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Quantile connectedness between VIX and global stock markets VIX 与全球股市之间的定量联系
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2024.07.006
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 ,&nbsp;Sel Dibooglu ,&nbsp;Emrah Ismail Cevik ,&nbsp;Yunus Kilic ,&nbsp;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}
引用次数: 0
Option-based variables and future stock returns in normal times and recessions 正常时期和经济衰退时期基于期权的变量和未来股票回报率
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2024.09.001
Özgür Şafak Açıkalın, Zeynep Önder
{"title":"Option-based variables and future stock returns in normal times and recessions","authors":"Özgür Şafak Açıkalın,&nbsp;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}
引用次数: 0
Linear extrapolation and model-free option implied moments 线性外推法和无模型期权隐含矩
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2024.01.009
{"title":"Linear extrapolation and model-free option implied moments","authors":"","doi":"10.1016/j.bir.2024.01.009","DOIUrl":"10.1016/j.bir.2024.01.009","url":null,"abstract":"<div><div>This study proposes an approach for assessing the effectiveness of linear extrapolation (LE) for the implied moment estimators even in cases in which the true values of implied moments are unknown. To this end, we develop truncation sensitivity functions for simulation and empirical analyses. LE proves effective for implied volatility, skewness, and kurtosis estimators. However, higher moment (i.e., implied skewness and kurtosis) estimators exhibit sensitivity to truncation, that is, the absence of option prices in the outermost region of the strike price domain, regardless of the use of LE to address truncation.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 ","pages":"Pages 88-106"},"PeriodicalIF":6.3,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139518348","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 non-deliverable forward programs of emerging-market central banks: A synthetic control approach 新兴市场中央银行非交割远期项目的影响：合成控制法
IF 6.3 2区 经济学
Borsa Istanbul Review Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2024.03.009
{"title":"The effects of non-deliverable forward programs of emerging-market central banks: A synthetic control approach","authors":"","doi":"10.1016/j.bir.2024.03.009","DOIUrl":"10.1016/j.bir.2024.03.009","url":null,"abstract":"<div><div>Since the Global Financial Crisis in 2008, emerging market economies’ central banks have started to use foreign exchange derivative instruments frequently in exchange rate markets to provide a hedging instrument for currency risks and to support market liquidity. In this context, the central banks of three major emerging markets—the Central Bank of Brazil, Central Bank of Mexico, and Central Bank of the Republic of Türkiye—have started to implement non-deliverable forward (NDF) auctions. In this study, the impact of the NDF programs on financial market indicators is examined using a synthetic control method, which controls for the endogeneity and causality problems commonly faced by studies on the effect of central bank exchange market interventions. The empirical findings indicate that the NDF programs of the Central Bank of Brazil and Central Bank of Mexico have a significant impact on the exchange rate level but limited impact on the volatility and no impact on risk reversals. Conversely, the NDF program of the Central Bank of the Republic of Türkiye has a significant downward impact on the implied volatility and risk reversal but no significant impact on the level of the exchange rate. The difference in the effectiveness of similar practices of these three central banks is considered to be related mostly to the size of the programs.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 ","pages":"Pages 38-49"},"PeriodicalIF":6.3,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140272850","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
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
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