Pub Date : 2025-11-01DOI: 10.1016/j.bir.2025.10.011
Walaa J.K. Almoghayer , Haitham A. Mahmoud
This study analyzes cross-border payment systems in Belt and Road Initiative (BRI) countries, exploring how technological, regulatory, and socioeconomic factors shape their adoption. By combining quantitative data from 43 BRI countries (2018–2024) with insights from interviews with 127 stakeholders, we identify four distinct adoption archetypes: digital pioneers (high technological and cultural acceptance), regulatory harmonizers (policy driven), institutional trust builders (focused on governance), and hybrid adopters (selective integration). Our findings reveal that successful adoption hinges on the interplay of infrastructure, regulation, and cultural attitudes, not just technology. We introduce a Cross-Border Payment Adoption Index (CPAI) to measure payment system maturity across technological, regulatory, institutional, and cultural dimensions and predict paths for integration. Our research extends the technology acceptance model to multinational contexts and offers actionable insights for policy makers and financial institutions, particularly as digital currencies reshape the BRI payment environment.
{"title":"The adoption of cross-border payment: A comparative study of belt and road countries","authors":"Walaa J.K. Almoghayer , Haitham A. Mahmoud","doi":"10.1016/j.bir.2025.10.011","DOIUrl":"10.1016/j.bir.2025.10.011","url":null,"abstract":"<div><div>This study analyzes cross-border payment systems in Belt and Road Initiative (BRI) countries, exploring how technological, regulatory, and socioeconomic factors shape their adoption. By combining quantitative data from 43 BRI countries (2018–2024) with insights from interviews with 127 stakeholders, we identify four distinct adoption archetypes: digital pioneers (high technological and cultural acceptance), regulatory harmonizers (policy driven), institutional trust builders (focused on governance), and hybrid adopters (selective integration). Our findings reveal that successful adoption hinges on the interplay of infrastructure, regulation, and cultural attitudes, not just technology. We introduce a Cross-Border Payment Adoption Index (CPAI) to measure payment system maturity across technological, regulatory, institutional, and cultural dimensions and predict paths for integration. Our research extends the technology acceptance model to multinational contexts and offers actionable insights for policy makers and financial institutions, particularly as digital currencies reshape the BRI payment environment.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"25 6","pages":"Pages 1626-1644"},"PeriodicalIF":7.1,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145528110","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}
Pub Date : 2025-11-01DOI: 10.1016/j.bir.2025.07.017
Yunus Emre Akdogan
This study employs machine learning and explainable artificial intelligence to examine the impact of working capital strategies—aggressive, moderate, and conservative—on Tobin's Q and EBITDA (earnings before interest, taxes, depreciation, and amortization), identifying key financial indicators for each approach. When the LightGBM algorithm is run, the R2 values for Tobin's Q are 57 percent (aggressive), 40 percent (moderate), and 55 percent (conservative) and, for EBITDA, the R2 values were 43 percent, 60 percent, and 60 percent, respectively. SHAP-based analyses reveal that Tobin's Q is predominantly affected by macroeconomic variables, especially in aggressive and moderate strategies, while EBITDA is mainly determined by operational efficiency and liquidity indicators across all strategies. The findings indicate that advanced algorithms—such as random forest, LightGBM, and XGBoost, when paired with SHAP explainability—capture the complex dynamics of working capital management more effectively than traditional approaches. Practically, these insights can help firms optimize liquidity, profitability, and debt policies to enhance sustainable competitive advantage.
