Borsa Istanbul Review最新文献

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ESG rating uncertainty and institutional investment—evidence from China 环境、社会和治理评级的不确定性与机构投资--来自中国的证据

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.07.001

Miao Zeng , Xiaoyu Zhu , Xin Deng , Jiang Du

Using panel data on China's A-share listed enterprises from 2015 to 2022, this study applies a fixed effects model of the year, industry, and region to empirically test the impact of ESG ratings and ESG rating uncertainty on institutional investment. The results of this study find that: (1) ESG ratings significantly and positively affect institutional investment, but the existence of ESG rating uncertainty significantly and negatively affects institutional investment. Meanwhile, ESG rating uncertainty weakens the influence of ESG ratings on institutional investment. (2) Institutional investors are more sensitive to the ESG rating uncertainty of enterprises that are government-related (state-owned and politic connected), executive-right-expanded, loss-making, non-heavy-polluting, non-high-tech, and in the eastern region. Meanwhile, passive institutional investors are more sensitive to the ESG rating uncertainty. (3) The number of institutional investors, government subsidies, and securities market performance are the channels through which ESG rating uncertainty affects institutional investment.

本研究采用2015年至2022年中国A股上市企业的面板数据，运用年份、行业和地区的固定效应模型，实证检验了ESG评级和ESG评级不确定性对机构投资的影响。研究结果发现(1）ESG 评级对机构投资有显著的正向影响，但 ESG 评级不确定性的存在对机构投资有显著的负向影响。同时，ESG 评级的不确定性削弱了 ESG 评级对机构投资的影响。(2）机构投资者对政府相关企业（国有企业、政企关联企业）、行政权利扩张型企业、亏损企业、非重污染企业、非高科技企业、东部地区企业的ESG评级不确定性更为敏感。同时，被动型机构投资者对 ESG 评级的不确定性更为敏感。(3）机构投资者数量、政府补贴和证券市场表现是 ESG 评级不确定性影响机构投资的渠道。

引用次数: 0

Do subsidized export credits affect firms’ behavior in the FX market? Micro evidence from Türkiye 补贴出口信贷会影响企业在外汇市场上的行为吗？来自土耳其的微观证据

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.06.004

Ünal Seven, Ertan Tok

Through its export-led growth strategy, Türkiye intends to increase its exports by subsidizing exporters via a rediscount credit scheme, a form of subsidized export credit, that is mostly financed by the Central Bank of the Republic of Türkiye (CBRT). This paper aims to investigate whether benefiting from such cost-effective financial support causes unintended consequences by focusing on the foreign exchange purchases of treated firms. Using firm-level data and a propensity score matching (PSM) difference-in-differences (DD) estimator, we find evidence of a positive and significant impact of using rediscount credits on the net FX purchases of treated firms. Furthermore, we find that being a net importer increases the sensitivity of net FX purchases to the use of rediscount credit. We also show that the impact of using rediscount credits on net FX purchases is higher in SMEs than in large firms.

通过出口导向型增长战略，土耳其打算通过再贴现信贷计划（一种补贴出口信贷形式）对出口商进行补贴，以增加出口，该计划主要由土耳其共和国中央银行（CBRT）提供资金。本文旨在通过关注受惠企业的外汇购买情况，研究受益于这种具有成本效益的金融支持是否会导致意想不到的后果。利用企业层面的数据和倾向得分匹配（PSM）差分估计法，我们发现了使用再贴现信贷对受影响企业的净外汇购买量产生积极而显著影响的证据。此外，我们还发现，作为净进口国，外汇购买净额对使用再贴现信贷的敏感度更高。我们还发现，中小企业使用再贴现信贷对外汇购买净额的影响要高于大型企业。

引用次数: 0

Cross-border sovereign risk transmission in BRICIT Nations: Unveiling asymmetries and the role of country risk premiums 金砖四国的跨境主权风险传递：揭示不对称现象和国家风险溢价的作用

