Borsa Istanbul Review最新文献

英文中文

Asymmetric TVP-VAR connectedness between highly traded commodities and hedging strategies: Evidence from major contagions 高交易量商品与对冲策略之间的非对称 TVP-VAR 关联性：主要传染病的证据

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.07.009

Kamesh Anand K, Aswini Kumar Mishra

The objective of this study is to examine the return interconnectedness and asymmetric spillover effects in global commodity futures markets, with a focus on the impact of contagion. A competent asymmetric time-varying parameter vector autoregressive (TVP-VAR) model was employed for highly traded commodity futures (cocoa, coffee, corn, cotton, soy, sugar, wheat, and oil) between January 1, 2000, and March 31, 2024. This study investigates the connectedness of commodities in three dimensions: asymmetric spillovers, the influence of oil and oil substitutes on the network, and the impact of major contagions. The average total connectedness index (TCI) indicates that the connectedness is significant throughout the period and increases during the invasion. The findings imply that contagion effects trigger a potential alteration in the structure of the network integration level of the commodities, amplifying system-wide dynamic connectivity due to disurptions caused by oil and oil substitutes. The net plot depicts corn and soy as the net transmitters, with their magnitude increasing during the contagions. The pairwise connectedness index (PCI) revealed that corn-soy, corn‒wheat, and soy-wheat were the primary interactors, while oil became a significant interactor, particularly during the oil crash and the COVID-19 outbreak. Additionally, compared with other contagions, GFC had a potential asymmetric effect on the network. Positive returns dominate the interaction between the primary transmitter and receivers, whereas negative returns do not significantly dominate the total network. These investigations contribute to the literature on the food-fuel nexus in terms of asymmetries and the impact of contagions on the futures market. It also identified the optimal portfolio allocation based on the hedging effectiveness of three portfolio construction strategies.

本研究的目的是考察全球商品期货市场的回报相互关联性和非对称溢出效应，重点关注传染的影响。针对 2000 年 1 月 1 日至 2024 年 3 月 31 日期间交易量较大的商品期货（可可、咖啡、玉米、棉花、大豆、糖、小麦和石油），采用了一个合格的非对称时变参数向量自回归（TVP-VAR）模型。本研究从三个方面考察了商品的关联性：非对称溢出效应、石油和石油替代品对网络的影响以及重大传染病的影响。平均总连通性指数（TCI）表明，连通性在整个时期都很显著，并且在入侵期间会增加。研究结果表明，传染效应会引发商品网络一体化水平结构的潜在变化，从而放大石油和石油替代品造成的全系统动态连通性。网状图显示，玉米和大豆是网状传播者，在疫情期间，它们的传播量不断增加。成对连通性指数（PCI）显示，玉米-大豆、玉米-小麦和大豆-小麦是主要的相互作用者，而石油则成为重要的相互作用者，尤其是在石油暴跌和 COVID-19 爆发期间。此外，与其他传染病相比，全球金融危机对网络产生了潜在的不对称影响。正回报在主要传播者和接收者之间的互动中占主导地位，而负回报在整个网络中的主导地位并不明显。这些研究从非对称性和传染病对期货市场的影响方面为有关粮食与燃料关系的文献做出了贡献。该研究还根据三种投资组合构建策略的对冲效果确定了最佳投资组合配置。

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引用次数: 0

Quantile-based extended joint connectedness between trade policy uncertainty and GCC Islamic stock sectoral volatility 贸易政策不确定性与海湾合作委员会伊斯兰股票部门波动性之间基于量子的扩展联合关联性

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.07.004

Mosab I. Tabash , Umaid A. Sheikh , Walid Mensi , Sang Hoon Kang

This study quantifies the shock transmission mechanism between the trade policy uncertainty (TPU) index and Sharia-compliant stock sectoral conditional volatility in the Gulf Cooperation Council (GCC) countries. We employ a comprehensive analysis that includes the time-domain extended joint and frequency-domain quantum vector autoregressive (QVAR) frameworks. The time-domain QVAR demonstrates that TPU causes the most substantial shocks to utility sector volatility. Investors in the GCC must strategically allocate their investment portfolios to the consumer services and energy industries, which are less vulnerable to the TPU shock. The results show that TPU shocks provide more error variances to the long-term and bullish conditional volatility (or higher quantiles) of the utility, real estate investment trust funds (REIT), healthcare, and industry sectors. Conversely, during bearish volatility conditions (lower quantiles), TPU shocks result in higher shocks in the conditional volatility of the utility, REIT, finance, and industrial sectors. Long-term investors should diversify their portfolios to mitigate risk in the utility, REIT, and industry sectors through strategic investments in consumer service sector. However, in the short term and during both bearish and bullish sectoral volatility, the consumer service and industry sectors are more vulnerable to TPU shocks. Regarding diversity, the REIT, energy, and financial sectors are the least affected by TPU shocks, offering a protective buffer in the short term and during periods of higher and lower GCC Islamic sectoral volatility.

