Borsa Istanbul Review最新文献

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Price discovery and government intervention during the COVID-19 pandemic: Evidence from European cross-listed firms COVID-19大流行期间的价格发现和政府干预：来自欧洲交叉上市公司的证据

IF 7.1 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2025-11-01 Epub Date: 2025-10-10 DOI: 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.

本文研究了COVID-19大流行背景下交叉上市公司的价格发现动态。通过对疫情头六个月期间在德国交叉上市的26家法国、意大利和西班牙公司的分钟级盘中数据进行分析，我们发现，在2019冠状病毒病市场崩盘期间，国内市场的信息领先地位显著下降。尽管西班牙公司在一个月内就恢复了危机前的主导地位，但法国和意大利市场花了更长的时间才恢复，法国恢复危机前水平的速度最慢。采用Hasbrouck的信息份额（IS）和Gonzalo-Granger的成分份额（CS），我们观察到价格发现在崩溃期间暂时转移到德国市场，并随着时间的推移逐渐逆转。为了解释这些趋势，我们应用了固定效应Tobit和机器学习技术。我们的研究结果表明，强有力的经济干预增强了国内市场在价格发现方面的领导地位，而更严格的卫生措施削弱了这种领导地位。这些发现突出了市场效率对政策反应的敏感性，以及危机时期国际市场相互依存的重要性。

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引用次数: 0

Index futures mispricing: A global phenomenon? A comparative analysis of market dynamics 股指期货错定价：全球现象？市场动态的比较分析

IF 7.1 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2025-11-01 Epub Date: 2025-07-15 DOI: 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.

本文采用向量自回归（VAR）和自回归外生变量（ARX）模型研究了全球市场指数期货的错定价动态。本研究分析了横跨亚太、欧洲和美洲的16个指数期货从2006年到2023年的每日数据，考察了关键市场变量——期货交易量、未平仓合约、指数回报、指数交易量、波动性和到期时间——在推动原始错误定价和可操作错误定价（边界违规）方面的作用。结果显示，错误定价和越界行为持续存在，尤其是在新兴市场，如Nifty 50和IBOVESPA。研究结果强调了市场特定特征（包括监管框架、交易成本和流动性水平）在形成错误定价行为方面的关键影响。本研究提供了一个强有力的比较分析，为投资者、研究人员和政策制定者提供了有价值的见解，旨在了解和减轻全球期货市场的错误定价，提高市场效率。

引用次数: 0

The architecture of sustainable banking: Financial, institutional and risk patterns behind environmental performance 可持续银行的架构：环境绩效背后的金融、体制和风险模式

IF 7.1 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2025-11-01 Epub Date: 2025-10-10 DOI: 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.

本研究通过将先进的机器学习技术与模型可解释性工具相结合，考察了国际银行体系中环境支柱（EP）绩效的结构性决定因素。利用2019年至2023年24个国家的银行数据集，该分析确定了环境可持续性的关键金融、制度和风险相关驱动因素，并探讨了它们在不同地区的相互作用模式。结果表明，环境绩效不是孤立或线性动态的结果，而是道德治理、社会责任、财务稳健性和运营效率之间多维平衡的结果。当强有力的治理结构和高水平的社会参与共同作为制度支柱时，环境可持续性得到特别加强。银行规模对环境效益的积极贡献取决于实质性的社会取向，而过度盈利或风险暴露与较低的环境绩效有关。

引用次数: 0

The contagion effect of the FTX cryptocurrency exchange's crash on the stock markets 加密货币交易所FTX崩盘对股市的传染效应

IF 7.1 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2025-11-01 Epub Date: 2025-10-10 DOI: 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.