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.07.010

Pawan Kumar, Vipul Kumar Singh

This research highlights the asymmetric interdependence structure among the sovereign risks of Brazil, Russia, India, China, Indonesia, and Türkiye (BRICIT) nations, challenging the traditional view that bilateral trade is the main channel for cross-border spillover effects. Despite their dependence on Russian crude oil imports for energy, the BRICIT nations show no significant sovereign risk interdependence with Russia. The study finds that Indonesia's credit default swap (CDS) has the highest level of interdependence with other nations. Further exploration of alternative transmission channels necessitates an examination of the country risk premium, revealing Türkiye as the most vulnerable nation due to its negative association with the CDS of other countries, particularly India. By contrast, India is identified as a preferred investment destination, thanks to its lower uncertainty and strong GDP growth over the past decade. Additionally, the research underscores China's economic influence, demonstrated by its positive association with all other BRICIT nations. This suggests that despite the high sovereign risk associated with China, investors do not view other emerging markets as viable, lower-risk alternatives. The perceived risk related to China appears to extend beyond its borders, impacting the sovereign risk profiles of other emerging economies.

本研究强调了巴西、俄罗斯、印度、中国、印度尼西亚和土耳其（金砖四国）主权风险之间的非对称相互依存结构，挑战了双边贸易是跨境溢出效应主要渠道的传统观点。尽管 "金砖四国 "的能源依赖于俄罗斯的原油进口，但它们与俄罗斯之间并不存在显著的主权风险相互依存关系。研究发现，印度尼西亚的信用违约掉期（CDS）与其他国家的相互依存程度最高。由于土耳其与其他国家（尤其是印度）的信用违约掉期存在负相关，因此土耳其是最脆弱的国家。相比之下，印度因其较低的不确定性和过去十年强劲的国内生产总值增长而被视为首选投资目的地。此外，研究还强调了中国的经济影响力，中国与所有其他金砖四国的正相关关系就证明了这一点。这表明，尽管中国的主权风险较高，但投资者并不认为其他新兴市场是可行的、风险较低的替代选择。与中国相关的预期风险似乎已经超越了中国的国界，影响到其他新兴经济体的主权风险状况。

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引用次数: 0

The factors influencing the selection of fund management companies by Malaysian retail investors in the context of islamic unit trust funds 在伊斯兰单位信托基金的背景下，影响马来西亚散户投资者选择基金管理公司的因素

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.06.007

Salim Bouzekouk, Fadillah Mansor

The purpose of this study is to analyze the impact of fund management companies' past performance, fees, perceived religiosity, and perceived risk on Malaysian Muslim investors' attitude toward them. The moderating effects of investor risk aversion, price sensitivity, religiosity, and Islamic financial literacy are considered. A model based on the unified theory of acceptance and use of technology is built to analyze the impact of the variables considered. The study data were collected using a survey of 550 Malaysian retail investors. Our findings show that Muslim investor attitudes are negatively affected by the perceived risk of a fund management company and positively affected by a fund management company's perceived religiosity and past performance. Moreover, the perceived religiosity impact is positively moderated by an investor's Islamic financial literacy and negatively moderated by the investor's price sensitivity. Practical implications of the results and avenues for further investigation in future research are discussed.

本研究旨在分析基金管理公司的过往业绩、费用、宗教信仰和风险对马来西亚穆斯林投资者态度的影响。研究还考虑了投资者风险规避、价格敏感性、宗教信仰和伊斯兰金融知识的调节作用。在接受和使用技术的统一理论基础上，建立了一个模型来分析所考虑的变量的影响。研究数据是通过对 550 名马来西亚散户投资者的调查收集的。我们的研究结果表明，穆斯林投资者的态度受到基金管理公司感知风险的负面影响，而受到基金管理公司感知宗教性和过往业绩的正面影响。此外，投资者的伊斯兰金融知识对感知宗教信仰的影响有正向调节作用，而投资者的价格敏感性对感知宗教信仰的影响有负向调节作用。本文讨论了研究结果的实际意义以及未来研究的进一步调查途径。

引用次数: 0

The impact of ESG controversies on the financial performance of firms: An analysis of industry and country clusters 环境、社会和公司治理争议对公司财务业绩的影响：行业和国家集群分析