{"title":"AI-driven insights into working capital strategies: An application on Borsa Istanbul","authors":"Yunus Emre Akdogan","doi":"10.1016/j.bir.2025.07.017","DOIUrl":"10.1016/j.bir.2025.07.017","url":null,"abstract":"<div><div>This study employs machine learning and explainable artificial intelligence to examine the impact of working capital strategies—aggressive, moderate, and conservative—on Tobin's Q and EBITDA (earnings before interest, taxes, depreciation, and amortization), identifying key financial indicators for each approach. When the LightGBM algorithm is run, the <em>R</em><sup>2</sup> values for Tobin's Q are 57 percent (aggressive), 40 percent (moderate), and 55 percent (conservative) and, for EBITDA, the <em>R</em><sup>2</sup> values were 43 percent, 60 percent, and 60 percent, respectively. SHAP-based analyses reveal that Tobin's Q is predominantly affected by macroeconomic variables, especially in aggressive and moderate strategies, while EBITDA is mainly determined by operational efficiency and liquidity indicators across all strategies. The findings indicate that advanced algorithms—such as random forest, LightGBM, and XGBoost, when paired with SHAP explainability—capture the complex dynamics of working capital management more effectively than traditional approaches. Practically, these insights can help firms optimize liquidity, profitability, and debt policies to enhance sustainable competitive advantage.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"25 6","pages":"Pages 1359-1377"},"PeriodicalIF":7.1,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145528113","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}
Pub Date : 2025-11-01DOI: 10.1016/j.bir.2025.10.021
Adnan Aslam , Mohammad Khaleq Newaz
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.
{"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}
Pub Date : 2025-11-01DOI: 10.1016/j.bir.2025.10.023
Ji Seon Yoo , Ja Eun Koo
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.
{"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}
Pub Date : 2025-11-01DOI: 10.1016/j.bir.2025.07.015
Fangfang Zhou, Yu Cheng
Merger and acquisition (M&A) transactions are highly information sensitive, frequently making them insider trading targets, which undermines market fairness and stability. This paper examines how common institutional ownership affects insider trading in M&A through a 2010 to 2023 analysis of Chinese listed firms. The findings reveal that common institutional ownership significantly reduces insider trading during M&A events, thereby supporting the governance perspective of institutional investors. Mechanism analysis indicates that this effect functions by diminishing insiders' information advantages and enhancing internal controls. Moreover, the mitigating effect is more pronounced in firms with higher information asymmetry, lower investor attention, and greater insider ownership. This study contributes to the literature on institutional investor governance and offers critical insights for emerging markets aiming to mitigate illegal insider trading, optimize institutional ownership structures, and enhance regulatory frameworks.
{"title":"Common institutional ownership and M&A insider trading: Governance or collusion?","authors":"Fangfang Zhou, Yu Cheng","doi":"10.1016/j.bir.2025.07.015","DOIUrl":"10.1016/j.bir.2025.07.015","url":null,"abstract":"<div><div>Merger and acquisition (M&A) transactions are highly information sensitive, frequently making them insider trading targets, which undermines market fairness and stability. This paper examines how common institutional ownership affects insider trading in M&A through a 2010 to 2023 analysis of Chinese listed firms. The findings reveal that common institutional ownership significantly reduces insider trading during M&A events, thereby supporting the governance perspective of institutional investors. Mechanism analysis indicates that this effect functions by diminishing insiders' information advantages and enhancing internal controls. Moreover, the mitigating effect is more pronounced in firms with higher information asymmetry, lower investor attention, and greater insider ownership. This study contributes to the literature on institutional investor governance and offers critical insights for emerging markets aiming to mitigate illegal insider trading, optimize institutional ownership structures, and enhance regulatory frameworks.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"25 6","pages":"Pages 1348-1358"},"PeriodicalIF":7.1,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145528111","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}
Pub Date : 2025-11-01DOI: 10.1016/j.bir.2025.10.012
Cosmin-Octavian Cepoi , Bogdan-Andrei Dumitrescu , Ionuț Daniel Pop
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.
{"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}
Pub Date : 2025-11-01DOI: 10.1016/j.bir.2025.07.001
S.M.R.K. Samarakoon , Rudra P. Pradhan , D.A.M. Perera
This study investigates the mispricing dynamics of index futures across global markets using Vector Autoregressive (VAR) and Autoregressive with Exogenous Variables (ARX) models. Analyzing daily data from 2006 to 2023 for 16 index futures spanning the Asia-Pacific, Europe, and the Americas, the study examines the roles of key market variables—futures volume, open interest, index returns, index volume, volatility, and time to maturity—in driving both raw mispricing and actionable mispricing (boundary violations). The results reveal significant persistence in mispricing and boundary violations, particularly in emerging markets like Nifty 50 and IBOVESPA. The findings underscore the critical influence of market-specific characteristics, including regulatory frameworks, transaction costs, and liquidity levels, in shaping mispricing behavior. This study provides a robust comparative analysis that offers valuable insights for investors, researchers, and policymakers aiming to understand and mitigate mispricing and enhance market efficiency in diverse global futures markets.
