Borsa Istanbul Review最新文献

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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

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2023.10.008

This study investigated the factors driving derivatives market growth across three regions: the Asia-Pacific region, America, Europe, Africa, and the Middle East. It found that underlying market size, volatility, and liquidity are the main factors that affect the growth of derivatives markets. The results confirm the crucial role played by regulation and politics in fostering the development of derivatives markets. The findings highlight the impact of economic variables such as the ease of doing business, inflation, the interest rate spread, and economic policy uncertainty. These findings offer valuable insights for market analysts, and investors, and for policymakers to enable them to enhance the growth and success of derivatives markets.

本研究调查了推动亚太地区、美洲、欧洲、非洲和中东三个地区衍生品市场增长的因素。研究发现，基础市场规模、波动性和流动性是影响衍生品市场增长的主要因素。研究结果证实，监管和政治在促进衍生品市场发展方面发挥着至关重要的作用。研究结果强调了经济变量的影响，如经商便利程度、通货膨胀、利率差和经济政策的不确定性。这些研究结果为市场分析师、投资者和政策制定者提供了宝贵的见解，使他们能够促进衍生品市场的发展并取得成功。

引用次数: 0

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 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2024.07.006

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.

本文通过量纲对量纲溢出分析，研究了国际股票收益率与以 VIX 指数衡量的可感知波动性之间的互动动态。我们使用 1995 年至 2023 年的每周数据以及发达和新兴股票市场的综合数据集，研究了 VIX 指数与股票市场收益率之间的关系，并考虑了时变关系和跨量子关系。实证结果表明，VIX 与股票收益率之间间接相关的量级总溢出效应超过了直接相关的量级总溢出效应。VIX 低水平时回报率高，VIX 高水平时回报率低。在所有股票市场中，无论是发达市场还是新兴市场，最高的总溢出效应出现在 VIX 的最高量级水平和股票回报率的最低量级水平上。VIX 与股票市场回报率之间的高度关联性，尤其是在极端量化水平上，表明投资者在不确定时期应寻求其他投资工具进行分散投资。

引用次数: 0

Price duration, returns, and volatility estimation: Evidence from China's stock index futures market 价格持续时间、收益和波动率估算：来自中国股指期货市场的证据

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2024.06.008

This study estimates the returns and volatility in the China's stock index futures market. Our approach introduces a novel consideration of price duration, a factor that we integrate into our models to enhance the estimation of volatility. We construct a stochastic conditional duration (SCD) model to investigate the price duration and extend the classical generalized autoregressive conditional heteroskedastic (GARCH) model by taking into account price duration and more microstructure variables to investigate their influence on returns and volatility. We investigate in detail the moderating effect of the limiting trade rule, an exogenous policy shock, on returns and volatility. We find that significant clustering exists in price duration and that during the midday break in trading, subsequent price duration and returns decline, whereas volatility increases. Price duration and open interest both have a negative effect on returns and volatility, whereas trading volume has a positive effect on them.

本研究估算了中国股指期货市场的收益率和波动率。我们的方法引入了对价格持续时间的新考虑，我们将这一因素纳入模型以增强对波动率的估计。我们构建了一个随机条件期限（SCD）模型来研究价格期限，并通过考虑价格期限和更多微观结构变量来扩展经典的广义自回归条件异方差（GARCH）模型，以研究它们对收益率和波动率的影响。我们详细研究了限制性贸易规则这一外生政策冲击对收益率和波动率的调节作用。我们发现，价格持续时间存在明显的聚类现象，在午间休市期间，随后的价格持续时间和收益率会下降，而波动率会上升。价格持续时间和未平仓合约对收益率和波动率都有负面影响，而交易量则对它们有正面影响。

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 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2024.09.001

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.

我们研究了 1996 年至 2015 年期间几个基于期权的变量对在美国交易所交易的可期权股票未来收益的预测。研究发现，在正常时期和经济衰退时期，基于期权的变量是估计未来股票收益的重要因素。通过标的股票的所有看涨期权和看跌期权计算得出的隐含波动率加权平均值之间的价差对未来股票收益率的影响最大。虽然期权模型的均方误差在衰退期明显高于扩张期，但在衰退期和整个样本期，基于期权变量的模型都优于市场模型和法马-法式三因子模型。研究结果表明，与传统模型相比，基于期权的模型更多地纳入了极端事件的信息。

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 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2024.01.009

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.

本研究提出了一种方法，即使在隐含矩真实值未知的情况下，也能评估线性外推法（LE）对隐含矩估计器的有效性。为此，我们开发了用于模拟和实证分析的截断敏感性函数。事实证明，LE 对隐含波动率、偏度和峰度估计器有效。然而，高阶矩（即隐含偏度和峰度）估计器对截断（即行权价域最外层区域没有期权价格）表现出敏感性，无论是否使用 LE 来解决截断问题。

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 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2024.03.009

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.