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.08.001

Michele Nascimento Jucá , Polona Domadenik Muren , Aljoša Valentinčič , Riste Ichev

Stakeholders have become increasingly interested in sustainable practices, leading to intense investigation in the literature of their effects on companies' returns. However, not much information is available about the effect of environmental, social, and governance (ESG) controversy on companies' financial performance. Inappropriate social behavior and environmental scandals attract attention in the media and, consequently, among investors. Therefore, this study analyzes the impact of ESG controversy on companies' return on equity, identifying differences between companies that operate in different clusters such as environmentally sensitive industries (ESI) or non–environmentally sensitive industries and emerging/developed countries. To this end, we investigate 625 publicly owned companies for the period 2011 to 2022, using a four-dimensional hierarchical linear regression model, comprising time, firms, industries, and countries. ESG controversies negatively impact the financial performance of companies operating in ESI and developed countries.

利益相关者对可持续发展实践的兴趣与日俱增，从而导致文献中对其对公司回报影响的深入研究。然而，关于环境、社会和治理（ESG）争议对公司财务业绩影响的信息却不多。不当的社会行为和环境丑闻会引起媒体的关注，进而引起投资者的关注。因此，本研究分析了环境、社会和治理争议对公司股本回报率的影响，并确定了在环境敏感行业（ESI）或非环境敏感行业以及新兴国家/发达国家等不同集群中运营的公司之间的差异。为此，我们使用一个由时间、公司、行业和国家组成的四维分层线性回归模型，对 2011 年至 2022 年期间的 625 家上市公司进行了调查。ESG争议对在ESI和发达国家运营的公司的财务业绩产生了负面影响。

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引用次数: 0

Fueling the bottom line: Decoding the effects of oil on banking performance in net oil-importing economies 为底线加油：解码石油对石油净进口经济体银行业业绩的影响

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.10.003

Burak Çıkıryel , Fatih Savaşan , Ruslan Nagayev , Şakir Görmüş

Banks play a pivotal role in the financial sector, assuming critical functions such as facilitating the monetary policy transmission mechanism and acting as intermediaries between savers and borrowers. Meanwhile, oil represents a fundamental input for economic activities, and its inherent volatility serves as a significant catalyst for economic instability. Given the critical roles of banking institutions and oil in the economy, their relationship garners attention from various stakeholders. The growing body of literature has examined the nexus between oil and banking performance. However, existing research has predominantly concentrated on either oil-exporting jurisdictions or country-specific analyses. Hence, the present study endeavors to bridge this gap in the literature by investigating the intricate dynamics between oil and banking performance, specifically in net oil-importing countries. The dynamic panel method is employed. The findings indicate that oil has direct and indirect effects on the profitability of banks operating through transmission channels.

银行在金融部门发挥着举足轻重的作用，承担着促进货币政策传导机制和充当储蓄者与借款者之间的中介等重要职能。同时，石油是经济活动的基本投入，其固有的波动性是经济不稳定的重要催化剂。鉴于银行机构和石油在经济中的关键作用，它们之间的关系引起了各利益相关方的关注。越来越多的文献研究了石油与银行业业绩之间的关系。然而，现有研究主要集中在石油出口辖区或具体国家的分析上。因此，本研究通过调查石油与银行业业绩之间错综复杂的动态关系，特别是石油净进口国的情况，努力弥补文献中的这一空白。本研究采用了动态面板法。研究结果表明，石油通过传导渠道对银行的盈利能力产生直接和间接的影响。

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引用次数: 0

Do institutional environment and corporate governance structures determine Islamic Banks’ sustainability performance? Evidence across key jurisdictions in Islamic finance industry 制度环境和公司治理结构决定伊斯兰银行的可持续性绩效吗？伊斯兰金融业主要司法管辖区的证据

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.06.005

Aghilasse Kashi , Abdelkader Laallam , Naji Mansour Nomran , Ala Azmi Abumughli , Tamy Al-Binali