{"title":"Index futures mispricing: A global phenomenon? A comparative analysis of market dynamics","authors":"S.M.R.K. Samarakoon , Rudra P. Pradhan , D.A.M. Perera","doi":"10.1016/j.bir.2025.07.001","DOIUrl":"10.1016/j.bir.2025.07.001","url":null,"abstract":"<div><div>This study investigates the mispricing dynamics of index futures across global markets using Vector Autoregressive (VAR) and Autoregressive with Exogenous Variables (ARX) models. Analyzing daily data from 2006 to 2023 for 16 index futures spanning the Asia-Pacific, Europe, and the Americas, the study examines the roles of key market variables—futures volume, open interest, index returns, index volume, volatility, and time to maturity—in driving both raw mispricing and actionable mispricing (boundary violations). The results reveal significant persistence in mispricing and boundary violations, particularly in emerging markets like Nifty 50 and IBOVESPA. The findings underscore the critical influence of market-specific characteristics, including regulatory frameworks, transaction costs, and liquidity levels, in shaping mispricing behavior. This study provides a robust comparative analysis that offers valuable insights for investors, researchers, and policymakers aiming to understand and mitigate mispricing and enhance market efficiency in diverse global futures markets.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"25 6","pages":"Pages 1234-1269"},"PeriodicalIF":7.1,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145528184","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}
Pub Date : 2025-11-01DOI: 10.1016/j.bir.2025.10.010
José Alejandro Fernández Fernández
This study examines the structural determinants of Environmental Pillar (EP) performance in the international banking system by integrating advanced machine learning techniques with model interpretability tools. Using a dataset of banks from 24 countries between 2019 and 2023, the analysis identifies key financial, institutional, and risk-related drivers of environmental sustainability and explores their interaction patterns across different regions. The results show that EP performance is not the outcome of isolated or linear dynamics but emerges from a multidimensional balance between ethical governance, social responsibility, financial soundness, and operational efficiency. Environmental sustainability is particularly reinforced when strong governance structures and high levels of social engagement act jointly as institutional anchors. The positive contribution of bank size to EP is conditional on a substantial social orientation, while excessive profitability or risk exposure is associated with lower environmental performance.
{"title":"The architecture of sustainable banking: Financial, institutional and risk patterns behind environmental performance","authors":"José Alejandro Fernández Fernández","doi":"10.1016/j.bir.2025.10.010","DOIUrl":"10.1016/j.bir.2025.10.010","url":null,"abstract":"<div><div>This study examines the structural determinants of Environmental Pillar (EP) performance in the international banking system by integrating advanced machine learning techniques with model interpretability tools. Using a dataset of banks from 24 countries between 2019 and 2023, the analysis identifies key financial, institutional, and risk-related drivers of environmental sustainability and explores their interaction patterns across different regions. The results show that EP performance is not the outcome of isolated or linear dynamics but emerges from a multidimensional balance between ethical governance, social responsibility, financial soundness, and operational efficiency. Environmental sustainability is particularly reinforced when strong governance structures and high levels of social engagement act jointly as institutional anchors. The positive contribution of bank size to EP is conditional on a substantial social orientation, while excessive profitability or risk exposure is associated with lower environmental performance.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"25 6","pages":"Pages 1558-1571"},"PeriodicalIF":7.1,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145527781","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}
Pub Date : 2025-11-01DOI: 10.1016/j.bir.2025.10.009
Ahmet Galip Gençyürek
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.
{"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}
Pub Date : 2025-11-01DOI: 10.1016/j.bir.2025.10.001
İbrahim Ömer Gönül , Tolga Omay
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.
{"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}
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