Borsa Istanbul Review最新文献_第8页

Conditional effects of higher order co-moments in asset pricing: Evidence from Borsa Istanbul 资产定价中高阶共常数的条件效应：伊斯坦布尔证券交易所的证据

IF 6.3 2区经济学

Borsa Istanbul Review Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.06.009

Erdinç Altay, Sümeyra Uzun, Büşra Aydemir Özgül

引用次数: 0

An algorithmic approach to portfolio construction: A Turkish stock market case 构建投资组合的算法方法：土耳其股市案例

IF 6.3 2区经济学

Borsa Istanbul Review Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.10.002

Mehmet Gülşen, Burak Yıldız

{"title":"An algorithmic approach to portfolio construction: A Turkish stock market case","authors":"Mehmet Gülşen, Burak Yıldız","doi":"10.1016/j.bir.2024.10.002","DOIUrl":"10.1016/j.bir.2024.10.002","url":null,"abstract":"<div><div>The goal of building a diversified portfolio is to mitigate risks and manage risk-reward tradeoffs. Diversification is also crucial for ensuring the long-term success of a portfolio. Although passive investment has been on the rise in most developed markets, it has not gained wider acceptance in some emerging markets, such as Türkiye. This study proposes an approach to construct a diversified portfolio that serves as a passive investment tool in the context of the Turkish stock market. Despite the long history of equity markets in Türkiye, almost all available passive investment alternatives are prohibitively expensive, unlike those in developed markets. We design a simple methodology that addresses the essential components of building a successful portfolio while avoiding excessive fees. Additionally, we propose a dynamic balancing strategy that algorithmically adjusts the weight of each stock in the portfolio. We test this approach with historical data, demonstrating that it can achieve reasonable returns with minimal effort. Even when its performance does not beat the benchmark, the percentage deviation is still below the management fees charged for alternative investments.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 6","pages":"Pages 1373-1380"},"PeriodicalIF":6.3,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142723964","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

Asymmetric TVP-VAR connectedness between highly traded commodities and hedging strategies: Evidence from major contagions 高交易量商品与对冲策略之间的非对称 TVP-VAR 关联性：主要传染病的证据

IF 6.3 2区经济学

Borsa Istanbul Review Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.07.009

Kamesh Anand K, Aswini Kumar Mishra

{"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}

引用次数: 0

Quantile-based extended joint connectedness between trade policy uncertainty and GCC Islamic stock sectoral volatility 贸易政策不确定性与海湾合作委员会伊斯兰股票部门波动性之间基于量子的扩展联合关联性

IF 6.3 2区经济学

Borsa Istanbul Review Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.07.004

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}

引用次数: 0

Contribution to the measurement of digital financial inclusion in Sub-Saharan Africa 为衡量撒哈拉以南非洲的数字金融包容性做出贡献

IF 6.3 2区经济学

Borsa Istanbul Review Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.07.007

Christian Kamenga Mapurita , Célestin Mayoukou

{"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}

引用次数: 0

Does data assetisation improve corporate liquidity and corporate growth? Evidence from “hidden champion” SMEs in China 数据资产化能否改善企业流动性和企业增长？来自中国 "隐形冠军 "中小企业的证据

IF 6.3 2区经济学

Borsa Istanbul Review Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.07.008

Lili Chen

{"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}

引用次数: 0

The efficacy of green finance for environmental sustainability: Does control of corruption makes a difference? 绿色金融对环境可持续性的功效：控制腐败会产生影响吗？

IF 6.3 2区经济学

Borsa Istanbul Review Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.07.002

Yacong Shi , Qiju Zhu , Muhammad Atif Khan

引用次数: 0

Rapid credit expansion and firm behavior: A case study from Türkiye 快速信贷扩张与企业行为：土耳其案例研究

IF 6.3 2区经济学

Borsa Istanbul Review Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.07.003

İbrahim Yarba, Tarık Alperen Er, Aykut Şengül

引用次数: 0

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