Using three decades of United States (US) earnings announcements, this paper examines whether options trading before announcements predicts earnings news, immediate stock returns, and later returns. Total options volume combines calls and puts even though they have different information and trading motives. The relative balance of put and call trading is more informative about earnings news than total options activity is. The relation between call trading and announcement returns is significantly stronger after 2020 and remains stronger even when 2020 is excluded. This later-period strengthening is concentrated among stocks with unusually large recent daily gains and heavy trading, characteristics associated with speculative attention. Trend and unknown-date tests do not identify an abrupt 2020 break point; instead, they indicate a longer strengthening process. Options-market informativeness depends on whether investors trade calls or puts, which earnings outcome is predicted, and the market period.
Liquidity on a less-liquid sovereign bond market is visible enough that every dealer prices it into a quote and every asset manager shades a mandate around it, yet transient enough that the estimators built for the deepest curves do not transfer unchanged. We assemble a bond-level and segment-level liquidity panel for the Polish sovereign curve over 2005 to 2026 and treat liquidity as an object to be explained rather than as an input to curve fitting. Seven low-frequency measures, fixed-effects panels with Driscoll–Kraay inference, monetary-policy and primary-auction event studies, and a monthly aggregate price-of-liquidity regression let us ask what prices into bond spreads, into the segment-level supply channel, and into the aggregate term premium. Issue size narrows every venue-uncapped measure. Supply prices into liquidity through the stock of a segment and its residual-maturity concentration rather than through monthly issuance flow. The post-2020 retreat of the foreign buy-side is the strongest macro correlate of segment price impact, yet leaves the quoted spread untouched, a separation that the regulated venue’s cap on quoted spreads makes mechanical. In monthly aggregates the level of State Treasury debt and the debt-to-GDP ratio load on the term premium with a maturity gradient that rises from two to ten years, the signature of a preferred-habitat mechanism, and a mark-to-market exercise attributes about two and a half percent of the present value of the fixed-cash-flow sovereign universe to the supply-related term premium accumulated over the 2019 to 2025 debt expansion. The venue-capped quoted spread and the volume-scaled price-impact measures carry different and complementary information, which is the paper’s methodological message for less-liquid markets.
Sustainable development requires countries to advance Environmental, Social, Governance, and Financial (ESG+F) pillars in a balanced and dynamic manner. However, existing assessment models are predominantly static and often exclude the role of financial stability. This study introduces a dynamic ESG+F framework that evaluates national sustainability trajectories across 133 countries using Criteria Importance Through Intercriteria Correlation (CRITIC)-based weighting, transition matrices, and scenario simulations. The results reveal significant asymmetries in upward mobility: most countries exhibit persistence in their current sustainability quantile, while a limited subset shows strong improvement potential. Empirical findings show that improvements in social equity are particularly impactful, with Goal 10: Reduced Inequalities demonstrating the highest median performance difference (5.15) between improving and non-improving countries. Environmental enhancements have the strongest effect on group transitions, where a full improvement scenario leads to upward movement across all quantile categories and a 65.82-point increase in the composite ESG+F score. Financial improvements also display substantial influence, producing a 34.25-point gain and with transitions across multiple quantiles from a 30% increase, underscoring the enabling role of financial resilience. Country-level transition probabilities further highlight distinct upward trajectories, exemplified by Brazil’s high probability (0.86) of entering the top ESG+F quantile. Overall, the proposed framework offers both diagnostic and scenario-based policy support, guiding policymakers in prioritizing interventions that maximize quantile transitions and long-term sustainability outcomes. While the model captures dynamic performance trends, it is limited by the linearity assumption in scenario simulations and the categorical mapping of Sustainable Development Goals (SDGs) into ESG+F dimensions.
The financial literacy literature generally assumes that individual financial knowledge naturally translates into capital market development. However, this process often fails in developing economies, where institutional and structural barriers limit women’s participation in formal financial markets. This study proposes a novel Capability–Influence–Opportunity (CIO) framework, arguing that female financial literacy creates investment capability, female political representation removes structural barriers, and governance quality provides the institutional conditions for market participation. Using panel data from 92 developing economies (2014–2024), we find that female financial literacy promotes stock market development, but its impact is strongest only when combined with high female political representation and strong governance. The findings demonstrate that unlocking women’s financial human capital is essential for broadening the investor base and fostering sustainable capital market development.