本研究量化了海湾合作委员会（GCC）国家贸易政策不确定性（TPU）指数与符合伊斯兰教法的股票行业条件波动性之间的冲击传导机制。我们采用了包括时域扩展联合和频域量子向量自回归（QVAR）框架在内的综合分析方法。时域量子向量自回归分析表明，TPU 对公用事业部门的波动性造成的冲击最大。海湾合作委员会的投资者必须战略性地将其投资组合分配到消费服务和能源行业，这些行业受 TPU 冲击的影响较小。研究结果表明，TPU 冲击为公用事业、房地产投资信托基金（REIT）、医疗保健和工业行业的长期和看涨条件波动率（或较高的量化值）提供了更多的误差方差。相反，在看跌的波动率条件下（较低的量化值），TPU 冲击会导致公用事业、房地产投资信托基金、金融和工业部门的条件波动率受到较大冲击。长期投资者应分散投资组合，通过对消费服务行业的战略投资来降低公用事业、房地产投资信托和工业行业的风险。然而，从短期来看，无论是在看跌还是看涨的行业波动中，消费服务和工业行业都更容易受到 TPU 的冲击。在多样性方面，房地产投资信托、能源和金融行业受 TPU 冲击的影响最小，在短期内以及海湾合作委员会伊斯兰行业波动较大和波动较小的时期都能提供保护性缓冲。

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引用次数: 0

Rapid credit expansion and firm behavior: A case study from Türkiye 快速信贷扩张与企业行为：土耳其案例研究

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.07.003

İbrahim Yarba, Tarık Alperen Er, Aykut Şengül

This study examines the impact of a sudden and remarkable credit expansion experienced in Türkiye during the first half of 2022 on firm behavior by utilizing a novel dataset containing the universe of all incorporated firms in Türkiye. The results of the combination of coarsened exact matching and difference-in-differences methodology show that, amid the credit expansion coupled with the deterioration in expectations of inflation and depreciation in local currency, the firms with higher credit usage tended to engage in alternative channels rather than undertaking real economic activities in short term, such as pulling-forward imports and input demand and taking position against local currency to gain financial profit more than those with less credit usage during the first half of 2022. While SMEs with higher credit usage increased their imports, domestic input purchases, foreign currency purchases, and foreign currency-denominated debt settlement before maturity, large firms increased their foreign currency purchases relative to their counterparts with less credit usage.

本研究利用包含土耳其所有注册公司的新数据集，探讨了土耳其在 2022 年上半年经历的突然而显著的信贷扩张对公司行为的影响。粗略精确匹配法和差分法相结合的研究结果表明，在信贷扩张与通胀预期恶化和本币贬值的情况下，2022 年上半年，信贷使用率较高的企业与信贷使用率较低的企业相比，更倾向于通过其他渠道而非短期内开展实体经济活动，如拉动进口和投入需求、持有本币兑美元头寸以获取财务利润等。信贷使用较多的中小企业增加了进口、国内投入品采购、外币采购和外币计价债务到期前清偿，而大型企业相对于信贷使用较少的企业增加了外币采购。

引用次数: 0

Contribution to the measurement of digital financial inclusion in Sub-Saharan Africa 为衡量撒哈拉以南非洲的数字金融包容性做出贡献

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.07.007

Christian Kamenga Mapurita , Célestin Mayoukou

Despite the notable progress made in the development of digital financial services in sub-Saharan Africa, no comprehensive measure is currently available to quantify this progress. Therefore, we constructed a digital financial inclusion index using a parametric approach. Our findings show an upward trend in digital financial inclusion from 2014 to 2021, with a notable increase observed in this index in 2021. Based on the instrumental variable approach, we found that COVID-19, growth product per capita, and quality of governance were the main drivers of digital financial inclusion. Furthermore, findings reveal that not all sub-Saharan African countries have benefited equally from the digital financial revolution. Some countries, including Kenya, Ghana, and Côte d’Ivoire, have benefited substantially because of their high degree of digital financial inclusion. However, other countries—such as Malawi, Guinea, Burkina Faso, and Mali—have fallen behind in terms of digital financial inclusion and are reaping fewer benefits from the revolution in digital banking. We interpreted this observation as symptomatic of inequality. Using the Shapley decomposition analysis, we found that 33% of the disparities in digital financial inclusion among the examined countries were attributable to differences in the use of digital financial services and 13% to the differences in access to those services. We identified the legal origin as a driver of inequality in both access to and use of digital financial services. Moreover, access to the internet has contributed to inequality in the use of digital financial services. In terms of economic implications, countries with the lowest digital financial inclusion must revise their legal systems and invest in internet infrastructure.

