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More than just sentiment: Using social, cognitive, and behavioral information of social media to predict stock markets with artificial intelligence and big data 不仅仅是情绪：利用社交媒体的社交、认知和行为信息，利用人工智能和大数据预测股市
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-12-01 DOI: 10.1016/j.bir.2024.12.003
Yunus Emre Akdogan , Adem Anbar
{"title":"More than just sentiment: Using social, cognitive, and behavioral information of social media to predict stock markets with artificial intelligence and big data","authors":"Yunus Emre Akdogan ,&nbsp;Adem Anbar","doi":"10.1016/j.bir.2024.12.003","DOIUrl":"10.1016/j.bir.2024.12.003","url":null,"abstract":"<div><div>Digital transformation offers unprecedented opportunities to access data on hard-to-measure social aspects. In this digital era, social media platforms have become critical data sources for the social sciences. This study moves beyond traditional finance assumptions of “perfect information,” “rational humans,” and “isolated individuals” by analyzing retail investor behavior using Twitter data. It adopts a human model characterized by incomplete information, bounded rationality, and the influence of social and emotional factors. Tweets shared between January 1, 2012, and February 28, 2020, were collected. A GRU-based context classifier achieved 98% accuracy in identifying tweets related to Borsa Istanbul (BIST). Sentiment classification using a BERT model achieved 91% accuracy for positive and negative classes. Relationships between Twitter-obtained features and BIST indices were analyzed using machine learning methods such as linear regression, Lasso regression, random forest, and XGBoost. The analysis revealed that 91% of the change in the opening value, 63% of the change in trading volume, and 67% in volatility of the BIST 100 index could be attributed to cognitive, behavioral, and social features gleaned from tweets.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 ","pages":"Pages 61-82"},"PeriodicalIF":6.3,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143347781","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
Beyond polarity: How ESG sentiment influences idiosyncratic volatility in the Turkish stock market 超越极性：ESG情绪如何影响土耳其股市的特殊波动
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-12-01 DOI: 10.1016/j.bir.2024.11.003
Alev Atak
{"title":"Beyond polarity: How ESG sentiment influences idiosyncratic volatility in the Turkish stock market","authors":"Alev Atak","doi":"10.1016/j.bir.2024.11.003","DOIUrl":"10.1016/j.bir.2024.11.003","url":null,"abstract":"<div><div>This study investigates the influence of Environmental, Social, and Governance (ESG) sentiment in corporate disclosures on idiosyncratic volatility (IVOL) in the Turkish stock market. Using FinBERT-ESG, a language model specifically designed for financial and ESG-related texts, we construct four novel indices: the Positive ESG Index (PESGIN), capturing positive ESG sentiment; the Negative ESG Index (NESGIN), representing adverse ESG sentiment; the Balanced Polarity Index (BPI), measuring the overall balance between positive and negative sentiment; and the Amplified Negative Polarity Index (ANPI), which emphasizes the intensity of negative sentiment. By employing a system-GMM approach, which effectively addresses endogeneity concerns common in finance, we find that PESGI is negatively associated with IVOL, suggesting that transparent and optimistic ESG communication reduces firm-specific risk. Conversely, ANPI positively correlates with IVOL, supporting the overreaction hypothesis and highlighting elevated investor sensitivity to adverse ESG disclosures. These findings underscore the complex interplay between ESG sentiment and investor behaviour, offering valuable insights for enhancing risk assessment and guiding investment strategies.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 ","pages":"Pages 10-21"},"PeriodicalIF":6.3,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143347782","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
Powering perception, echoing green voices: The interplay of Cryptocurrency's energy footprint and environmental discourse in steering the direction of the market 推动感知，呼应绿色声音：加密货币的能源足迹和环境话语在引导市场方向方面的相互作用
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-12-01 DOI: 10.1016/j.bir.2024.12.020
Iheb Ghazouani, Ines Ghazouani, Abdelwahed Omri
{"title":"Powering perception, echoing green voices: The interplay of Cryptocurrency's energy footprint and environmental discourse in steering the direction of the market","authors":"Iheb Ghazouani,&nbsp;Ines Ghazouani,&nbsp;Abdelwahed Omri","doi":"10.1016/j.bir.2024.12.020","DOIUrl":"10.1016/j.bir.2024.12.020","url":null,"abstract":"<div><div>This study examines the influence of cryptocurrency's environmental footprint on market behavior through an analysis of 66,582 Reddit posts about Bitcoin and 23,231 about Ethereum. Using a vector autoregression (VAR) model, it explores the relationship between social media discussions on environmental issues, electricity use, and cryptocurrencies' market dynamics. We find a negative correlation between environmental discussions and Bitcoin volatility. Moreover, real electricity use has a more pronounced impact than social media discussions on both Bitcoin and Ethereum volatility. This indicates that crypto market investors prioritize real-world indicators over information from social media discussions. The study also reveals a bidirectional relationship between Bitcoin volatility and environmental posts, highlighting the complex interplay between market behavior and public discourse on environmental matters in the cryptocurrency domain. These results suggest the need for policies that limit energy consumption due to mining, promote renewable energy, and enhance investor education on environmental impacts to support sustainable practices in the cryptocurrency market.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 ","pages":"Pages 91-101"},"PeriodicalIF":6.3,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143347785","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
