Terror is considered as the common problem of both Turkey and other nations in the world. Terrorism cost loss of many lives. It can also create social, economic, political and psychological destructive effects. Following the terrorist attacks, there could be a change in the perception of the decision and policy makers. The negative outcomes of such changes will later be spread to other countries via international trade. Terrorist activities can also adverse effects on financial markets. Outflow of funds from the countries create a downward pressure on stock prices and upward pressure on interest rates. These effects can create long lasting effects in developing countries than developed. In this study, we investigate the direct and indirect relationship between terrorism and stock market volatility by using component GARCH model for the monthly data extracted from DATASTREAM over the period January 1990 and December of 2015.