Siyasi haberler ve hisse senedi piyasasındaki tepkiler: 2008-2017 döneminde Türkiye'den bulgu

The primary objective of this thesis is to examine the impact of political news (good and bad news) on the returns and volatility of Borsa Istanbul 100 Index (BIST-100). Sample data covers the period from January 2008 to December 2017. The main sample was divided into two sub-periods to insulate the dominating impacts of both the 2008 Global Financial Crisis and 2013 Federal Reserve Tapering on Turkish stock markets. The daily stock market data was collected from the EVDS Web-Service, while political news headlines were collected from the Guardian newspaper. Different nonlinear volatility models (Symmetric and Asymmetric GARCH type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the thesis highlight four main results. First, there seems to be a significant impact of political news on the returns and volatility of BIST-100 index. Second, negative shocks derived from bad news tend to have a significant impact on the returns and volatility of BIST-100, while positive shocks derived from good news do not tend to have any significant impact on the returns, but decreased returns volatility. Third, political news, both good and bad, can affect stock return and stock return volatility in different directions, and this direction is time-varying. Fourth, the findings strongly reveal the presence of "Leverage Effect" in the returns of BIST-100 index.