This study examines the impact of the institutional environment and corporate governance structures on Islamic banks' sustainability performance (SP). It applies a two-step System Generalized Method of Moments (GMM) estimator to analyze data gathered on a panel of 32 Islamic banks drawn from nine key Islamic finance jurisdictions from 2016 to 2021. To consistently code and quantify the Islamic banks' SP, we use the Specific Standard Disclosures for the Financial Services Sector introduced by the GRI as a framework of reference. Then, we employ the weighted content analysis method on the sustainability and annual reports of the subjected sample. Our findings indicate that the institutional factors specifically, regulatory guidelines (regulatory isomorphism) and the adherence of Islamic banks to the sustainable finance networks' specifications (normative isomorphism) are not currently determinants of their SP. Contrarily, we observe that the establishment of a sustainability committee and a better experience of sustainability disclosure improve Islamic banks' SP. In contrast to agency theory, board activity is identified to have a significantly negative relationship with SP. An important policy implication of our results is that policymakers should closely monitor Islamic banks' regulatory dependency and enhance their SF ecosystem to positively influence their SP. Finally, future research may leverage on more conducive regulatory frameworks to sustainability transition in these key jurisdictions, more effective normative structures, further disclosure of sustainability committee characteristics, the development of appropriate measures of Islamic banks' digitalization levels, and the availability of more material sustainability data to provide further insights and better understand the determinants of Islamic banks’ SP.

本研究探讨了制度环境和公司治理结构对伊斯兰银行可持续发展绩效（SP）的影响。它采用两步系统广义矩法（GMM）估计法，分析了从 2016 年到 2021 年从九个主要伊斯兰金融管辖区收集的 32 家伊斯兰银行的面板数据。为了对伊斯兰银行的 SP 进行统一编码和量化，我们使用 GRI 推出的金融服务行业特定标准披露作为参考框架。然后，我们采用加权内容分析法对样本的可持续发展报告和年度报告进行分析。我们的研究结果表明，制度因素，特别是监管准则（监管同构）和伊斯兰银行对可持续金融网络规范的遵守（规范同构）目前并不是其可持续发展报告的决定因素。相反，我们观察到，可持续发展委员会的成立和可持续发展信息披露方面的更多经验提高了伊斯兰银行的可持续发展能力。与代理理论相反，我们发现董事会活动与可持续发展战略有显著的负相关关系。我们的研究结果的一个重要政策含义是，政策制定者应密切关注伊斯兰银行的监管依赖性，并加强其可持续发展生态系统，从而对其可持续发展战略产生积极影响。最后，未来的研究可以利用这些主要司法管辖区更有利于可持续发展转型的监管框架、更有效的规范结构、进一步披露可持续发展委员会的特征、制定适当的伊斯兰银行数字化水平衡量标准，以及提供更多实质性的可持续发展数据，以提供进一步的见解，更好地理解伊斯兰银行可持续发展战略的决定因素。

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引用次数: 0

Heterogeneity and nonlinearity in the relationship between rediscount credits and firm exports 再贴现信贷与企业出口之间的异质性和非线性关系

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.10.004

Okan Akarsu, Altan Aldan, Huzeyfe Torun

Export credits are used extensively throughout the world to temper the negative effects of financial constraints on exports. In this paper, we focus on a particular form of subsidized export credits, namely, an export rediscount credit program implemented by the Central Bank of the Republic of Türkiye. For this purpose, we create a detailed firm-level data set that matches monthly firm-level export data with credit and financial statement data. Our results show that exports by firms that use rediscount credit increase significantly over a six-month horizon and that the amount of credit and export growth have a positive relation. Moreover, the relation between the credit amount and export volume is not linear; the correlation starts to decline after a certain point. Our results also reveal heterogeneity with respect to size: exports increase more after using rediscount credit for small firms than large firms.

