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What determines the success of equity derivatives markets? A global perspective 是什么决定了股票衍生品市场的成功？全球视角
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2023.10.008
{"title":"What determines the success of equity derivatives markets? A global perspective","authors":"","doi":"10.1016/j.bir.2023.10.008","DOIUrl":"10.1016/j.bir.2023.10.008","url":null,"abstract":"<div><div>This study investigated the factors driving derivatives market growth across three regions: the Asia-Pacific region, America, Europe, Africa, and the Middle East. It found that underlying market size, volatility, and liquidity are the main factors that affect the growth of derivatives markets. The results confirm the crucial role played by regulation and politics in fostering the development of derivatives markets. The findings highlight the impact of economic variables such as the ease of doing business, inflation, the interest rate spread, and economic policy uncertainty. These findings offer valuable insights for market analysts, and investors, and for policymakers to enable them to enhance the growth and success of derivatives markets.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":null,"pages":null},"PeriodicalIF":6.3,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135510189","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Quantile connectedness between VIX and global stock markets VIX 与全球股市之间的定量联系
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2024.07.006
{"title":"Quantile connectedness between VIX and global stock markets","authors":"","doi":"10.1016/j.bir.2024.07.006","DOIUrl":"10.1016/j.bir.2024.07.006","url":null,"abstract":"<div><div>This paper investigates the dynamics of the interactions between international stock returns and perceived volatility measured by the VIX index using quantile-on-quantile spillover analysis. Using weekly data from 1995 to 2023 and a comprehensive data set from developed and emerging stock markets, we investigate the relationship between the VIX and stock market returns accounting for time-varying relationships and cross-quantile relationships. Empirical results show that the indirectly related quantile total spillovers between the VIX and equity returns surpasses the directly related quantile total spillovers. High returns occur at low VIX levels and low returns at high VIX levels. The highest total spillovers across all stock markets occur at the highest quantile level for the VIX and the lowest quantile level for stock returns, for both developed and emerging markets. High connectedness between the VIX and stock market returns, particularly at extreme quantiles, suggests that investors should look at other investment vehicles for diversification during uncertain times.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":null,"pages":null},"PeriodicalIF":6.3,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141706254","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Price duration, returns, and volatility estimation: Evidence from China's stock index futures market 价格持续时间、收益和波动率估算：来自中国股指期货市场的证据
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2024.06.008
{"title":"Price duration, returns, and volatility estimation: Evidence from China's stock index futures market","authors":"","doi":"10.1016/j.bir.2024.06.008","DOIUrl":"10.1016/j.bir.2024.06.008","url":null,"abstract":"<div><div>This study estimates the returns and volatility in the China's stock index futures market. Our approach introduces a novel consideration of price duration, a factor that we integrate into our models to enhance the estimation of volatility. We construct a stochastic conditional duration (SCD) model to investigate the price duration and extend the classical generalized autoregressive conditional heteroskedastic (GARCH) model by taking into account price duration and more microstructure variables to investigate their influence on returns and volatility. We investigate in detail the moderating effect of the limiting trade rule, an exogenous policy shock, on returns and volatility. We find that significant clustering exists in price duration and that during the midday break in trading, subsequent price duration and returns decline, whereas volatility increases. Price duration and open interest both have a negative effect on returns and volatility, whereas trading volume has a positive effect on them.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":null,"pages":null},"PeriodicalIF":6.3,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142419703","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Option-based variables and future stock returns in normal times and recessions 正常时期和经济衰退时期基于期权的变量和未来股票回报率
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2024.09.001
