Showing papers in "Borsa Istanbul Review in 2020"

TL;DR: In this article, the authors employed the VAR-DCC-GARCH model to examine return and volatility transmission among Bitcoin, Ethereum, and Litecoin during the pre-COVID-19 and COVID19 periods.

TL;DR: In this paper, the authors analyzed the effects of COVID-19 on 56 global stock indices from October 15, 2019 to August 7, 2020 by using a complex network method, and the change of the network structure is analyzed in depth by dividing the stock markets into developed, emerging and frontier markets.

TL;DR: In this article, the authors examined nonlinear effects of global and country-specific geopolitical risk uncertainty on stock returns of Brazil, India, Indonesia, South Africa, and Turkey, employing a three-regime Markov-switching approach.

TL;DR: In this article, the authors examined the response of emerging stock markets due to the uncertainty of pandemics and epidemics (UPE), including the COVID-19 pandemic, and demonstrated that developed stock markets provide a better hedge against UPE than emerging stock market.

TL;DR: In this article, the authors investigated the co-movement of sovereign credit risk and economic risk in Turkey using the Toda-Yamamoto causality, Gradual Shift causality and Wavelet Coherence tests.

TL;DR: In this article, the authors examined the interconnection between economic development and financial development on income inequality, considering Kuznets hypothesis, Greenwood and Jovanovic hypothesis and the new specification by Baiardi and Morana, using unbalanced dynamic panel GMM estimation models.

TL;DR: In this paper, the role of overconfidence as mediator between representative heuristic and investment decisions has been investigated in the context of the Pakistan Stock Exchange (PSX), where primary and secondary data were collected from 446 retail investors.

TL;DR: In this article, the effects of policy uncertainty on Bitcoin returns with economic policy uncertainty (EPU) in the US, the UK, Japan, China, and Hong Kong were analyzed and the robust estimations from the quantile regression and Markov regime-switching model showed that Bitcoin returns are affected by EPU.

TL;DR: In this paper, the authors investigated the existence of volatility spillover effects between foreign exchange markets and Islamic stock markets in three major emerging countries, namely India, Malaysia, and Turkey using daily data for the period 2013-2019.

TL;DR: In this paper, the relationship between crude oil-price changes on some selected African Islamic indices, using daily data from May 4, 2011, to January 25, 2018, was addressed.

TL;DR: In this article, the authors evaluate different levels of war intensity and oil price behavior from a multidimensional perspective, and apply the simulator to different war scenarios between the US and Iran between 1980 and 2025.

TL;DR: The authors empirically reassesses the long-debated relationship between the financial structure and economic growth, examining whether the effect of financial structure on economic growth is affected by the occurrence of banking crisis and economic volatility, the level of financial development, and financial structure disproportion.

TL;DR: In this paper, the authors compared the performance of Islamic, conventional, and mixed (Islamic-conventional) optimal international portfolios from the viewpoint of an American investor across tranquil and crisis regimes.

TL;DR: In this paper, a Bayesian time-varying parameter vector autoregression (TVP-VAR) model was used to examine the timevanging transmission mechanisms between structural oil price shocks and Borsa Istanbul Stock Exchange, Turkey's stock market.

TL;DR: The random forest is used to predict initial returns of IPOs issued on Borsa Istanbul and the prediction results show that random forest has by far outperformed other methods in every category of the comparison.

TL;DR: In this paper, the authors show that the central bank's main policy tool, interest rates, and the nominal exchange rate are determinant of output and the inflation rate, respectively, under an explicit inflation-targeting regime implemented since the beginning of 2006.

TL;DR: In this paper, the authors investigated the effect of institutional ownership on initial public offering (IPO) valuation and also examined the indirect role played by the pricing mechanism on the relationship.

TL;DR: In this paper, the authors investigate financial structure institutional determinants of firms listed on the MENA region and analyze the indirect role played by institutions on the speed of adjustment, and find that the effects of firm profitability, non-debt tax savings and growth opportunities on leverage are strengthened in the context of good quality institutions.

TL;DR: In this article, the authors investigated permanent and transitory spillover effects from Brent oil futures to four agricultural futures (i.e., corn, wheat, soybean, and canola) considering six different distribution functions.

TL;DR: In this article, the causal relationship between BIST-100 return index and investor sentiment was analyzed by employing a novel Granger causality test developed by Shi, Phillips, and Hurn (2018) which detects and dates the changes in causal relationships.

TL;DR: In this paper, the authors analyzed whether the trust distance between two countries can explain bilateral stock market correlations among emerging countries and found that a smaller trust distance among nations is related to a higher stock market correlation.

TL;DR: In this article, the effect of the private pension scheme on domestic savings in Turkey between the period 2003Q4-2018Q3 was investigated and the ARDL model was used to examine the short and the long term relationship among the variables.

TL;DR: This article examined the role of earnings management in the relationship between firm performance and capital structure, dividing earnings management into discretionary and nondiscretionary accruals to test established theories on the capital structure.

TL;DR: In this paper, the effect of product market competition on the stability and bank capital ratio of Southeast Asian commercial banks was analyzed using the sys-GMM dynamic panel data estimation technique.

TL;DR: In this article, the authors focused on the brand value-shareholder return relationship using the approach of Madden et al. (2006) based on Aaker (1991) and compared the strong brands portfolio, created through brand values in “Turkey's Most Valuable Brands” annual report of Brand Finance published between 2007-, 2015, within alternative benchmark portfolio in terms of risk and return.

TL;DR: In this paper, the authors used a cash-based profitability factor that is completely free from accounting accruals to test the five-factor and three other models against eight different market anomalies in Borsa Istanbul (BIST).

TL;DR: In this article, the authors investigated the effects of corruption on the performance of newly established enterprises and found that the more mature firms are better at dealing with corruption and can eventually take advantage of it to enhance their performance.

TL;DR: In this article, the authors estimate spillover indices of Diebold and Yilmaz (2009, 2012) among selected 11 CEE (Central and Eastern European) and SEE (Southern and Eastern Europe) stock markets.

TL;DR: In this paper, the authors apply portfolio balance theory in forecasting exchange rate and argue for the need to account for the role of Global Financial Cycle (GFCy) as such, the first stage of the analysis is estimate a GFCy model and obtain the idiosyncratic shock Next, they use the results in first stage as a predictor for exchange rate.

TL;DR: In this article, the authors examined whether the EDB frontier improves economic growth by considering a sample of 47 European and Central Asian countries, clustered into lower-middle, upper-middle and high-income economies.