出口信贷在世界各地被广泛使用，以缓解金融限制对出口的负面影响。在本文中，我们将重点关注一种特殊形式的补贴出口信贷，即由土耳其共和国中央银行实施的出口再贴现信贷计划。为此，我们创建了一个详细的企业级数据集，将每月的企业级出口数据与信贷和财务报表数据相匹配。我们的研究结果表明，使用再贴现信贷的企业的出口在 6 个月的期限内大幅增长，信贷额度与出口增长呈正相关。此外，信贷额度与出口量之间并非线性关系；相关性在达到一定程度后开始下降。我们的研究结果还揭示了企业规模的异质性：小企业在使用再贴现信贷后的出口增长幅度大于大企业。

引用次数: 0

Conditional effects of higher order co-moments in asset pricing: Evidence from Borsa Istanbul 资产定价中高阶共常数的条件效应：伊斯坦布尔证券交易所的证据

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.06.009

Erdinç Altay, Sümeyra Uzun, Büşra Aydemir Özgül

This paper explores how systematic higher order moments (co-skewness and co-kurtosis) are priced in Borsa Istanbul. We tested the significance of higher order co-moments and analyzed their contribution to the standard capital asset pricing model and the Fama and French (2015) 5-factor model. We used a two-stage method to analyze the weekly returns of beta and size-sorted portfolios and individual stocks over the sample period from June 22, 2007 to November 15, 2023. We also used models conditional on market movements. The findings reveal that co-skewness has statistically significant effects on portfolio returns in Borsa Istanbul, especially in up markets. We also present the statistically significant effects of co-kurtosis on individual stock returns in both up and down markets.

本文探讨了伊斯坦布尔证券交易所如何对系统高阶矩（共斜度和共峰度）进行定价。我们测试了高阶共矩的重要性，并分析了它们对标准资本资产定价模型以及 Fama 和 French（2015 年）5 因子模型的贡献。我们采用两阶段法分析了 2007 年 6 月 22 日至 2023 年 11 月 15 日样本期间贝塔和规模排序投资组合和个股的周收益率。我们还使用了以市场变动为条件的模型。研究结果表明，在伊斯坦布尔证券交易所，共斜度对投资组合收益率有显著的统计影响，尤其是在上涨市场中。我们还提出了共峰度对上涨和下跌市场中个股回报率的显著统计影响。

引用次数: 0

An algorithmic approach to portfolio construction: A Turkish stock market case 构建投资组合的算法方法：土耳其股市案例

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.10.002

Mehmet Gülşen, Burak Yıldız

The goal of building a diversified portfolio is to mitigate risks and manage risk-reward tradeoffs. Diversification is also crucial for ensuring the long-term success of a portfolio. Although passive investment has been on the rise in most developed markets, it has not gained wider acceptance in some emerging markets, such as Türkiye. This study proposes an approach to construct a diversified portfolio that serves as a passive investment tool in the context of the Turkish stock market. Despite the long history of equity markets in Türkiye, almost all available passive investment alternatives are prohibitively expensive, unlike those in developed markets. We design a simple methodology that addresses the essential components of building a successful portfolio while avoiding excessive fees. Additionally, we propose a dynamic balancing strategy that algorithmically adjusts the weight of each stock in the portfolio. We test this approach with historical data, demonstrating that it can achieve reasonable returns with minimal effort. Even when its performance does not beat the benchmark, the percentage deviation is still below the management fees charged for alternative investments.

建立多元化投资组合的目的是降低风险和管理风险回报权衡。分散投资对于确保投资组合的长期成功也至关重要。虽然被动投资在大多数发达市场呈上升趋势，但在一些新兴市场，如土耳其，还没有得到更广泛的接受。本研究以土耳其股市为背景，提出了一种构建多元化投资组合的方法，作为一种被动投资工具。尽管土耳其股票市场历史悠久，但与发达市场不同的是，几乎所有可用的被动投资工具都过于昂贵。我们设计了一种简单的方法，既解决了建立成功投资组合的基本要素，又避免了过高的费用。此外，我们还提出了一种动态平衡策略，通过算法调整投资组合中每只股票的权重。我们用历史数据对这一方法进行了测试，证明它能以最小的投入获得合理的回报。即使其业绩没有超过基准，偏差百分比仍低于另类投资的管理费。

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引用次数: 0

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