Borsa Istanbul Review最新文献

{"title":"Impact of climate transition and physical risks on clean–dirty stock connectedness across market conditions","authors":"Hela Ben Hamida,&nbsp;Shawkat Hammoudeh","doi":"10.1016/j.bir.2026.100838","DOIUrl":"10.1016/j.bir.2026.100838","url":null,"abstract":"<div><div>This study examines the role of climate transition and climate physical risk in explaining the time-varying correlation between clean and dirty stocks under different market conditions. We employ three complementary and supportive frameworks: the multivariate Glosten, Jagannathan and Runkle GARCH (M-GJR-GARCH) model with dynamic conditional correlation (DCC), the autoregressive distributed lag (ARDL) model, and the wavelet quantile correlation (WQC) method, using a data sample spanning January 2015 to January 2025. We extend our standard GARCH-ARDL baseline analysis by integrating the WQC to examine the relationship among climate-aware, clean, and dirty stocks across different investment horizons and market states. The MJGR-GARCH-DCC model indicates that clean and dirty stocks are negatively and weakly correlated, with substantial time-varying patterns. The ARDL model indicates that, in the long run, only attention to climate physical risk adversely affects the clean–dirty correlation, while climate transition risk is insignificant. The WQC analysis demonstrates that the relationship between climate risk attention and stock correlation varies across time scales and market states. In the long term, heightened attention to climate risks attenuates the correlation, decreasing integration and amplifying diversification benefits. In the short term, however, the relationship is weaker and primarily influenced by market conditions. This indicates that decoupling occurs during downturns, whereas stronger coupling is observed in bullish or stable markets. Similar results are observed for global risk factors, including crude oil market volatility, financial stress, and investor sentiment. Our findings provide several actionable insights for policy and managerial strategies involving resilience, portfolio risk management during extreme events, investment horizon planning, market integration, and the impacts of policy and regulation.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"26 4","pages":"Article 100838"},"PeriodicalIF":5.7,"publicationDate":"2026-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148528537","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}

{"title":"When does urbanisation drive climate transition? Leveraging financialisation and taxation for UK's environmental change","authors":"Mohammed Musah,&nbsp;Isaiah Sikayena,&nbsp;Kwadwo Boateng Prempeh,&nbsp;Richard Arhinful,&nbsp;Bright Akwasi Gyamfi","doi":"10.1016/j.bir.2026.100839","DOIUrl":"10.1016/j.bir.2026.100839","url":null,"abstract":"<div><div>This study investigates how financialisation and taxation shape the relationship between urbanisation and methane (CH₄) emissions in the United Kingdom. Using Kernel Regularised Least Squares (KRLS) and Quantile-on-Quantile Regression (QQR) techniques to capture nonlinearities and distributional heterogeneity, the findings reveal that urbanisation exerts threshold-dependent effects on CH₄ emissions. At the early-to-intermediate stages of urbanisation, agglomeration efficiency gains help reduce emissions; however, beyond a critical threshold, scale and congestion effects increase pressure on emissions, consistent with the Urban Environmental Transition framework. Financialisation emerges as a double-edged mechanism. Under strong regulatory frameworks, it supports decarbonisation, but it increases emissions when capital flows into carbon-intensive activities. Taxation is most effective in reducing emission intensity at low-to-intermediate emission levels, although its abatement effectiveness weakens at higher emission regimes. Importantly, the moderating interactions among urbanisation, taxation, and financialisation indicate that environmental outcomes are jointly shaped by institutional quality and policy coherence. These findings have important implications for the United Kingdom's climate commitments under SDG 9, SDG 11, and SDG 13.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"26 4","pages":"Article 100839"},"PeriodicalIF":5.7,"publicationDate":"2026-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148528492","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}