{"title":"Option-based variables and future stock returns in normal times and recessions","authors":"","doi":"10.1016/j.bir.2024.09.001","DOIUrl":"10.1016/j.bir.2024.09.001","url":null,"abstract":"<div><div>We examine the prediction of future returns of optionable stocks trading in the US exchanges by several option-based variables for the period between 1996 and 2015. It is found that option-based variables are significant factors in estimating future stock returns in normal periods and during recessions. The spread between weighted averages of implied volatilities calculated with all call and put options of underlying stocks is found to have the highest effect on future stock returns. Although the mean squared errors of the option models are significantly higher during recessions than the expansion periods, the model with option-based variables outperforms the market model and the Fama-French Three Factor Model in both recessions and the whole sample period. The findings suggest that option-based models incorporate information about extreme events more than the traditional models.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":null,"pages":null},"PeriodicalIF":6.3,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142419704","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Linear extrapolation and model-free option implied moments 线性外推法和无模型期权隐含矩
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2024.01.009
{"title":"Linear extrapolation and model-free option implied moments","authors":"","doi":"10.1016/j.bir.2024.01.009","DOIUrl":"10.1016/j.bir.2024.01.009","url":null,"abstract":"<div><div>This study proposes an approach for assessing the effectiveness of linear extrapolation (LE) for the implied moment estimators even in cases in which the true values of implied moments are unknown. To this end, we develop truncation sensitivity functions for simulation and empirical analyses. LE proves effective for implied volatility, skewness, and kurtosis estimators. However, higher moment (i.e., implied skewness and kurtosis) estimators exhibit sensitivity to truncation, that is, the absence of option prices in the outermost region of the strike price domain, regardless of the use of LE to address truncation.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":null,"pages":null},"PeriodicalIF":6.3,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139518348","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The effects of non-deliverable forward programs of emerging-market central banks: A synthetic control approach 新兴市场中央银行非交割远期项目的影响：合成控制法
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2024.03.009
{"title":"The effects of non-deliverable forward programs of emerging-market central banks: A synthetic control approach","authors":"","doi":"10.1016/j.bir.2024.03.009","DOIUrl":"10.1016/j.bir.2024.03.009","url":null,"abstract":"<div><div>Since the Global Financial Crisis in 2008, emerging market economies’ central banks have started to use foreign exchange derivative instruments frequently in exchange rate markets to provide a hedging instrument for currency risks and to support market liquidity. In this context, the central banks of three major emerging markets—the Central Bank of Brazil, Central Bank of Mexico, and Central Bank of the Republic of Türkiye—have started to implement non-deliverable forward (NDF) auctions. In this study, the impact of the NDF programs on financial market indicators is examined using a synthetic control method, which controls for the endogeneity and causality problems commonly faced by studies on the effect of central bank exchange market interventions. The empirical findings indicate that the NDF programs of the Central Bank of Brazil and Central Bank of Mexico have a significant impact on the exchange rate level but limited impact on the volatility and no impact on risk reversals. Conversely, the NDF program of the Central Bank of the Republic of Türkiye has a significant downward impact on the implied volatility and risk reversal but no significant impact on the level of the exchange rate. The difference in the effectiveness of similar practices of these three central banks is considered to be related mostly to the size of the programs.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":null,"pages":null},"PeriodicalIF":6.3,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140272850","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Economic policy uncertainty and options market participation: Hedge or speculation? 经济政策不确定性与期权市场参与：对冲还是投机？
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2024.04.006
{"title":"Economic policy uncertainty and options market participation: Hedge or speculation?","authors":"","doi":"10.1016/j.bir.2024.04.006","DOIUrl":"10.1016/j.bir.2024.04.006","url":null,"abstract":"<div><div>Using data from the Shanghai Stock Exchange 50 exchange-traded fund (SSE 50 ETF) options, we examine the impact of economic policy uncertainty (EPU) on options market participation. We find that increased EPU significantly induces investor participation in the options market, and this positive effect remains significant over the following three months. Further investigation shows that EPU significantly increases the ratio of trading volume to open interest in SSE 50 ETF options but has no significant impact on the demand for bearish hedging. Moreover, EPU's stimulatory effect on investor participation is stronger during periods of higher investor sentiment. These findings suggest that increased investor participation in the options market during periods of high economic uncertainty is due to speculative trading rather than hedging.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":null,"pages":null},"PeriodicalIF":6.3,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140775557","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Evolving roles of energy futures markets: A survey 能源期货市场不断演变的角色：调查