Digital technology development and systemic financial risks: Evidence from 22 countries 数字技术发展与系统性金融风险：来自 22 个国家的证据
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-12-01 DOI: 10.1016/j.bir.2024.08.002
Xu Haoran, Miao Wenlong, Zhang Siyu
{"title":"Digital technology development and systemic financial risks: Evidence from 22 countries","authors":"Xu Haoran,&nbsp;Miao Wenlong,&nbsp;Zhang Siyu","doi":"10.1016/j.bir.2024.08.002","DOIUrl":"10.1016/j.bir.2024.08.002","url":null,"abstract":"<div><div>This study evaluates how digital technology development affects systemic financial risks in various countries. We employ cross-country sample data from over 5000 financial institutions in 22 countries from 2013 to 2021. The results reveal that the rapid growth of digital technology increases the systemic financial risks of various countries; this increase is related to disparities in the digital technology development stages and financial system structures. Furthermore, this study investigates the emotional contagion, complex financial linkage, and valuation inhibition effects on digital technology development's impact on systemic financial risks. Heterogeneity analysis shows that in countries with high levels of digital technology development and market-oriented financial systems, digital technology's effect on intensifying systemic financial risks is more significant.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 ","pages":"Pages 1-9"},"PeriodicalIF":6.3,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142196055","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
Gauging the dynamic interlinkage among robotics, artificial intelligence, and green crypto investment: A quantile VAR approach 衡量机器人、人工智能和绿色加密投资之间的动态相互联系：分位数VAR方法
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-12-01 DOI: 10.1016/j.bir.2024.11.006
Le Thanh Ha
{"title":"Gauging the dynamic interlinkage among robotics, artificial intelligence, and green crypto investment: A quantile VAR approach","authors":"Le Thanh Ha","doi":"10.1016/j.bir.2024.11.006","DOIUrl":"10.1016/j.bir.2024.11.006","url":null,"abstract":"<div><div>A large amount of new green crypto investment is required to achieve the United Nations’ sustainable development goals. The development and application of artificial intelligence (AI) are essential for attracting this investment because it has the potential to increase the adoption of environmental innovation and individual environmental awareness. In our research, we use a DCC-GARCH copula model to examine time-varying spillover effects and demonstrate interconnections between the development of AI and green cryptocurrencies from January 1, 2018, to September 8, 2023. Our results show that when we consider the full data sample, the variables studied all have only weak connections. These results clearly demonstrate temporal variance in systemic connection caused by the COVID-19 pandemic, the Russia-Ukraine war, and bank failures. Robotics &amp; AI ETF (BOTZ) is a net recipient of shocks across quantiles throughout the study, according to the total net directional connectivity across quantiles. Pairwise directional connectivity in an evolving net indicates that BOTZ consistently appears to be dominated by green cryptocurrencies in both the short and long term. Understanding the primary sources of spillovers between AI and green cryptocurrencies can help policymakers design the most effective strategies for mitigating these vulnerabilities and reducing market risk.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 ","pages":"Pages 22-31"},"PeriodicalIF":6.3,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143347783","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
Classification of the optimal rebalancing frequency for pairs trading using machine learning techniques 使用机器学习技术对配对交易的最佳再平衡频率进行分类
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-12-01 DOI: 10.1016/j.bir.2024.12.004
Mahmut Bağcı, Pınar Kaya Soylu
{"title":"Classification of the optimal rebalancing frequency for pairs trading using machine learning techniques","authors":"Mahmut Bağcı,&nbsp;Pınar Kaya Soylu","doi":"10.1016/j.bir.2024.12.004","DOIUrl":"10.1016/j.bir.2024.12.004","url":null,"abstract":"<div><div>Selection of the optimal rebalancing frequency (ORF) is crucial for the pair trading algorithm (PTA) that periodically rebalances the allocation of two assets. This study proposes a machine learning (ML) approach to predict ORF ranges. To improve ML accuracy, pairs were categorized into three subgroups based on their correlation levels: positively, weakly, and negatively correlated. The statistical distribution of the ORF values is also presented. Accuracy scores show that random forest, logistic regression, and support vector classifiers perform competitively for the ORF range classification in both short- and long-term applications. The negatively correlated pairs showed the best classification performance, whereas the positively correlated pairs showed the lowest accuracy rate. Furthermore, the robustness of the proposed ML procedure is verified using a validation dataset, demonstrating the applicability of ORF range classification in practical exchange markets.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 ","pages":"Pages 83-90"},"PeriodicalIF":6.3,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143347784","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
Do firms increase ESG activities during periods of geopolitical risk? Evidence from Korean business groups 在地缘政治风险时期，企业是否会增加 ESG 活动？来自韩国企业集团的证据
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.11.002
Hongmin Chun , Boyoung Moon