{"title":"Monetary tightening and corporate default risk: Evidence from floating-rate debt exposure","authors":"Aykut Şengül,&nbsp;Levent Çi̇nko","doi":"10.1016/j.bir.2026.100837","DOIUrl":"10.1016/j.bir.2026.100837","url":null,"abstract":"<div><div>This paper provides causal estimates of how balance-sheet exposure to floating-rate debt transmits monetary tightening into corporate default risk. Leveraging the June 2023 policy shift in Türkiye and a large administrative dataset, we employ a two-part Double Machine Learning framework to disentangle selection from causation, distinguishing between the extensive margin of exposure and the intensive-margin effects. We find that while the average effect is modest, indicating aggregate resilience, treatment effects are markedly heterogeneous and economically significant for a vulnerable subset. Sensitivity is concentrated in firms with weak internal risk ratings, low liquidity, and high exposure shares, whereas exporters and manufacturers are relatively insulated. This relative resilience is consistent with standard transmission mechanisms: exporters and manufacturing firms are more likely to generate foreign-currency revenues and benefit from exchange-rate pass-through, while their working capital cycles and pricing structures allow for partial absorption of higher interest expenses, attenuating the balance-sheet impact of monetary tightening. Moving beyond estimation, we introduce 'explainable heterogeneity' by applying SHAP analysis to causal forest estimates, thereby transparently mapping firm traits to causal sensitivity.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"26 4","pages":"Article 100837"},"PeriodicalIF":5.7,"publicationDate":"2026-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148528536","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}

{"title":"The Hormuz shock and Asian equity markets: Volatility without liquidity withdrawal in 161 firms across six markets","authors":"Boon Chuan Lim","doi":"10.1016/j.bir.2026.100842","DOIUrl":"10.1016/j.bir.2026.100842","url":null,"abstract":"<div><div>When a major shock hits the real economy, can equity markets handle it, or do they absorb it? The classical pattern in liquidity crises—widening spreads, vanishing depth, price-impact spikes—points to intermediary stress. The shock due to the closure of the Strait of Hormuz in 2026 departs from that pattern. I study 161 listed firms across six Asian equity markets—Singapore, Japan, South Korea, Hong Kong, India, and Australia—to examine how they absorbed the shock, using a firm-level difference-in-differences design with firm- and time-fixed effects (135 firms in the main importer-only sample; the 26 Australian firms are added to the triple-difference robustness check only as a net exporter for comparison). Exposure is identified at the Global Industry Classification Standard (GICS) sub-industry level using fuel-cost intensity weights. Intraday volatility (Parkinson range) rose by 23 log points at highly exposed firms during the window at the onset of the war with Iran (cluster-robust p = 0.002); robustness is confirmed by tests that omit one country and use ten random 90 percent subsamples, three open, high, low, close (OHLC) volatility estimators, placebo dates, and the period before the shock (four-week pre-shock lead test). In the main importer-only DiD specification, daily OHLC-based spread proxies (Corwin–Schultz, Roll, Abdi–Ranaldo) did not widen; a cross-country DDD check shows some spread sensitivity to oil-import intensity, so the no-liquidity-withdrawal result is interpreted primarily as a within-importer finding. Use of the price impact (Amihud) yields mixed evidence, with country-level heterogeneity that could not be consistently identified. The volatility response is significant in Japan, South Korea, Hong Kong, and India and focused on mid-cap firms. Five importer-country clusters are in the main sample, and I complement cluster-robust inference with a permutation test that randomly reassigns within-country exposure across 1000 draws: the absolute value of the observed coefficient is larger than the absolute value of all 1000 placebo coefficients (empirical p ≤ 0.001). These patterns are consistent with markets pricing geopolitical risk through volatility, without the within-importer widening of the spread or withdrawal of liquidity that would indicate a microstructural breakdown. The within-importer response is dominated by the volatility channel rather than the liquidity-provision channel. This pattern has an implication for stability monitoring: under geopolitical shocks, the relevant warning signal is not volatility itself but, rather, its decoupling from spread and price-impact responses.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"26 4","pages":"Article 100842"},"PeriodicalIF":5.7,"publicationDate":"2026-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148528493","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}