加密货币市场对投资者非常有吸引力，但近年来由于透明度和审计方面的不足，它经历了几次重大危机。FTX加密货币交易所的崩溃是加密货币市场最关键的事件之一。因此，我研究了FTX崩溃对股票市场（s&p;P 500， TSX, FTSE100, BIST100， SENSEX， SSE, NIKKEI 225， KOSPI 100和ASX 200）的传染影响，使用时变参数向量自回归（TVP-VAR）扩展联合连通性模型和协波动性，协峭度和协偏性检验。基于2021-2023年期间的每日数据集的实证研究结果表明，FTX崩溃仅对BIST 100指数具有明显的传染影响。对此，一种可能的解释是，在FTX投资中遭受损失的土耳其投资者，试图通过平仓BIST 100指数来弥补他们日益减少的财富，尤其是为了满足追加保证金的要求。另一个可能的解释是BIST 100的固有脆弱性，这使得它在动荡时期无法被视为避险资产。这些发现可以帮助政策制定者和投资者制定政策和策略，以抵御加密货币的传染影响。

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引用次数: 0

Dynamic market efficiency assessment in sustainability indices: Rolling fractional integration analysis with multiple estimators 可持续发展指标的动态市场效率评估：多重估计量的滚动分数积分分析

IF 7.1 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2025-11-01 Epub Date: 2025-10-15 DOI: 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.

本研究通过滚动分数整合分析，建立了一个全面的计量经济学框架来评估可持续性指数的市场效率。我们采用四个分数积分估计器（Andrews-Guggenberger, Robinson GSE， GPH和FELW）进行正式的统计测试，解决了关键的方法差距，包括单一估计器依赖和静态分析方法。应用于13个国家的17个可持续性指数，我们的结果显示了市场效率演变的显著异质性。发达市场表现出时变的效率模式，由制度再平衡动态驱动的周期性效率低下，而新兴市场表现出更高的效率特征。BIST可持续发展指数显示出卓越的效率，而标准普尔500 ESG筛选指数显示出发达市场中最高的低效率水平。分数阶积分与传统单位根检验之间的收敛效度提供了稳健的方法学验证。我们的研究结果在可持续性市场效率研究中建立了前所未有的稳健性，同时为金融监管机构和投资经理提供了政策启示。

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引用次数: 0

The monitoring role of pension fund ownership in ESG firm controversies 养老基金所有权在ESG公司争议中的监督作用

IF 7.1 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2025-11-01 Epub Date: 2025-10-11 DOI: 10.1016/j.bir.2025.10.008

Mercedes Alda

This study examines the role of pension fund ownership as a control mechanism of ESG firm controversies. Institutional investors are traditionally considered passive owners; however, the role of pension funds is not clear because, in theory, they may be effective monitors as pressure-resistant investors. This work analyses the impact of UK equity pension funds on their investee firms’ ESG controversies. The results indicate that a larger pension fund shareholding reduces controversies related to environmental and product responsibility areas. However, pension funds are passive monitors in other areas, such as workforce, to avoid conflicts of interest with company management. Moreover, we first consider the impact of social investment networks on ESG firm controversies, and the findings reveal that pension funds have diverse interests, especially conventional funds, which produces conflicts of interest in the networks. In addition, ambiguous information flows across the networks, leading to different interpretations of the information and thus diverse monitoring decisions regarding ESG firm controversies. Finally, pension fund shareholding encourages some substantive CSR engagement practices in the corporate citizenship area.

本研究探讨了养老基金所有权作为ESG公司争议的控制机制的作用。传统上，机构投资者被认为是被动所有者；然而，养老基金的角色尚不明确，因为从理论上讲，它们作为抗压投资者可能是有效的监督者。这项工作分析了英国股票养老基金对其投资公司的ESG争议的影响。结果表明，较大的养老基金持股减少了与环境和产品责任领域相关的争议。然而，养老基金在劳动力等其他领域是被动的监督者，以避免与公司管理层发生利益冲突。此外，我们首先考虑了社会投资网络对ESG公司争议的影响，研究结果表明，养老基金具有多样化的利益，特别是传统基金，这在网络中产生了利益冲突。此外，模棱两可的信息在网络中流动，导致对信息的不同解释，从而导致有关ESG公司争议的不同监测决策。最后，养老基金持股鼓励了企业公民领域一些实质性的企业社会责任参与实践。

