Borsa Istanbul Review最新文献_第9页

Shielding against oil shocks: Contagion dynamics in Islamic versus conventional markets 防范石油冲击：伊斯兰市场与传统市场的传染动态

IF 7.1 2区经济学

Borsa Istanbul Review Pub Date : 2025-11-01 Epub Date: 2025-10-25 DOI: 10.1016/j.bir.2025.10.021

Adnan Aslam , Mohammad Khaleq Newaz

{"title":"Shielding against oil shocks: Contagion dynamics in Islamic versus conventional markets","authors":"Adnan Aslam , Mohammad Khaleq Newaz","doi":"10.1016/j.bir.2025.10.021","DOIUrl":"10.1016/j.bir.2025.10.021","url":null,"abstract":"<div><div>This paper empirically examines the decoupling hypothesis by assessing the asymmetric transmissions and contagion effects of oil price shocks on Islamic and conventional stock indices in major oil-importing and -exporting countries. Using the Asymmetric Dynamic Conditional Correlation GARCH (ADCC-GARCH) model, we analysed the dynamic relationships between oil price shocks and stock indices during three critical periods: the Global Financial Crisis (GFC, 2007–2009), the European Sovereign Debt Crisis (ESDC, 2010–2012), and the Oil Price Plunge (OPP, 2014–2016). Our findings indicate that oil-importing and -exporting countries mostly demonstrate insignificant asymmetric responses, suggesting that Islamic and conventional indices are not excessively affected by negative oil shocks. The contagion analysis reveals that oil price shocks predominantly exhibited contagion effects in Islamic and conventional stock indices during the GFC. However, Islamic stock indices in countries such as Japan, Korea, Saudi Arabia, the UAE, Norway, Oman, and Brazil were less affected by these shocks compared with their conventional counterparts. Notably, Islamic indices in Korea, Italy, Saudi Arabia, and Qatar during the ESDC, as well as in the USA, India, Korea, and Germany during the OPP, demonstrated strong resilience to oil price shocks, lending support to the decoupling hypothesis. Portfolio analysis further shows that incorporating Islamic indices into conventional portfolios enhances risk-adjusted returns and hedging effectiveness, with performance improving as the allocation to Islamic indices increases. These findings hold significant implications for investors, portfolio managers, policymakers, and market participants.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"25 6","pages":"Pages 1682-1695"},"PeriodicalIF":7.1,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145528197","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}

引用次数: 0

Whom do institutional investors serve as stewards? An empirical analysis of stewardship code-compliant investors in Korea 机构投资者是谁的管家？韩国管理规范合规投资者的实证分析

IF 7.1 2区经济学

Borsa Istanbul Review Pub Date : 2025-11-01 Epub Date: 2025-10-25 DOI: 10.1016/j.bir.2025.10.023

Ji Seon Yoo , Ja Eun Koo

{"title":"Whom do institutional investors serve as stewards? An empirical analysis of stewardship code-compliant investors in Korea","authors":"Ji Seon Yoo , Ja Eun Koo","doi":"10.1016/j.bir.2025.10.023","DOIUrl":"10.1016/j.bir.2025.10.023","url":null,"abstract":"<div><div>Institutional investors now exceed individual investors in number of shares held. To provide empirical support for the stewardship role of institutional investors, we examine the relationships of the presence of stewardship code-compliant institutional investors among shareholders with micro- and macro-oriented outcomes in Korea. We find that firms held by code-compliant investors have higher firm value, dividend payouts, and ESG ratings. Our results imply that code-compliant institutional investors act as stewards of their investee firms, fund beneficiaries, and market or society, in line with agency theory, agency capitalism, universal ownership, and stakeholder theory. Using latent class mixture modeling, we assign firms into latent classes according to the particular outcomes that their institutional investors pursue. We further conduct multinominal logit regression and find that firm characteristics differ between latent classes that emphasize distinct outcomes. Our study provides empirical evidence supporting multiple theoretical frameworks that have traditionally been discussed in a normative manner.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"25 6","pages":"Pages 1705-1720"},"PeriodicalIF":7.1,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145528198","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}

引用次数: 0

Common institutional ownership and M&A insider trading: Governance or collusion? 共同机构所有权与并购内幕交易：治理还是共谋？

IF 7.1 2区经济学

Borsa Istanbul Review Pub Date : 2025-11-01 Epub Date: 2025-07-30 DOI: 10.1016/j.bir.2025.07.015

Fangfang Zhou, Yu Cheng

引用次数: 0

Price discovery and government intervention during the COVID-19 pandemic: Evidence from European cross-listed firms COVID-19大流行期间的价格发现和政府干预：来自欧洲交叉上市公司的证据

IF 7.1 2区经济学

Borsa Istanbul Review Pub Date : 2025-11-01 Epub Date: 2025-10-10 DOI: 10.1016/j.bir.2025.10.012