{"title":"Inferring latent trading motivations in Borsa Istanbul: A comparative inverse reinforcement learning approach","authors":"Kubilay Karacam,&nbsp;Mehmet Yasin Ulukus","doi":"10.1016/j.bir.2026.100834","DOIUrl":"10.1016/j.bir.2026.100834","url":null,"abstract":"<div><div>We investigate the distinct trading behaviors of domestic and foreign brokerage firms in Borsa Istanbul using 2506 trading days. Applying linear and maximum entropy inverse reinforcement learning, we recover the latent reward functions driving broker decisions and contrast them with supervised learning baselines. We further assess the financial viability of the inferred policies through historical backtesting, using metrics such as Sharpe ratio and maximum drawdown. Our findings reveal a pronounced strategic divergence: domestic and foreign brokers exhibit uncorrelated reward structures when facing identical market states. These insights into agent heterogeneity offer regulators and market participants a novel tool for monitoring market microstructure and stability.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"26 4","pages":"Article 100834"},"PeriodicalIF":5.7,"publicationDate":"2026-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148528534","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}

{"title":"Do spin-offs signal an effective restructuring strategy to shareholders? A global study on the short- and long-term performance of parent companies","authors":"Larissa M. Batrancea,&nbsp;Anca Nichita,&nbsp;Wilson Eduardo Ikeda,&nbsp;Denis Forte,&nbsp;Horia Tulai,&nbsp;Mircea-Iosif Rus","doi":"10.1016/j.bir.2026.100836","DOIUrl":"10.1016/j.bir.2026.100836","url":null,"abstract":"<div><div>This large-scale study explores the use of spin-offs as a strategy for corporate restructuring and the determinants of short- and long-term performance of parent companies after the announcement of a spin-off. We analyze data on hundreds of companies in 47 countries, comprising 921 parent companies and 1101 new entities created from 1032 complete spin-offs over the period March 2001 to June 2020. Based on moderation and mediation analyses conducted via the bootstrapping technique with data for different event windows and fiscal years, we show that parent company performance, proxied by cumulative abnormal returns, buy-and-hold abnormal returns, the return on assets, and the return on equity, is significantly influenced by the market capitalization of the parent company and the value of the spin-off transactions (subject to several control variables). The econometric outcomes from numerous moderation and mediation models suggest that parent companies are better off when they strategically match the value of spin-off transactions with their own business model so that investors can perceive divestiture as a timely, profitable signal. In the long run, parent companies raise their financial performance, which shows that spin-offs can serve as effective tools for restructuring. Our study offers important insights for both large and small parent companies that are interested in spinning off business divisions and attracting attention from stock market investors while enhancing their financial performance.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"26 4","pages":"Article 100836"},"PeriodicalIF":5.7,"publicationDate":"2026-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148528535","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}

{"title":"Spillover dynamics between ESG returns and ethical fixed-income securities amid geopolitical and market volatility","authors":"Bambang Sutrisno,&nbsp;Faruk Balli,&nbsp;Masagus M. Ridhwan,&nbsp;Irwan Trinugroho","doi":"10.1016/j.bir.2026.100830","DOIUrl":"10.1016/j.bir.2026.100830","url":null,"abstract":"<div><div>By analyzing the connectedness of environmental, social, and governance (ESG)–rated firm returns with green bond, conventional sukuk, and green sukuk markets, this study extends prior work on sustainable and Islamic finance. Using weekly data from April 2020 to December 2024, we find that ESG returns have a large effect on conventional sukuk and green sukuk returns. ESG impacts green sukuk, green bonds, and conventional sukuk more in the extreme tails of returns. Next, we identify the determinants of connectedness between ESG returns and sukuk and green bond returns. The connectedness increases during economic downturns. ESG's impact on green bonds rises when market volatility is higher. However, the connection between ESG and green sukuk is enhanced when economic policy uncertainty and geopolitical risks increase. These findings have significant implications for policy makers. The connectedness between ESG indexes and green bonds increases during periods of market volatility, which we interpret as showing greater financial integration of green bonds, and the linkage of ESG indexes with green and conventional sukuk strengthens in the presence of geopolitical and economic uncertainty, to which they are very sensitive.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"26 4","pages":"Article 100830"},"PeriodicalIF":5.7,"publicationDate":"2026-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148528516","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}