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引用次数: 0

Independence or subservience? The role of independent co-opted directors in corporate tax avoidance 独立还是屈从？独立增选董事在企业避税中的作用

IF 7.1 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2025-11-01 Epub Date: 2025-10-10 DOI: 10.1016/j.bir.2025.10.005

Irfan Haider Shakri , Aitzaz Ahsan Alias Sarang , Fiza Qureshi , R.M. Ammar Zahid

This study examines how the appointment of independent directors after a CEO assumes office (co-opted directors) affects corporate tax avoidance. While formally independent, such directors may be more aligned with the CEO, potentially weakening board oversight. Using a panel of 7084 U.S. firm-year observations from 2002 to 2022, we use tenure-weighted co-option measure and employ system GMM, entropy balancing, and a difference-in-differences approach to address endogeneity. We find that firms with higher proportions of co-opted independent directors exhibit significantly lower effective tax rates, indicating more aggressive tax behavior. This relationship is stronger in firms with weak governance, low board meeting attendance, and powerful CEOs. Notably, the audit committee's independence and expertise do not mitigate this effect. Our findings have important implications for capital markets governance, suggesting that formal director independence may not ensure accountability without structural safeguards against managerial influence in board appointments.

本研究考察了CEO上任后任命独立董事（增选董事）对企业避税的影响。虽然在形式上是独立的，但这类董事可能与首席执行长更为一致，可能削弱董事会的监督。利用2002年至2022年7084个美国公司的年度观察数据，我们使用任期加权的共同选择度量，并采用系统GMM、熵平衡和差异中的差异方法来解决内生性问题。研究发现，增选独立董事比例较高的企业，其有效税率显著较低，表明其纳税行为更具侵略性。这种关系在治理薄弱、董事会出席率低、ceo权力大的公司中更为明显。值得注意的是，审计委员会的独立性和专业知识并没有减轻这种影响。我们的研究结果对资本市场治理具有重要意义，表明如果没有结构性保障措施防止管理层对董事会任命的影响，正式的董事独立性可能无法确保问责制。

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引用次数: 0

Corporate crime in European emerging markets 欧洲新兴市场的企业犯罪

IF 7.1 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2025-11-01 Epub Date: 2025-07-22 DOI: 10.1016/j.bir.2025.07.008

Ichiro Iwasaki , Evžen Kočenda

We examine the corporate criminal records of 18,187 firms operating in 17 European emerging markets and empirically analyze the effects of board composition and national institutions on crime deterrence. Our analysis reveals that 872 firms (about 5 % of the sample) committed 1734 crimes over 2020–2023. We show that firms with larger boards and greater board independence are associated with higher incidences of corporate crime, suggesting that larger or nominally independent boards may not function effectively in emerging market contexts. In contrast, female leadership and board gender diversity do not exhibit significant deterrent effects, implying that gender inclusion alone may not suffice in these environments. In banks with an outside board chairman, the occurrence of corporate crime increases substantially. Importantly, stronger national institutions consistently correlate with lower crime rates, a pattern observed universally across European emerging markets, and boards in countries with stronger institutions appear more effective in deterring crime.

我们研究了在17个欧洲新兴市场经营的18187家公司的企业犯罪记录，并实证分析了董事会组成和国家制度对犯罪威慑的影响。我们的分析显示，872家公司（约占样本的5%）在2020-2023年间犯下了1734起犯罪。我们的研究表明，拥有更大董事会和更大董事会独立性的公司与更高的公司犯罪发生率相关，这表明更大或名义上独立的董事会可能无法在新兴市场环境中有效发挥作用。相比之下，女性领导和董事会性别多样性并没有表现出显著的威慑作用，这意味着在这些环境中，仅靠性别包容可能还不够。在由外部人担任董事长的银行，法人犯罪的发生率大幅上升。重要的是，更强大的国家机构始终与更低的犯罪率相关，这是欧洲新兴市场普遍观察到的一种模式，而在机构更强大的国家，董事会在遏制犯罪方面似乎更有效。