自 2008 年全球金融危机以来，新兴市场经济体的中央银行开始在汇率市场上频繁使用外汇衍生工具，以提供货币风险对冲工具和支持市场流动性。在此背景下，三大新兴市场的中央银行--巴西中央银行、墨西哥中央银行和土耳其共和国中央银行--开始实施无本金交割远期外汇（NDF）拍卖。本研究采用合成控制法考察了 NDF 项目对金融市场指标的影响，该方法控制了有关中央银行汇率市场干预效果的研究通常面临的内生性和因果关系问题。实证研究结果表明，巴西中央银行和墨西哥中央银行的 NDF 计划对汇率水平有显著影响，但对波动性影响有限，对风险逆转没有影响。相反，土耳其共和国中央银行的 NDF 计划对隐含波动率和风险逆转有显著的向下影响，但对汇率水平没有显著影响。这三家中央银行类似做法的有效性差异被认为主要与计划的规模有关。

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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 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2024.04.006

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.

利用上海证券交易所 50 交易所交易基金（上证 50 ETF）期权的数据，我们研究了经济政策不确定性（EPU）对期权市场参与的影响。我们发现，经济政策不确定性的增加会明显诱导投资者参与期权市场，并且这种积极影响在随后的三个月内仍然显著。进一步的研究表明，EPU 大幅提高了上证 50 ETF 期权的交易量与未平仓合约的比率，但对看跌套期保值的需求并无明显影响。此外，EPU 对投资者参与的刺激作用在投资者情绪高涨时更为明显。这些研究结果表明，在经济不确定性较高的时期，投资者参与期权市场的增加是由于投机交易而非套期保值。

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 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2024.05.004

Energy markets are important in global trade and economic stability, and energy futures play a critical role in energy market dynamics. This study reviews: i) the important role energy futures market prices play as reliable forecasts of future spot prices for energy commodities; ii) the connectedness of energy futures and spot markets; iii) how energy futures markets facilitate managing exposure to energy price risk; iv) 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.

能源市场对全球贸易和经济稳定非常重要，而能源期货在能源市场动态中发挥着关键作用。本研究回顾了：i) 能源期货市场价格作为未来能源商品现货价格的可靠预测所发挥的重要作用；ii) 能源期货和现货市场的关联性；iii) 能源期货市场如何促进能源价格风险的管理；iv) 能源期货价格和波动对其他市场的系统性影响，以及这种影响如何在危机期间经常激增。我们的调查为能源市场参与者和政策制定者提供了经济学见解。

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 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-10-01 DOI: 10.1016/j.bir.2024.02.013

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 Shariah-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 gharar 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 Shariah-compliant derivatives, which has been a topic that has been scarcely explored in previous studies.

关于伊斯兰银行业和金融业是否允许使用金融衍生产品的争论一直存在。虽然大多数伊斯兰学派都反对将传统衍生产品作为允许的风险管理工具，但为满足这一需求，在符合规定的结构性产品方面有所发展。因此，本研究有两个目标：i) 审查伊斯兰经济学和金融学中金融衍生产品的允许性和可接受性；ii) 调查其结构和定价模型。本研究发现，这些工具可用于风险管理目的，同时遵守伊斯兰教的财富保护原则。在伊斯兰银行业和金融业使用金融衍生工具时，禁止投机、赌博等因素也至关重要。作为对本研究的贡献，本研究旨在将传统的期权定价模型纳入符合伊斯兰教义的衍生品中，而这一主题在以往的研究中鲜有涉及。

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 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-09-01 DOI: 10.1016/j.bir.2024.05.005

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.

本研究利用个股对新兴市场的时变资产定价模型进行了实证检验。我们采用了最近提出的工具变量（IV）技术，将个股作为测试资产，同时持续估计事后风险溢价。这种方法不同于构建测试投资组合--这是一种用于减轻变量误差偏差的常见做法，而是使用偶数月和奇数月交替的因子敏感性估计值作为 IV。应用这种方法，我们在伊斯坦布尔证券交易所的资产定价测试中观察到，在各种多因子模型下，在考虑资产特征后，因子风险溢价在统计上并不显著。我们的方法有助于在测试中纳入个股的基本风险或收益相关特征，从而提高了通常被传统测试组合所掩盖的洞察力。这些结果突出表明，当使用 IV 方法对个股进行测试时，经典模型无法解释伊斯坦布尔证券交易所（一个重要的新兴股票市场）的风险溢价，从而为实证资产定价做出了贡献。

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引用次数: 0

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