Cosmin-Octavian Cepoi , Bogdan-Andrei Dumitrescu , Ionuț Daniel Pop

{"title":"Price discovery and government intervention during the COVID-19 pandemic: Evidence from European cross-listed firms","authors":"Cosmin-Octavian Cepoi , Bogdan-Andrei Dumitrescu , Ionuț Daniel Pop","doi":"10.1016/j.bir.2025.10.012","DOIUrl":"10.1016/j.bir.2025.10.012","url":null,"abstract":"<div><div>This paper investigates the dynamics of price discovery for cross-listed firms in the context of the COVID-19 pandemic. Using minute-level intraday data for 26 companies from France, Italy, and Spain cross-listed in Germany during the first six months of the pandemic, we find that the domestic markets experienced a significant decline in informational leadership during the COVID-19 market crash. Although Spanish firms regained their precrisis dominance within a month, French and Italian markets took longer to recover, and France had the slowest return to precrisis levels. Employing both Hasbrouck's information share (IS) and Gonzalo-Granger's component share (CS), we observe a temporary shift in price discovery to the German market during the crash, which gradually reversed over time. To explain these trends, we apply fixed-effects Tobit as well as machine learning techniques. Our results show that stronger economic interventions enhanced domestic market leadership in price discovery, whereas more stringent health measures weakened it. These findings highlight the sensitivity of market efficiency to policy responses and the importance of international market interdependence in times of crisis.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"25 6","pages":"Pages 1572-1584"},"PeriodicalIF":7.1,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145528112","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}

引用次数: 0

Index futures mispricing: A global phenomenon? A comparative analysis of market dynamics 股指期货错定价：全球现象？市场动态的比较分析

IF 7.1 2区经济学

Borsa Istanbul Review Pub Date : 2025-11-01 Epub Date: 2025-07-15 DOI: 10.1016/j.bir.2025.07.001

S.M.R.K. Samarakoon , Rudra P. Pradhan , D.A.M. Perera

引用次数: 0

The architecture of sustainable banking: Financial, institutional and risk patterns behind environmental performance 可持续银行的架构：环境绩效背后的金融、体制和风险模式

IF 7.1 2区经济学

Borsa Istanbul Review Pub Date : 2025-11-01 Epub Date: 2025-10-10 DOI: 10.1016/j.bir.2025.10.010

José Alejandro Fernández Fernández

引用次数: 0

The contagion effect of the FTX cryptocurrency exchange's crash on the stock markets 加密货币交易所FTX崩盘对股市的传染效应

IF 7.1 2区经济学

Borsa Istanbul Review Pub Date : 2025-11-01 Epub Date: 2025-10-10 DOI: 10.1016/j.bir.2025.10.009

Ahmet Galip Gençyürek

{"title":"The contagion effect of the FTX cryptocurrency exchange's crash on the stock markets","authors":"Ahmet Galip Gençyürek","doi":"10.1016/j.bir.2025.10.009","DOIUrl":"10.1016/j.bir.2025.10.009","url":null,"abstract":"<div><div>The cryptocurrency market is very attractive for investors, but it has experienced several major crises in recent years due to its inadequacies with regard to transparency and auditing. The FTX cryptocurrency exchange's crash was one of the most crucial events for the cryptocurrency market. Therefore, I investigate the contagion impact of the FTX crash on stock markets (S&P 500, TSX, FTSE100, BIST100, SENSEX, SSE, NIKKEI 225, KOSPI 100 and ASX 200), using a time-varying parameter–vector autoregression (TVP-VAR) extended joint connectedness model and covolatility, cokurtosis, and coskewness tests. The empirical findings, based on a daily dataset for the period 2021–2023, indicate that the FTX collapse had a clear contagion impact solely on the BIST 100. One possible explanation for this is that Turkish investors who suffered losses on their FTX investment sought to compensate for their diminishing wealth, especially to meet margin calls, by liquidating their holdings in the BIST 100. Another possible explanation is the inherent fragility of the BIST 100, which prevents it from being perceived as a safe-haven asset during turbulent periods. The findings can help policy makers and investors develop policies and strategies to defend against the contagion impact of cryptocurrencies.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"25 6","pages":"Pages 1530-1557"},"PeriodicalIF":7.1,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145527783","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}

引用次数: 0

Dynamic market efficiency assessment in sustainability indices: Rolling fractional integration analysis with multiple estimators 可持续发展指标的动态市场效率评估：多重估计量的滚动分数积分分析

IF 7.1 2区经济学

Borsa Istanbul Review Pub Date : 2025-11-01 Epub Date: 2025-10-15 DOI: 10.1016/j.bir.2025.10.001