引用次数: 0

Does finance contribute to income inequality in the European Union? 金融是否加剧了欧盟的收入不平等？

IF 7.1 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2025-11-01 Epub Date: 2025-06-28 DOI: 10.1016/j.bir.2025.06.010

Mihaela Simionescu

This study examines the empirical link between financial development and income inequality, focusing on the influence of financial system characteristics. Specifically, it investigates the impact of bank market power and stock market orientation, a topic that has received little attention in prior research. The analysis uses advanced cointegration techniques that address cross-sectional dependence and simultaneity issues inherent in nonstationary panel data. The findings for the European Union (EU-27) member states in the period 1990–2023 indicate that financial development and private credit reduced income inequality based on the Gini index. However, a more competitive and more concentrated banking system enhances inequality. A more market-driven financial system can mitigate income disparity, especially during banking crises. The analysis based on other measures of inequality, such as share of income for the top 1 percent and 10 percent and the bottom 50 percent reveals that financial development increases the share of the richest people. Based on these results, we find that financial reforms are necessary to ensure that the banking sector can contribute to a more equitable income distribution.

本研究考察了金融发展与收入不平等之间的实证联系，重点关注金融体系特征的影响。具体而言，本文研究了银行市场势力和股票市场导向的影响，这是一个在之前的研究中很少受到关注的话题。分析使用先进的协整技术，解决了非平稳面板数据固有的横截面依赖性和同时性问题。欧盟（EU-27）成员国在1990年至2023年期间的研究结果表明，基于基尼指数，金融发展和私人信贷减少了收入不平等。然而，竞争更激烈、集中度更高的银行体系会加剧不平等。一个更加市场化的金融体系可以缓解收入差距，尤其是在银行业危机期间。该分析基于其他衡量不平等的指标，比如收入最高的1%和10%以及收入最低的50%的人的收入份额，结果显示，金融发展增加了最富有人群的收入份额。基于这些结果，我们发现有必要进行金融改革，以确保银行业能够为更公平的收入分配做出贡献。

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引用次数: 0

The impact of TV-based policy uncertainty on dynamic connectedness among different asset classes 基于电视的政策不确定性对不同资产类别动态连通性的影响

IF 7.1 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review

Pub Date : 2025-11-01 Epub Date: 2025-08-18 DOI: 10.1016/j.bir.2025.08.003

Asil Azimli

This study examines the role of cable-based economic policy uncertainty (TV-EPU) in predicting the dynamic interconnectedness among various asset classes. Initially, a quantile-based vector autoregressive (QVAR) connectedness approach is employed to calculate the systemic risk spillovers during different market states. Then, a time-varying causality approach is used to examine whether TV-EPU can predict dynamic risk spillovers across different asset classes under various market conditions. Our results show that the TV-EPU index effectively predicts connectedness under both average and extreme market conditions. This finding highlights the importance of a readily available measure for monitoring systemic risk spillovers among financial assets, providing valuable insights for informed investment decisions and effective risk monitoring.

本研究考察了基于有线电视的经济政策不确定性（TV-EPU）在预测各种资产类别之间的动态互联性中的作用。首先，采用基于分位数的向量自回归（QVAR）连通性方法来计算不同市场状态下的系统风险溢出。然后，采用时变因果关系方法检验TV-EPU能否预测不同市场条件下不同资产类别之间的动态风险溢出。我们的研究结果表明TV-EPU指数在平均和极端市场条件下都能有效地预测连通性。这一发现强调了监测金融资产系统性风险溢出的现成措施的重要性，为明智的投资决策和有效的风险监测提供了有价值的见解。

引用次数: 0

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