{"title":"Asymmetric TVP-VAR connectedness between highly traded commodities and hedging strategies: Evidence from major contagions","authors":"Kamesh Anand K, Aswini Kumar Mishra","doi":"10.1016/j.bir.2024.07.009","DOIUrl":"10.1016/j.bir.2024.07.009","url":null,"abstract":"<div><div>The objective of this study is to examine the return interconnectedness and asymmetric spillover effects in global commodity futures markets, with a focus on the impact of contagion. A competent asymmetric time-varying parameter vector autoregressive (TVP-VAR) model was employed for highly traded commodity futures (cocoa, coffee, corn, cotton, soy, sugar, wheat, and oil) between January 1, 2000, and March 31, 2024. This study investigates the connectedness of commodities in three dimensions: asymmetric spillovers, the influence of oil and oil substitutes on the network, and the impact of major contagions. The average total connectedness index (TCI) indicates that the connectedness is significant throughout the period and increases during the invasion. The findings imply that contagion effects trigger a potential alteration in the structure of the network integration level of the commodities, amplifying system-wide dynamic connectivity due to disurptions caused by oil and oil substitutes. The net plot depicts corn and soy as the net transmitters, with their magnitude increasing during the contagions. The pairwise connectedness index (PCI) revealed that corn-soy, corn‒wheat, and soy-wheat were the primary interactors, while oil became a significant interactor, particularly during the oil crash and the COVID-19 outbreak. Additionally, compared with other contagions, GFC had a potential asymmetric effect on the network. Positive returns dominate the interaction between the primary transmitter and receivers, whereas negative returns do not significantly dominate the total network. These investigations contribute to the literature on the food-fuel nexus in terms of asymmetries and the impact of contagions on the futures market. It also identified the optimal portfolio allocation based on the hedging effectiveness of three portfolio construction strategies.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 6","pages":"Pages 1248-1262"},"PeriodicalIF":6.3,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141846434","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}
Mosab I. Tabash , Umaid A. Sheikh , Walid Mensi , Sang Hoon Kang
{"title":"Quantile-based extended joint connectedness between trade policy uncertainty and GCC Islamic stock sectoral volatility","authors":"Mosab I. Tabash , Umaid A. Sheikh , Walid Mensi , Sang Hoon Kang","doi":"10.1016/j.bir.2024.07.004","DOIUrl":"10.1016/j.bir.2024.07.004","url":null,"abstract":"<div><div>This study quantifies the shock transmission mechanism between the trade policy uncertainty (TPU) index and Sharia-compliant stock sectoral conditional volatility in the Gulf Cooperation Council (GCC) countries. We employ a comprehensive analysis that includes the time-domain extended joint and frequency-domain quantum vector autoregressive (QVAR) frameworks. The time-domain QVAR demonstrates that TPU causes the most substantial shocks to utility sector volatility. Investors in the GCC must strategically allocate their investment portfolios to the consumer services and energy industries, which are less vulnerable to the TPU shock. The results show that TPU shocks provide more error variances to the long-term and bullish conditional volatility (or higher quantiles) of the utility, real estate investment trust funds (REIT), healthcare, and industry sectors. Conversely, during bearish volatility conditions (lower quantiles), TPU shocks result in higher shocks in the conditional volatility of the utility, REIT, finance, and industrial sectors. Long-term investors should diversify their portfolios to mitigate risk in the utility, REIT, and industry sectors through strategic investments in consumer service sector. However, in the short term and during both bearish and bullish sectoral volatility, the consumer service and industry sectors are more vulnerable to TPU shocks. Regarding diversity, the REIT, energy, and financial sectors are the least affected by TPU shocks, offering a protective buffer in the short term and during periods of higher and lower GCC Islamic sectoral volatility.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 6","pages":"Pages 1146-1165"},"PeriodicalIF":6.3,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141712540","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":"Rapid credit expansion and firm behavior: A case study from Türkiye","authors":"İbrahim Yarba, Tarık Alperen Er, Aykut Şengül","doi":"10.1016/j.bir.2024.07.003","DOIUrl":"10.1016/j.bir.2024.07.003","url":null,"abstract":"<div><div>This study examines the impact of a sudden and remarkable credit expansion experienced in Türkiye during the first half of 2022 on firm behavior by utilizing a novel dataset containing the universe of all incorporated firms in Türkiye. The results of the combination of coarsened exact matching and difference-in-differences methodology show that, amid the credit expansion coupled with the deterioration in expectations of inflation and depreciation in local currency, the firms with higher credit usage tended to engage in alternative channels rather than undertaking real economic activities in short term, such as pulling-forward imports and input demand and taking position against local currency to gain financial profit more than those with less credit usage during the first half of 2022. While SMEs with higher credit usage increased their imports, domestic input purchases, foreign currency purchases, and foreign currency-denominated debt settlement before maturity, large firms increased their foreign currency purchases relative to their counterparts with less credit usage.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 6","pages":"Pages 1137-1145"},"PeriodicalIF":6.3,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141705793","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":"Contribution to the measurement of digital financial inclusion in Sub-Saharan Africa","authors":"Christian Kamenga Mapurita , Célestin Mayoukou","doi":"10.1016/j.bir.2024.07.007","DOIUrl":"10.1016/j.bir.2024.07.007","url":null,"abstract":"<div><div>Despite the notable progress made in the development of digital financial services in sub-Saharan Africa, no comprehensive measure is currently available to quantify this progress. Therefore, we constructed a digital financial inclusion index using a parametric approach. Our findings show an upward trend in digital financial inclusion from 2014 to 2021, with a notable increase observed in this index in 2021. Based on the instrumental variable approach, we found that COVID-19, growth product per capita, and quality of governance were the main drivers of digital financial inclusion. Furthermore, findings reveal that not all sub-Saharan African countries have benefited equally from the digital financial revolution. Some countries, including Kenya, Ghana, and Côte d’Ivoire, have benefited substantially because of their high degree of digital financial inclusion. However, other countries—such as Malawi, Guinea, Burkina Faso, and Mali—have fallen behind in terms of digital financial inclusion and are reaping fewer benefits from the revolution in digital banking. We interpreted this observation as symptomatic of inequality. Using the Shapley decomposition analysis, we found that 33% of the disparities in digital financial inclusion among the examined countries were attributable to differences in the use of digital financial services and 13% to the differences in access to those services. We identified the legal origin as a driver of inequality in both access to and use of digital financial services. Moreover, access to the internet has contributed to inequality in the use of digital financial services. In terms of economic implications, countries with the lowest digital financial inclusion must revise their legal systems and invest in internet infrastructure.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 6","pages":"Pages 1227-1247"},"PeriodicalIF":6.3,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141715078","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":"Does data assetisation improve corporate liquidity and corporate growth? Evidence from “hidden champion” SMEs in China","authors":"Lili Chen","doi":"10.1016/j.bir.2024.07.008","DOIUrl":"10.1016/j.bir.2024.07.008","url":null,"abstract":"<div><div>Our study explores the association between data assetisation and corporate liquidity and growth. By examining China's “hidden champion” small and medium-sized enterprises (SMEs) sample from 2011 to 2021, we find that “hidden champion” SMEs with higher data assets exhibit higher liquidity and corporate growth (including promoting sales growth, increasing profitability and corporate value, and enhancing corporate resilience). Furthermore, corporate liquidity mediates the relationship between data assetisation and corporate growth. Regarding the influencing factors, when companies are in a mature stage, this can promote the enhancing effect of data assetisation on corporate liquidity, whereas when companies are in a decline stage, this inhibits the enhancing effect of data assetisation on corporate liquidity. Companies with higher industry competition and lower macroeconomic development enhance the effect of data assetisation on corporate liquidity. Our findings emphasise the development of data assetisation and its role in improving financing decisions and promoting the survival and sustainable development of “hidden champion” SMEs.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 6","pages":"Pages 1205-1226"},"PeriodicalIF":6.3,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141694988","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 efficacy of green finance for environmental sustainability: Does control of corruption makes a difference?","authors":"Yacong Shi , Qiju Zhu , Muhammad Atif Khan","doi":"10.1016/j.bir.2024.07.002","DOIUrl":"10.1016/j.bir.2024.07.002","url":null,"abstract":"<div><div>Green finance (GF) plays a crucial role in reducing greenhouse gas (GHG) emissions and promoting environmental sustainability (ES). However, the efficacy of GF may vary, depending on several factors, particularly the extent of control of corruption. This study investigates the effect of control of corruption on the efficacy of GF using data on 37 Asian countries for the period 2000–2020. The results demonstrate that the efficacy of GF in reducing the GHG emissions and improving ES in a country depends on the level of corruption there. Specifically, GF has a significant GHG reduction effect in the presence of strong corruption control or low corruption levels. These findings remain robust to several robustness checks, including alternative measurements of ES and corruption control and different estimators. This highlights the significance of enhancing control of corruption at the national level to optimize efficient utilization of GF resources and advancing ES. The study also presents policy implications based on these findings.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 6","pages":"Pages 1179-1189"},"PeriodicalIF":6.3,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141696668","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":"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":"24 ","pages":"Pages 15-28"},"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}
Lin Li , Teng Yuan Cheng , Zonglong Li , Yejin Huang
{"title":"Price duration, returns, and volatility estimation: Evidence from China's stock index futures market","authors":"Lin Li , Teng Yuan Cheng , Zonglong Li , Yejin Huang","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":"24 ","pages":"Pages 60-70"},"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}
Buket Kirci Altinkeski , Sel Dibooglu , Emrah Ismail Cevik , Yunus Kilic , Mehmet Fatih Bugan
{"title":"Quantile connectedness between VIX and global stock markets","authors":"Buket Kirci Altinkeski , Sel Dibooglu , Emrah Ismail Cevik , Yunus Kilic , Mehmet Fatih Bugan","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":"24 ","pages":"Pages 71-79"},"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}
{"title":"Option-based variables and future stock returns in normal times and recessions","authors":"Özgür Şafak Açıkalın, Zeynep Önder","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":"24 ","pages":"Pages 80-87"},"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}