{"title":"A composite financial conditions index for Türkiye: Construction, dynamics, and policy implications","authors":"Müge Pestere-Akcay,&nbsp;Dilek Durusu-Ciftci","doi":"10.1016/j.bir.2026.100822","DOIUrl":"10.1016/j.bir.2026.100822","url":null,"abstract":"<div><div>This study investigates how financial conditions influence inflation dynamics in Türkiye through distinct transmission channels and how these effects vary across CPI sub-expenditure groups. Using principal component analysis, we construct new financial conditions indices from quarterly data spanning 2011Q1–2025Q1 and propose specific indices for six broad subcategories of drivers: credit costs, asset prices, policy stance, funding availability, external conditions, and the price of risk. The impulse response analyses reveal that financial conditions exert significant short-term influence on inflation, with credit costs and the price of risk generating the strongest and most persistent effects – lasting up to six quarters. Inflation responses vary substantially across expenditure groups: food, transportation, clothing, and housing show higher sensitivity to financial shocks, whereas health, communication, and recreation prices remain largely unresponsive. Our results underscore the need for policymakers to broaden their analytical focus beyond the policy rate to encompass credit pricing and risk perception channels.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"26 4","pages":"Article 100822"},"PeriodicalIF":5.7,"publicationDate":"2026-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148528517","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}

{"title":"Global uncertainty and climate-aligned ETFs: Evidence from wavelet-quantile-based analysis","authors":"Zhuhua Jiang,&nbsp;Oguzhan Ozcelebi,&nbsp;Rim El Khoury,&nbsp;Mariem Brahim,&nbsp;Seong-Min Yoon","doi":"10.1016/j.bir.2026.100821","DOIUrl":"10.1016/j.bir.2026.100821","url":null,"abstract":"<div><div>This study examines how global uncertainty influences climate-aligned exchange-traded funds (ETFs) across different investment horizons and market regimes. Using monthly data for climate-aligned ETFs from September 2011 to June 2025, we analyze four uncertainty indicators—equity (VIX), oil (OVX), gold (GVZ), and climate policy uncertainty (CPU)—within a framework combining wavelet-quantile correlation, quantile-on-quantile regression, and multivariate quantile regression. The results reveal pronounced scale dependence and asymmetry. Short-term ETF returns are primarily driven by volatility in financial and oil markets, whereas long-term dynamics are dominated by structural uncertainty in gold and climate policy markets. The effects are nonlinear and concentrated in lower return quantiles, indicating heightened downside risk during turbulent periods. Clear sectoral heterogeneity also emerges: clean energy and sustainability ETFs appear more exposed to market stress, whereas water and resource-based funds exhibit relatively defensive behavior yet remain sensitive to persistent policy uncertainty.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"26 4","pages":"Article 100821"},"PeriodicalIF":5.7,"publicationDate":"2026-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148528515","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}

{"title":"The investment portfolio selection with a hesitant fuzzy decision-making method based on aggregation operators","authors":"Murat Kirişci ,&nbsp;Serdar Kuzu ,&nbsp;Ali Kablan","doi":"10.1016/j.bir.2026.100805","DOIUrl":"10.1016/j.bir.2026.100805","url":null,"abstract":"<div><div>A vital tool for addressing the difficulties in defining an element's membership in a set when there is uncertainty about multiple discrete values in decision-making is the Hesitant Fuzzy Set, an extension of fuzzy sets. A Fermatean hesitant fuzzy set is offered to guarantee that the parameters experts apply to evaluate an alternative regarding the likelihood of membership and non-membership are relevant in this study. Problems with portfolio selection are ideally suited for multi-attribute decision-making algorithms. Within the multi-attribute decision-making paradigm, complicated subjective preferences and diversified financial indices influence investment decisions. Aggregate operators of new sets are defined to implement decision-making issues for multi-attributed groups. We looked into the main properties of the interval-valued Fermatean hesitant fuzzy sets. We compare two interval-valued variables with a new accuracy function and score function. The application of the algorithm based on an interval-valued Fermatean hesitant fuzzy set was selected for the investment portfolio selection problem. Companies in the <em>S</em>&amp;<em>P</em> 500 were analyzed, and criteria for selecting investment portfolios were established. To be used, this data was trans-formed into interval-valued Fermatean fuzzy components. Calculations were performed to demonstrate the suitability of the suggested approach. The suggested novel approach was contrasted with earlier approaches. The suggested method's superiority and consequences were stated per the results. The study's limitations are listed.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"26 3","pages":"Article 100805"},"PeriodicalIF":7.1,"publicationDate":"2026-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147807873","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}