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Investors' net buying pressure and implied volatility dynamics

Ryu, Doojin; Webb, Robert I.; Yang, Heejin; Yu, Jinyoung - In: Borsa Istanbul Review 22 (2022) 4, pp. 627-640

influence of different investor types' net options demand on the KOSPI200 options-implied volatility dynamics. We extend Bollen … and Whaley (2004) by accounting for options traders' hedging demand for futures contracts, intraday seasonality, dynamic … impacts of net buying pressure on implied volatility, and the effect of regulatory reform in the options market. Our empirical …

Persistent link: https://www.econbiz.de/10013334805

The impact of investor sentiment on returns, cash flows, discount rates, and performance

Ur Rehman, Muhammad Ateeq - In: Borsa Istanbul Review 22 (2022) 2, pp. 352-362

Investor sentiment is believed to play an increasingly significant role in business and economic activities. By analyzing data collected from a sample of listed nonfinancial firms in Pakistan for the period 2009-2018, we quantify investor behavior and how it affects market returns, cash flows,...

Persistent link: https://www.econbiz.de/10013184296

Crash risk and ESG disclosure

Silva, Paulo Pereira da - In: Borsa Istanbul Review 22 (2022) 4, pp. 794-811

This study examines whether ESG (environmental, social and governance) disclosure influences firm-specific crash risk. Our main research hypothesis postulates that further information disclosure about ESG activities and risks mitigates crash risk by virtue of lower opacity and information...

Persistent link: https://www.econbiz.de/10013334837

What drives US stock markets during the COVID-19 pandemic? : a global sensitivity analysis

Ahmed, Walid M. A. - In: Borsa Istanbul Review 22 (2022) 5, pp. 939-960

This paper identifies robust determinants of US stock price movements in the economic shadow of the COVID-19 crisis and in the presence of model uncertainty, using several influential factors highlighted in relevant research. Our investigation performs an extreme bounds analysis (EBA), a global...

Persistent link: https://www.econbiz.de/10013426711

Does financial liberalization spur economic growth? : a meta-analysis

Brada, Josef C.; Iwasaki, Ichirō - In: Borsa Istanbul Review 24 (2024) 1, pp. 1-13

Based on a survey of 54 published articles, we undertake a meta-analysis of 906 estimates of the effects of financial liberalization on economic growth. We conclude that the literature contains statistically significant evidence of a positive effect of financial liberalization on economic...

Persistent link: https://www.econbiz.de/10014494195