Mean0.0002770.0003270.000216
Median0.0007370.0009140.000526
Maximum0.1212720.1212720.063602
Minimum−0.132585−0.132585−0.110638
SD0.0168510.0185720.014508
Skewness−0.288541−0.177630−0.556939
Kurtosis9.1471308.7986118.232316
Jarque–Bera3877.1451878.7551317.614
Probability0.0000000.0000000.000000
Sum0.6757130.4371610.238551
Sum SD0.6928720.4604870.232378
Observations244113361105

Estimation of EGARCH(1,1) and TGARCH(1,1) for BIST-100 with good news

ModelEGARCH(1,1)TGARCH(1,1)
Full sampleFirst subperiodSecond subperiodFull sampleFirst subperiodSecond subperiod
Mean equation
α00.000724***0.000906**0.0003330.000729**0.000934**0.000522
α10.0057980.057195*−0.0402770.0083940.043277−0.050734
α2−0.000510−0.0009470.000183−0.000632−0.0008330.000335
Variance equation
ω−0.366020***−0.433170***−0.138736***1.02E-05***1.02E-05***3.25E-06***
α10.147939***0.192757***0.0030070.035126***0.053410***−0.008972*
γ−0.07549***−0.084255***−0.058738***0.092297***0.105968***0.040310***
β10.969516***0.965389***0.984060***0.881138***0.863366***0.970516***
α2−0.0478790.012282−0.071438**−2.17E-05**−2.13E-05−1.08E-05
α1 + β11.1174551.1581460.9870670.9162640.9167760.961544
AIC−5.540874−5.395254−5.785344−5.540191−5.400103−5.769109
SC−5.521858−5.364113−5.749063−5.521175−5.368962−5.732828
Standardized residuals (12)
AC0.0520.0600.0430.0550.0280.048
Standardized residuals squared(12)
AC0.0320.0320.0610.0280.0280.073
ARCH–LM test (12)
Obs*R215.5804518.1125416.8809412.1886213.1909213.47925

ADF unit root test for the BIST-100 return series

Critical values
Unit root testADF statisticProb.*1%5%10%
Full period−48.347090.0001−3.433−2.862−2.567
First subperiod−34.4580.0000−3.435−2.863−2.568
Second subperiod−36.1520.0000−3.436−2.864−2.568

Political news headlines categorizing criteria

News headlinesCategorizingDecision
Kurdish leader Abdullah Ocalan declares ceasefire with Turkey.Good NewsIncluded
Vladimir Putin: Turkey’s downing of Russian jet “a stab in the back.”Bad NewsIncluded
Turkey and United States “agree in principle” to provide air support for Syrian rebels.NoneventExcluded
Dilek Öcalan, niece of jailed Kurdish leader, enters Turkish parliament.NoneventExcluded
Good newsPolitical news with positive nature, which are expected to increase stock market investors’ appetite such as:
– signing new deals and accords
– declaring ceasefire
– ending conflicts
– peaceful and successful elections
– quick and easy government formation
– fruitful diplomatic visits
– freeing prisoners, etc.
Bad newsPolitical news with negative nature, which are expected to decrease stock market investors’ appetite such as:
– military incursion into a war zone
– protest movements
– coup attempts
– bombing attacks
– detaining journalists
– cut off diplomatic relations
– unfair elections, etc.

Estimation of GARCH(1,1) and GARCH-M(1,1) for BIST-100 with political news

ModelGARCH(1,1)GARCH-M(1,1)
Full sampleFirst subperiodSecond subperiodFull sampleFirst subperiodSecond subperiod
Mean equation
α00.001111***0.001128**0.000948**0.001978*0.002472*0.002450
α1−0.0021740.031160−0.054024*−0.0027850.029342−0.055269*
α2−0.0007600.002617**−0.001916*−0.0007800.002426*−0.001862*
α3−0.061635−0.091964−0.118868
Variance equation
ω7.41E-06***1.00E-05***6.43E-077.36E-06***9.94E-06***6.57E-07
α10.076551***0.102251***0.015308***0.076102***0.102292***0.015462***
β10.898723***0.874146***0.972044***0.899766***0.874655***0.972123***
α2−4.46E-06−2.31E05***7.00E-06***−5.14E06−2.37E-05***6.71E-06***
α1 + β10.9752740.9763970.9873520.9758680.9769470.987585
AIC−5.526698−5.393872−5.765890−5.526090−5.393065−5.764631
SC−5.510059−5.366623−5.734145−5.507075−5.361924−5.728350
Standardized residuals (12)
AC0.0500.0620.0300.0480.0600.029
Standardized residuals squared (12)
AC0.0120.0120.0520.0120.0120.051
ARCH–LM Test (12)
Obs*R29.9845229.74255013.284019.9601179.44270713.38535
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Business and Economics, Political Economics, Economic Theory, Systems and Structures, Business Management, Management Accounting, Financial Controlling, Cost Calculation, Investment
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