尽管撒哈拉以南非洲地区在发展数字金融服务方面取得了显著进展，但目前还没有一个全面的衡量标准来量化这一进展。因此，我们采用参数法构建了数字金融包容性指数。我们的研究结果表明，从 2014 年到 2021 年，数字金融包容性呈上升趋势，2021 年这一指数明显上升。根据工具变量法，我们发现 COVID-19、人均增长产品和治理质量是数字金融包容性的主要驱动因素。此外，研究结果显示，并非所有撒哈拉以南非洲国家都同样受益于数字金融革命。包括肯尼亚、加纳和科特迪瓦在内的一些国家因其高度的数字金融包容性而受益匪浅。然而，其他国家，如马拉维、几内亚、布基纳法索和马里，在数字金融包容性方面却落在后面，从数字银行革命中获得的好处较少。我们将这一现象视为不平等的表现。利用沙普利分解分析法，我们发现受考察国家在数字金融包容性方面存在的差异，33%归因于数字金融服务使用方面的差异，13%归因于获得这些服务方面的差异。我们发现，法律渊源是获取和使用数字金融服务不平等的驱动因素。此外，互联网接入也是造成数字金融服务使用不平等的原因之一。就经济影响而言，数字金融包容性最低的国家必须修改其法律制度，并投资于互联网基础设施。

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引用次数: 0

Does data assetisation improve corporate liquidity and corporate growth? Evidence from “hidden champion” SMEs in China 数据资产化能否改善企业流动性和企业增长？来自中国 "隐形冠军 "中小企业的证据

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.07.008

Lili Chen

Our study explores the association between data assetisation and corporate liquidity and growth. By examining China's “hidden champion” small and medium-sized enterprises (SMEs) sample from 2011 to 2021, we find that “hidden champion” SMEs with higher data assets exhibit higher liquidity and corporate growth (including promoting sales growth, increasing profitability and corporate value, and enhancing corporate resilience). Furthermore, corporate liquidity mediates the relationship between data assetisation and corporate growth. Regarding the influencing factors, when companies are in a mature stage, this can promote the enhancing effect of data assetisation on corporate liquidity, whereas when companies are in a decline stage, this inhibits the enhancing effect of data assetisation on corporate liquidity. Companies with higher industry competition and lower macroeconomic development enhance the effect of data assetisation on corporate liquidity. Our findings emphasise the development of data assetisation and its role in improving financing decisions and promoting the survival and sustainable development of “hidden champion” SMEs.

我们的研究探讨了数据资产化与企业流动性和增长之间的关联。通过对 2011 年至 2021 年中国 "隐形冠军 "中小企业样本的研究，我们发现，拥有较高数据资产的 "隐形冠军 "中小企业表现出更高的流动性和企业成长性（包括促进销售增长、提高盈利能力和企业价值、增强企业抗风险能力）。此外，企业流动性也是数据资产化与企业成长之间关系的中介。在影响因素方面，当企业处于成熟阶段时，会促进数据资产化对企业流动性的增强作用，而当企业处于衰退阶段时，则会抑制数据资产化对企业流动性的增强作用。行业竞争程度较高、宏观经济发展水平较低的企业会增强数据资产化对企业流动性的影响。我们的研究结果强调了数据资产化的发展及其在改善融资决策、促进 "隐形冠军 "中小企业生存和可持续发展方面的作用。

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引用次数: 0

The efficacy of green finance for environmental sustainability: Does control of corruption makes a difference? 绿色金融对环境可持续性的功效：控制腐败会产生影响吗？

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2024-11-01 DOI: 10.1016/j.bir.2024.07.002

Yacong Shi , Qiju Zhu , Muhammad Atif Khan

Green finance (GF) plays a crucial role in reducing greenhouse gas (GHG) emissions and promoting environmental sustainability (ES). However, the efficacy of GF may vary, depending on several factors, particularly the extent of control of corruption. This study investigates the effect of control of corruption on the efficacy of GF using data on 37 Asian countries for the period 2000–2020. The results demonstrate that the efficacy of GF in reducing the GHG emissions and improving ES in a country depends on the level of corruption there. Specifically, GF has a significant GHG reduction effect in the presence of strong corruption control or low corruption levels. These findings remain robust to several robustness checks, including alternative measurements of ES and corruption control and different estimators. This highlights the significance of enhancing control of corruption at the national level to optimize efficient utilization of GF resources and advancing ES. The study also presents policy implications based on these findings.

绿色金融（GF）在减少温室气体（GHG）排放和促进环境可持续性（ES）方面发挥着至关重要的作用。然而，绿色金融的效果可能因多种因素而异，尤其是对腐败的控制程度。本研究利用 2000-2020 年间 37 个亚洲国家的数据，研究了控制腐败对全球论坛功效的影响。研究结果表明，温室气体框架在减少温室气体排放和改善环境质量方面的效果取决于一个国家的腐败程度。具体而言，在腐败控制力强或腐败程度低的情况下，全球论坛具有显著的温室气体减排效果。这些发现在几种稳健性检验（包括对环境质量和腐败控制的其他测量方法以及不同的估计方法）后仍然是稳健的。这凸显了在国家层面加强腐败控制对优化全球基金资源的有效利用和促进环境服务的重要意义。本研究还根据这些结论提出了政策影响。

引用次数: 0

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

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

Lin Li , Teng Yuan Cheng , Zonglong Li , Yejin Huang

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

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

Buket Kirci Altinkeski , Sel Dibooglu , Emrah Ismail Cevik , Yunus Kilic , Mehmet Fatih Bugan

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

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

Özgür Şafak Açıkalın, Zeynep Önder

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

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