Borsa Istanbul Review最新文献

This study assesses the relationship between the likelihood of future stock price crashes and conservatism—an accounting characteristic that leads to the undervaluation of accounting net assets relative to economic net assets. This undervaluation is achieved by less stringent verification criteria in acknowledging losses compared with gains, resulting in more timely recognition of economic losses. Utilizing a sample of firms traded on Borsa Istanbul from 2009 to 2019, this study reveals that firms with a greater degree of conservatism witness a significant reduction in crash risk after accounting for firm-specific determinants of crash risk along with firm and year fixed effects. This result corroborates the findings in the literature on conservatism, revealing that conservatism diminishes the ability of managers to withhold unfavorable information. In addition, the results are economically meaningful and hold after a set of tests to assess robustness. The findings are particularly relevant for underperforming firms, indicating that an increase in adverse information enhances the motivation for firms to obscure and delay sharing the information. Further analysis demonstrates that accounting conservatism offers advantages by mitigating future crash risk, especially for firms with high intangible intensity.

Environmental, Social, and Governance (ESG) is a market for environmental criteria that has recently attracted the attention of policymakers and in particular European Union (EU) countries to improve environmental quality. In the context of the EU Sustainable Development Goals, this study aims to examine the impact of climate risk uncertainties (transitional (TRI) and physical (PRI)), carbon allowances (EU ETS), and technology index (MSCI) on the ESG market. To this end, the study uses a quantile-on-quantile regression and its multivariate version for the period from November 28, 2007, to January 05, 2023. The results show that TRI and PRI increase ESG market development at higher quantiles, while EU ETS and technological progress reduce ESG progress. This shows that the risk of climate change requires the introduction of stricter environmental standards in EU countries, while the EU ETS and technological progress provide environmental benefits that reduce the need for the ESG market.

This paper explores the quadratic variation (QV) as an alternative measure to the bid-ask spread in limit order markets when observed at high resolution. Although the spread cannot be precisely estimated because of microstructure noise, the QV of the price series, consisting of the transaction prices and midquotes (an expanded filtration of transaction prices), in limit order markets is an important property of high-frequency datasets. An empirical examination of a sample of stocks from the NASDAQ 100 is used to estimate and examine the QV. The examination is done at high resolution (subsecond timescale). The QV of our sample best fits a log-normal distribution with higher skewness. The QV of trades (29.73E–05) is distant from the QV measured with pretrade and posttrade price series, as they are characterized by a high range in QV. Similarly, the QV is generally lower with pretrades than posttrades. Using a high resolution, the revealed state of the limit order book presents a solution that reduced the impact cost of trading. The QV is higher with the limit order book (68.5E–05) than with trades. A measure called the limit-to-market order signal shows a consistent pattern of decline in stocks with increasing activity. The limit-to-market signal ranged from an average of 3.55 in the first quartile of stocks based on messages to 1.84 in the third quartile. This signal decreases because of a relatively larger decline in uncertainty in QV using the limit order book.

This paper uses data from commercial banks and nonfinancial listed firms in Vietnam from 2007 to 2022 to address the effect of banking uncertainty on firms’ trade credit. We find that trade credit increases with heightened uncertainty in the banking sector, which is more conspicuous in nonstate-owned firms and when the macro economy experiences shocks, such as those caused by the global financial crisis and the COVID-19 pandemic. We also determine that banking uncertainty is associated with lower bank debt in firms, indicating a substitution effect between bank credit and trade credit when uncertainty rises. A further mechanism test shows that the uncertainty effect on trade credit works through strategic and financing motives. Finally, we find that trade credit expansion may hurt corporate performance; this effect is amplified during periods of banking uncertainty.

In a dual banking system, participation banks (PBs) are expected to follow Islamic principles, morals, and ethical norms, all of which ultimately align with Maqasid al-Sharia'ah (MS). This study aimed to assess performance of PBs in Türkiye beyond traditional yardsticks to accentuate their ethical, social, and financial roles compliant with the axioms of MS. A mixed method deploying qualitative and quantitative inquiry was used. The first stage used text mining, and the second stage developed the MS Performance Index (MSPI) by adopting entropy weights based on the Ghazalian perspective. The datasets were derived from 18 reports for 2019–2021. Türkiye Finans appeared to have the highest score, whereas Ziraat received the lowest on MSPI scores. PBs achieved the highest scores for the wealth objective component and the lowest score for the intellect component because they became market-oriented and thus their disclosures did not support and promote MS.

