Examining the financial effects of boycotting Israel: Event-study and modern portfolio theory approaches with data from Borsa Istanbul

IF 7.1 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review Pub Date : 2025-06-06 DOI:10.1016/j.bir.2025.06.002

Burak Dogan

引用次数: 0

Abstract

This study evaluates how the current Israel boycotts affect Borsa Istanbul. An event study in a 45-day window around October 7, 2023 tests abnormal returns for a value-weighted portfolio of 22 boycotted firms using four models (Market, Market-Return, Constant-Mean, CAPM). All detect a clear one-day price hit, though magnitudes vary. For longer horizons we re-create the BIST 30, BIST 100 and Participation 30 indices without the boycotted stocks and follow them to December 31, 2024. Sharpe, Sortino, Treynor and Jensen metrics drift modestly higher, and the revised indices edge ahead in cumulative return, but significance tests give mixed signals. Overall, boycott targets suffer a short-run valuation loss, while indices that exclude them record slightly better risk-adjusted performance over the next year.

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检查抵制以色列的金融影响：事件研究和现代投资组合理论方法与Borsa伊斯坦布尔的数据

这项研究评估了当前以色列的抵制如何影响Borsa伊斯坦布尔。在2023年10月7日左右的45天窗口内的事件研究中，使用四种模型（市场，市场回报，常数均值，CAPM）测试了22家抵制公司的价值加权投资组合的异常回报。它们都预测到明显的单日价格下跌，尽管幅度各不相同。从更长远的角度来看，我们重新创建了不含抵制股票的BIST 30、BIST 100和Participation 30指数，并跟踪它们至2024年12月31日。夏普（Sharpe）、索蒂诺（Sortino）、特雷纳（Treynor）和詹森（Jensen）指标小幅上升，修正后的指数在累积回报方面略微领先，但显著性检验给出了不同的信号。总体而言，抵制目标遭受短期估值损失，而排除它们的指数在未来一年的风险调整后表现略好。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Borsa Istanbul Review Multiple-

CiteScore

7.60

自引率

3.80%

发文量

130

审稿时长

26 days

期刊介绍： Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations