Borsa Istanbul Review最新文献

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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":"24 ","pages":"Pages 50-59"},"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":"24 ","pages":"Pages 1-14"},"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":"24 ","pages":"Pages 29-37"},"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":"24 5","pages":"Pages 952-965"},"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
Tackling financialization amidst rising labor cost in China 在中国劳动力成本上升的背景下应对金融化问题
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-09-01 DOI: 10.1016/j.bir.2024.05.010
Zhuo-Ya Du , Qian Wang
{"title":"Tackling financialization amidst rising labor cost in China","authors":"Zhuo-Ya Du ,&nbsp;Qian Wang","doi":"10.1016/j.bir.2024.05.010","DOIUrl":"10.1016/j.bir.2024.05.010","url":null,"abstract":"<div><p>Suppressing corporate financialization exacerbated by rising labor costs is an important micro-level issue for revitalizing the manufacturing industry. This research investigates the interaction mechanism among labor costs and financialization, using panel data of Chinese listed companies from 2007 to 2022 in the context of the disappearance of the demographic dividend. The results of the moderated mediation model show that rising labor costs worsen financialization by reducing corporate profitability and increase financialization through negative earnings manipulation, whereas digitization suppresses both the direct and indirect effect of labor costs. Therefore, measures should be taken to enhance the profitability and accounting transparency of companies undergoing the process of accelerating digitization.</p></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 5","pages":"Pages 996-1005"},"PeriodicalIF":6.3,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214845024000899/pdfft?md5=ab53b57c90c15c1e6f0c4ad297302afb&pid=1-s2.0-S2214845024000899-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142152039","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
A Pandemic's grip: Volatility spillovers in Asia-Pacific equity markets during the onset of Covid-19 大流行病的影响:Covid-19 爆发期间亚太股票市场的波动溢出效应
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-09-01 DOI: 10.1016/j.bir.2024.05.001
{"title":"A Pandemic's grip: Volatility spillovers in Asia-Pacific equity markets during the onset of Covid-19","authors":"","doi":"10.1016/j.bir.2024.05.001","DOIUrl":"10.1016/j.bir.2024.05.001","url":null,"abstract":"<div><p>The emergence of Covid-19 in late 2019 rapidly shattered the Asia-Pacific region (APR), a bastion of economic dynamism, and it became the epicenter of the global health crisis. This unprecedented pandemic not only triggered a public health catastrophe but also unleashed a financial storm, exposing vulnerability within the region's interconnected economies. This study identifies the factors driving volatility spillovers within Asian-Pacific financial markets during the initial wave of the Covid-19 pandemic (January 2020–February 2021). We analyze the interplay of pandemic transmission dynamics, government interventions, central bank policies, and socioeconomic variables. Our findings reveal a robust and persistent association between the rising number of Covid-19 cases per million and volatility spillovers. We introduce three novel determinants—the number of intensive care unit beds, population density, and the proportion of the elderly population—which significantly impact volatility transmission in response to new cases. Stringent government measures, such as travel bans and lockdowns, mitigate volatility spillovers. Conversely, central bank policies increase volatility spillovers. These insights contribute to a deeper understanding of financial market dynamics in the context of global health emergencies. This knowledge equips policy makers in the APR with valuable tools for navigating future crises.</p></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 5","pages":"Pages 898-907"},"PeriodicalIF":6.3,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214845024000802/pdfft?md5=fc0f29fe0a558736f92ff346729dcabf&pid=1-s2.0-S2214845024000802-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141046877","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
Asset allocation models for big tech stocks: The importance of lower partial moments and short length windows 大型科技股的资产配置模型:下局部矩和短窗口的重要性
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-09-01 DOI: 10.1016/j.bir.2024.05.006
{"title":"Asset allocation models for big tech stocks: The importance of lower partial moments and short length windows","authors":"","doi":"10.1016/j.bir.2024.05.006","DOIUrl":"10.1016/j.bir.2024.05.006","url":null,"abstract":"<div><p>The group of companies formed by Meta, Apple, Microsoft, Amazon and Alphabet have become a successful investment alternative in the U.S. stock market. In this context, the aim of this research is to provide investment strategies based on these companies to the challenge of how individual investors should allocate their funds in a portfolio and outperform benchmarks such as the SPY ETF or a naïve portfolio. To this end, we developed a total of 20 asset allocation models and constructed portfolios with different rebalancing periods between April 2014 and June 2022. Our overall results reveal that a combination of a short window length for estimating the parameters of the asset allocation models and a procedure that takes downside risk into account, more precisely the Lower Partial Moment approach, significantly outperforms the alternative of investing in the SPY ETF and also the naïve portfolio.</p></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 5","pages":"Pages 966-983"},"PeriodicalIF":6.3,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214845024000851/pdfft?md5=19a86e1536faf1b55ab8768c91ee8e9e&pid=1-s2.0-S2214845024000851-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141143697","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
Is democracy costly? The effect of political turmoil on Kuwait’s stock market 民主代价高昂吗?政治动荡对科威特股市的影响
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-09-01 DOI: 10.1016/j.bir.2024.05.009
{"title":"Is democracy costly? The effect of political turmoil on Kuwait’s stock market","authors":"","doi":"10.1016/j.bir.2024.05.009","DOIUrl":"10.1016/j.bir.2024.05.009","url":null,"abstract":"<div><p>This study is the first to analyze the impact of domestic political unrest on Kuwait’s stock market. Our data indicates a daily market decline of 0.16 percent during periods when the parliament is suspended. This translates to a 7.1 percent loss in the value of the Kuwait Stock Exchange for each period of suspension. Our findings suggest that Kuwait, despite having a more democratic political system, experiences greater economic instability than Saudi Arabia. This research highlights the nuanced relationship between the political structure and economic performance, particularly in emerging markets, challenging the notion that more democracy invariably leads to better economic outcomes.</p></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 5","pages":"Pages 1006-1018"},"PeriodicalIF":6.3,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214845024000887/pdfft?md5=54cfacea087bcc7722f46d4b26570e4a&pid=1-s2.0-S2214845024000887-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141525078","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
Unveiling the link between female directors’ attributes, ownership concentration, and integrated reporting strategy in Malaysia 揭示马来西亚女性董事特质、所有权集中度和综合报告战略之间的联系
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-09-01 DOI: 10.1016/j.bir.2024.05.012
{"title":"Unveiling the link between female directors’ attributes, ownership concentration, and integrated reporting strategy in Malaysia","authors":"","doi":"10.1016/j.bir.2024.05.012","DOIUrl":"10.1016/j.bir.2024.05.012","url":null,"abstract":"<div><p>In response to the reform in the Malaysian market that requires all publicly listed companies (PLCs) to have at least one female director on the board, this study examines how female directors’ attributes (FDAs) shape integrated reporting quality (IRQ) and assesses the potential influence of substantial shareholders on the FDA–IRQ nexus. Using all Malaysian PLCs implementing the integrated reporting from 2017 to 2021, our analysis yields four key findings. First, a positive relationship exists between the presence of a Muslim female director and IRQ. Second, female directors with financial expertise and those with higher education positively impact IRQ. Third, the holding of multiple directorships by female directors is negatively linked to IRQ, and the length of their tenure shows no significant effect. Fourth, the relationship between FDAs and IRQ is more pronounced in contexts with a greater ownership concentration. These results remain robust after rigorous analysis and mitigating for potential biases. Our findings offer valuable insights for policymakers, practitioners, and researchers interested in understanding the implications of gender diversity and IRQ in emerging markets.</p></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 5","pages":"Pages 1031-1045"},"PeriodicalIF":6.3,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214845024000917/pdfft?md5=ad40d74dd7d2ca467791b40a63610ed2&pid=1-s2.0-S2214845024000917-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141532053","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
Market- and future-level sentiment and futures returns in Chinese agricultural futures markets 中国农产品期货市场的市场情绪和期货收益
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-09-01 DOI: 10.1016/j.bir.2024.03.008
{"title":"Market- and future-level sentiment and futures returns in Chinese agricultural futures markets","authors":"","doi":"10.1016/j.bir.2024.03.008","DOIUrl":"10.1016/j.bir.2024.03.008","url":null,"abstract":"<div><p>This study examines market and future-level sentiment in the Chinese agricultural futures market, distinguishing between contagious and idiosyncratic sentiment. Our analysis reveals that agricultural future-level sentiment is significantly affected by market-level sentiment and domestic stock market sentiment, particularly during bullish market conditions, while global stock market sentiment has minimal impact. Furthermore, we find that both market and future-level sentiment strongly and positively influence futures returns, with contagious and idiosyncratic sentiment exerting favorable influences, particularly in bullish markets. Our findings provide clear evidence of sentiment's impact on agricultural futures returns, offering valuable insights for regulators to identify potential market bubbles and implement effective sentiment regulation measures.</p></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 5","pages":"Pages 869-885"},"PeriodicalIF":6.3,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214845024000498/pdfft?md5=d03928aac22135c816371d92b58d0b69&pid=1-s2.0-S2214845024000498-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140269988","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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