In recent decades, a noticeable uptick has been seen in the issuing of eco-friendly bonds across green, social, and sustainable categories. The study examines their intersection with economic expansion and sustainability using panel data from 82 countries analyzed through robust fixed-effects estimators. The results reveal a significant positive correlation between the issuing of eco-friendly bonds and economic growth. Interestingly, a negative relationship emerges between bond performance and growth, suggesting that the mere issuing of bonds may not be enough to ensure sustainable economic expansion. The importance of refined valuation methods for these bonds is emphasized, along with the risk of economic imbalance caused by the uneven distribution of bond investments across sectors, akin to the "Dutch disease." The need to align investment strategies with both economic and environmental objectives to address challenges like persistent carbon emissions is also stressed. The authors advocate the integrating of considerations of bond issuance and performance into long-term sustainability strategies. Despite holding potential for positive environmental impact, eco-friendly bonds may not consistently drive economic growth as initially anticipated, particularly when balancing the development and carbon-reduction objectives.

Embedding new technology creates opportunities and challenges for the global value chain (GVC). Using country-level panel data from 59 economies in 2007–2018, we construct a fixed-effects model to investigate the relationship between digital technology and the GVC position. Moreover, we examine how digital technology affects the GVC position with a mediating model and consider the heterogeneity of this impact on GVC status. The main findings reveal a U-shaped relationship between digital technology and the GVC position, which means that, during the catch-up stage of digital technology, negative effects on input demand chains lead to a decline in GVC status, whereas, at a mature phase of technological development, positive effects on output supply chains enhance the GVC position. The impact of digital technology on the ascent in GVC status is mediated by productivity. Moreover, we analyze the different impacts of trade openness and economic development levels. Our findings suggest that countries with lower levels of economic development and high trade openness reach a U-shaped inflection point, accelerating their progression in the global value chain.

This study investigates the relationship between idiosyncratic risk, market volatility, and stock returns for companies traded on the Borsa Istanbul. The analysis calculates idiosyncratic risk and market volatility and estimates the coefficients using cross-sectional and panel data approaches. The GARCH and EGARCH models are used to calculate market volatility, while idiosyncratic risk is measured using the Capital Asset Pricing Model, and three-factor, four-factor, and five-factor models. We run the Fama-MacBeth regression to investigate the cross-sectional relationship between idiosyncratic risk, market volatility, and stock returns and the Arellano-Bover/Blundell-Bond panel regression technique to unveil firm-specific effects. The estimated coefficients demonstrate a positive relationship between idiosyncratic risk and stock returns and a negative relationship between market volatility and stock returns. Furthermore, the findings suggest that larger firm size, higher trading volume, higher market returns, and higher book-to-market ratios have positive effects, while beta and corporate governance indices have negative effects on returns.

This study responds to the need for deeper empirical investigation into the relationship between corporate social responsibility (CSR) and financial performance in the banking industry. Specifically, it investigates whether and how CSR performance and social values influence bank performance. Furthermore, it explores the moderating role of social values on the CSR and bank performance relationship. To address these research questions, we use the generalized method of moments estimator technique described by Arellano and Bover (1995) and analyze a sample of 3139 banks worldwide over the period 2010–2020. Dividing the countries into two groups based on their income level, that is, middle- and high-income countries, we show a positive association between CSR and bank performance. Furthermore, we illustrate that all dimensions of national culture have a positive impact on bank performance. The results on the moderating role of social values in the relationship between CSR and bank performance indicate that, in societies with higher indulgence, uncertainty avoidance, and a long-term orientation, increasing CSR performance has a positive impact on bank performance. However, the relationship between CSR and bank performance is stronger in countries that are low in individualism, masculinity, and power distance than in countries that are high in individualism, masculinity, and power distance. These results vary widely across levels of country income in terms of the significance, sign, and size of the effect. Nonetheless, our findings have important implications for regulators, managers, and scholars that highlight the influence of social values on the effectiveness of legal settings and regulations on financial performance. Specifically, this research is particularly useful for scholars and practitioners in finance and CSR, suggesting that customizing CSR strategies to align with local social values can enhance financial performance.

This study examines the influence of environmental, social, and governance (ESG) performance on corporate trade credit financing based on Chinese A-share listed companies' data from 2018 to 2022. The empirical results revealed that enterprises with better ESG performance receive more trade credit from suppliers. This study found that ESG performance has a significant effect on trade credit in customer industries, polluting industries, and enterprises with high supplier concentration and low government grants. The Mechanism analysis indicated that ESG performance minimizes information and agency risks, thereby affecting trade credit. Further examination indicated that a firm's degree of maturity weakens the beneficial influence of ESG performance on trade credit and that a substitution relationship exists between corporate maturity and ESG performance in trade credit financing.