{"title":"Do firms increase ESG activities during periods of geopolitical risk? Evidence from Korean business groups","authors":"Hongmin Chun ,&nbsp;Boyoung Moon","doi":"10.1016/j.bir.2024.11.002","DOIUrl":"10.1016/j.bir.2024.11.002","url":null,"abstract":"<div><div>This study examines the impact of the geopolitical risk (GPR) on the environmental, social, and governance (ESG) activities of South Korean business groups. Our empirical results indicate that GPR is positively associated with the ESG activities of South Korean firms, and this relationship is more pronounced among business groups. Furthermore, our results imply that South Korean business groups prioritizing their reputation or operating in a competitive market increase their ESG activities when GPR increases. Specifically, South Korean firms strategically increase their ESG activities during periods of significant GPR to enhance their reputation and build moral capital.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 6","pages":"Pages 1393-1401"},"PeriodicalIF":6.3,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142723966","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
Oil shocks and the transmission of higher-moment information in US industry: Evidence from an asymmetric puzzle 石油冲击与美国工业中高时刻信息的传播：来自不对称难题的证据
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.07.005
Muhammad Abubakr Naeem , Raazia Gul , Ahmet Faruk Aysan , Umar Kayani
{"title":"Oil shocks and the transmission of higher-moment information in US industry: Evidence from an asymmetric puzzle","authors":"Muhammad Abubakr Naeem ,&nbsp;Raazia Gul ,&nbsp;Ahmet Faruk Aysan ,&nbsp;Umar Kayani","doi":"10.1016/j.bir.2024.07.005","DOIUrl":"10.1016/j.bir.2024.07.005","url":null,"abstract":"<div><div>Using a cross-quantilogram approach, this study analyzes the transmission of higher-moment information across US industries with high-frequency (1-min) data. We investigate the effects of oil demand and supply shocks on this transmission, revealing that the impact is asymmetric. Specifically, negative oil price shocks amplify the asymmetric transmission of higher-moment information, whereas positive shocks have the opposite effect. The findings highlight the complexity in information transmission dynamics in response to oil price fluctuations, highlighting the need for policy makers and investors to account for these nuances when assessing risk and making decisions. The results emphasize the critical role of the direction and magnitude of oil prices in shaping the information landscape across industries.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 6","pages":"Pages 1190-1204"},"PeriodicalIF":6.3,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141697937","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 diversity and inclusion on ESG performance: A comparison between Islamic and conventional banks 多样性和包容性对环境、社会和公司治理绩效的影响：伊斯兰银行与传统银行的比较
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.10.001
Yunice Karina Tumewang , Kemala Putri Ayunda , Maudi Rahmah Azzahra , M. Kabir Hassan
{"title":"The effects of diversity and inclusion on ESG performance: A comparison between Islamic and conventional banks","authors":"Yunice Karina Tumewang ,&nbsp;Kemala Putri Ayunda ,&nbsp;Maudi Rahmah Azzahra ,&nbsp;M. Kabir Hassan","doi":"10.1016/j.bir.2024.10.001","DOIUrl":"10.1016/j.bir.2024.10.001","url":null,"abstract":"<div><div>This study analyzes the effects of diversity, inclusion, and people development (DIP) on environmental, social, and governance (ESG) performance in Islamic and conventional banks from 2015 to 2022. Using data from Refinitiv database, it reveals that a more diverse and inclusive workplace is found to have better overall ESG performance and both pillars (environmental and social performance). This positive and significant association is more pronounced in Islamic banks than in its conventional counterpart. However, no significant effect was found on governance performance. These findings are robust to several sensitivity analyses based on some alternative measures. To the best of the authors’ knowledge, this is the first empirical study investigating the effects of diversity, inclusion, and people development on ESG performance, using multi-country data on Islamic and conventional banks.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 6","pages":"Pages 1101-1110"},"PeriodicalIF":6.3,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142723911","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
Connected but fragile: Fund-to-fund holdings and redemptions 关联但脆弱：基金对基金的持有和赎回
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.07.011
Milan Szabo
{"title":"Connected but fragile: Fund-to-fund holdings and redemptions","authors":"Milan Szabo","doi":"10.1016/j.bir.2024.07.011","DOIUrl":"10.1016/j.bir.2024.07.011","url":null,"abstract":"<div><div>Investment funds are increasingly investing in other funds. I study the implications of this using Czech fund data from 2011 to 2022. Cross-fund holdings boosted diversification and returns, albeit with increased volatility. Moreover, the funds primarily sold fund shares compared to other assets to pay large redemption proceeds, especially during stressful periods. I then explore individual fund-to-fund redemptions and show increasing redemptions from funds experiencing outflows of investors. The relation is pronounced for shares held that are issued by less liquid funds, consistent with elevated strategic complementarity among the remaining investors that the funds seem to amplify further. Finally, the study investigates supportive behavior within fund families, finding evidence of increased purchases of constituents of those families that are subject to redemptions.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 6","pages":"Pages 1287-1304"},"PeriodicalIF":6.3,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141945629","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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