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2024.05.004
{"title":"Evolving roles of energy futures markets: A survey","authors":"","doi":"10.1016/j.bir.2024.05.004","DOIUrl":"10.1016/j.bir.2024.05.004","url":null,"abstract":"<div><div>Energy markets are important in global trade and economic stability, and energy futures play a critical role in energy market dynamics. This study reviews: <em>i</em>) the important role energy futures market prices play as reliable forecasts of future spot prices for energy commodities; <em>ii</em>) the connectedness of energy futures and spot markets; <em>iii</em>) how energy futures markets facilitate managing exposure to energy price risk; <em>iv</em>) the systemic influence of energy futures prices and volatility on other markets and how this influence frequently surges during crises. Our survey provides economic insights for energy market participants and policymakers.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":null,"pages":null},"PeriodicalIF":6.3,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141136610","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Financial derivative instruments and their applications in Islamic banking and finance: Fundamentals, structures and pricing mechanisms 金融衍生工具及其在伊斯兰银行业和金融业中的应用：基本原理、结构和定价机制
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2024.02.013
{"title":"Financial derivative instruments and their applications in Islamic banking and finance: Fundamentals, structures and pricing mechanisms","authors":"","doi":"10.1016/j.bir.2024.02.013","DOIUrl":"10.1016/j.bir.2024.02.013","url":null,"abstract":"<div><div>There is ongoing debate regarding the permissibility of financial derivatives in Islamic banking and finance. While traditional derivative products are rejected by most Islamic schools of thought as permissible tools for risk management, there have been developments in <em>Shariah</em>-compliant structured products to address this need. Therefore, the objectives of the study are twofold: i) to examine the permissibility and acceptability of financial derivatives within Islamic economics and finance, and ii) to investigate their structures and pricing models. This study finds that these instruments can be utilised for risk management purposes while adhering to the principles of wealth protection in Islam. It is also crucial to prohibit elements such as speculation, gambling, and <em>gharar</em> while using financial derivatives in Islamic banking and Finance. As a contribution to the study, this research aims to incorporate traditional option pricing models into <em>Shariah</em>-compliant derivatives, which has been a topic that has been scarcely explored in previous studies.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":null,"pages":null},"PeriodicalIF":6.3,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140055087","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Testing asset pricing models with individual stocks: An instrumental variables approach 用个股检验资产定价模型：工具变量法
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-09-01 DOI: 10.1016/j.bir.2024.05.005
{"title":"Testing asset pricing models with individual stocks: An instrumental variables approach","authors":"","doi":"10.1016/j.bir.2024.05.005","DOIUrl":"10.1016/j.bir.2024.05.005","url":null,"abstract":"<div><p>This study empirically tests time-varying asset pricing models in an emerging market with individual stocks. We employ a recently proposed instrumental variables (IV) technique that uses individual stocks as test assets while consistently estimating ex-post risk premiums. This method differs from constructing test portfolios, a common practice employed to mitigate errors-in-variables bias, and, instead, uses factor sensitivity estimates from alternating even and odd months as IVs. Applying this approach, we observe statistically insignificant factor risk premiums under various multifactor models in asset pricing tests at Borsa Istanbul, after accounting for asset characteristics. Our method facilitates the inclusion of essential risk or return-related characteristics of individual stocks in tests, raising insights usually obscured by conventional test portfolios. The results contribute to empirical asset pricing by highlighting the failure of classical models to explain risk premiums at Borsa Istanbul, a significant emerging stock market, when tested with individual stocks using an IV approach.</p></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":null,"pages":null},"PeriodicalIF":6.3,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S221484502400084X/pdfft?md5=fec5b6bdc0a14834453b14244adbb3cd&pid=1-s2.0-S221484502400084X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141131339","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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