İbrahim Ömer Gönül , Tolga Omay

{"title":"Dynamic market efficiency assessment in sustainability indices: Rolling fractional integration analysis with multiple estimators","authors":"İbrahim Ömer Gönül , Tolga Omay","doi":"10.1016/j.bir.2025.10.001","DOIUrl":"10.1016/j.bir.2025.10.001","url":null,"abstract":"<div><div>This study develops a comprehensive econometric framework for assessing market efficiency in sustainability indices through rolling fractional integration analysis. We employ four fractional integration estimators (Andrews–Guggenberger, Robinson GSE, GPH, and FELW) with formal statistical testing, addressing critical methodological gaps including single estimator dependency and static analysis approaches. Applied to 17 sustainability indices across 13 countries, our results reveal significant heterogeneity in market efficiency evolution. Developed markets exhibit timevarying efficiency patterns with periodic inefficiencies driven by institutional rebalancing dynamics, while emerging markets demonstrate superior efficiency characteristics. The BIST Sustainability Index exhibits exceptional efficiency, while the SP 500 ESG Screened Index shows the highest inefficiency levels among developed markets. The convergent validity between fractional integration and traditional unit root tests provides robust methodological validation. Our findings establish unprecedented robustness in sustainability market efficiency research while providing policy implications for financial regulators and investment managers.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"25 6","pages":"Pages 1645-1662"},"PeriodicalIF":7.1,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145528108","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}

引用次数: 0

The monitoring role of pension fund ownership in ESG firm controversies 养老基金所有权在ESG公司争议中的监督作用

IF 7.1 2区经济学

Borsa Istanbul Review Pub Date : 2025-11-01 Epub Date: 2025-10-11 DOI: 10.1016/j.bir.2025.10.008

Mercedes Alda

{"title":"The monitoring role of pension fund ownership in ESG firm controversies","authors":"Mercedes Alda","doi":"10.1016/j.bir.2025.10.008","DOIUrl":"10.1016/j.bir.2025.10.008","url":null,"abstract":"<div><div>This study examines the role of pension fund ownership as a control mechanism of ESG firm controversies. Institutional investors are traditionally considered passive owners; however, the role of pension funds is not clear because, in theory, they may be effective monitors as pressure-resistant investors. This work analyses the impact of UK equity pension funds on their investee firms’ ESG controversies. The results indicate that a larger pension fund shareholding reduces controversies related to environmental and product responsibility areas. However, pension funds are passive monitors in other areas, such as workforce, to avoid conflicts of interest with company management. Moreover, we first consider the impact of social investment networks on ESG firm controversies, and the findings reveal that pension funds have diverse interests, especially conventional funds, which produces conflicts of interest in the networks. In addition, ambiguous information flows across the networks, leading to different interpretations of the information and thus diverse monitoring decisions regarding ESG firm controversies. Finally, pension fund shareholding encourages some substantive CSR engagement practices in the corporate citizenship area.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"25 6","pages":"Pages 1585-1625"},"PeriodicalIF":7.1,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145528109","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}

引用次数: 0

Independence or subservience? The role of independent co-opted directors in corporate tax avoidance 独立还是屈从？独立增选董事在企业避税中的作用

IF 7.1 2区经济学

Borsa Istanbul Review Pub Date : 2025-11-01 Epub Date: 2025-10-10 DOI: 10.1016/j.bir.2025.10.005

Irfan Haider Shakri , Aitzaz Ahsan Alias Sarang , Fiza Qureshi , R.M. Ammar Zahid

{"title":"Independence or subservience? The role of independent co-opted directors in corporate tax avoidance","authors":"Irfan Haider Shakri , Aitzaz Ahsan Alias Sarang , Fiza Qureshi , R.M. Ammar Zahid","doi":"10.1016/j.bir.2025.10.005","DOIUrl":"10.1016/j.bir.2025.10.005","url":null,"abstract":"<div><div>This study examines how the appointment of independent directors after a CEO assumes office (co-opted directors) affects corporate tax avoidance. While formally independent, such directors may be more aligned with the CEO, potentially weakening board oversight. Using a panel of 7084 U.S. firm-year observations from 2002 to 2022, we use tenure-weighted co-option measure and employ system GMM, entropy balancing, and a difference-in-differences approach to address endogeneity. We find that firms with higher proportions of co-opted independent directors exhibit significantly lower effective tax rates, indicating more aggressive tax behavior. This relationship is stronger in firms with weak governance, low board meeting attendance, and powerful CEOs. Notably, the audit committee's independence and expertise do not mitigate this effect. Our findings have important implications for capital markets governance, suggesting that formal director independence may not ensure accountability without structural safeguards against managerial influence in board appointments.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"25 6","pages":"Pages 1476-1485"},"PeriodicalIF":7.1,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145528186","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}

引用次数: 0