This study examines whether first-time inclusion in the Borsa Istanbul Corporate Governance Index lowers firms’ cost of debt by functioning as an externally assessed and publicly observable governance certification. Using annual data on non-financial Borsa Istanbul firms from 2008 to 2024 and a generalized synthetic control design, the study compares certified firms with credible uncertified counterfactual firms. The results show that newly certified firms experience lower debt costs following certification. The main estimate indicates an average treatment effect of −0.113 for financial expenses scaled by average total debt, suggesting relative debt-cost shielding rather than an unconditional decline in borrowing rates. Placebo tests and pre-treatment diagnostics support the result, while leverage, debt maturity, profitability, and sales growth do not show contemporaneous improvements that would mechanically explain the effect. The findings suggest that creditors value governance certification when it reduces borrower opacity and information risk in an emerging-markets.
This paper investigates the nonlinear relationship between government debt and sovereign credit ratings in emerging economies. Using annual data for 36 emerging economies from 2002 to 2020, we estimate fixed-effects and semiparametric panel models that allow the marginal effect of debt to vary with indebtedness. Baseline fixed-effects estimates show that a 10-percentage-point increase in the debt-to-GDP ratio is associated with a 0.59-point decline in sovereign ratings. The semiparametric results reveal stronger nonlinearities: the adverse effect of debt becomes more pronounced beyond roughly 56 percent of GDP, with larger rating responses in high-debt environments. The findings are robust to lagged debt measures, exchange-rate and interest-burden controls, panel threshold estimation, and exclusions of major oil-exporting countries and the COVID-19 year. Given the influence of sovereign ratings on bond yields, capital flows, and market access, our nonlinear estimates have direct implications for borrowing costs and capital market stability in emerging economies.
This study examines the diversification benefits of financial technology (FinTech) and artificial intelligence (AI) stocks in portfolio management while accounting for investor risk preferences. Using monthly data from June 2018 to April 2026, the analysis incorporates equity indexes representing 23 developed economies, traditional investments, and FinTech and AI indexes. It uses a comprehensive methodological framework, including mean-variance optimization, downside-risk analysis, efficient frontier modeling, rolling-window out-of-sample validation, and regime-shift optimization. The findings indicate that FinTech and AI assets both enhance portfolio diversification, although their contributions vary across investor types, portfolio constraints, and market conditions. AI generally delivers stronger improvement in risk-adjusted performance, efficient frontier expansion, and portfolio efficiency than FinTech, particularly in internationally diversified portfolios. Rolling out-of-sample and regime-based analyses show that these benefits are dynamic, rather than universal. Overall, AI emerges as a more effective diversification tool than FinTech, although its contribution is conditional on investor preferences and market conditions.
Using a dataset of 55 countries from 2002 to 2020, this study examines the impact of countries' integration of sovereign environmental, social, and governance (SESG) activities into systemic risk. Based on data from the World Bank for 16 different indicators, we develop a SESG index through principal component analysis and varimax rotation. We measure systemic risk using a metric for catastrophic risk in the financial sector and perform multivariate regression analysis with a beta regression framework. Overall, our results suggest that countries' inclusion of SESG is related to lower systemic risk. The environmental and social components have a higher impact, but governance has no impact. Our extended analysis based on the countries’ gross national income shows that this relationship is heterogeneous, such that high- and upper-middle-income countries have systemic stability, whereas lower- and lower-middle-income countries have adverse effects. Our findings indicate that SESG and financial stability are interrelated, which demonstrates that macro-level integration of sustainability is linked to financial resilience.
This study develops the Order Book Health Index (OBHI), a comprehensive, real-time measure that synthesizes liquidity, balance, stability, and efficiency into a unified framework for limit order book quality assessment. Using high-frequency data from Borsa Istanbul, we address the fragmentation of existing market quality measures by integrating multiple dimensions into a single tractable index. External validation demonstrates strong negative correlation with established transaction-cost benchmarks, confirming construct validity. The index proves robust across alternative weighting schemes and window specifications. Dimensional decomposition of stress episodes reveals that liquidity and stability weaken most severely, while balance and efficiency adjust moderately. Recovery analysis shows that markets recover to median health within 45 min, indicating robust self-correcting mechanisms. OBHI exhibits limited short-horizon predictive association with future volatility alongside predominantly one-directional Granger causality evidence. These findings establish OBHI as an empirically validated, methodologically robust framework for continuous market surveillance, providing a practical tool for real-time monitoring of order book conditions.
This study investigates the geometric structure of liquidity in Borsa Istanbul through the concept of order-book convexity. Using high-frequency limit order book data for 552 continuously traded equities between August 2024 and August 2025, we reconstruct the full depth of the order-book to examine how liquidity concentration varies across firm size, order-book sides, and trading conditions. Convexity, defined as the curvature of cumulative depth around the best quotes, serves as a structural proxy for market quality and liquidity organization. Descriptive results show that large-cap stocks exhibit more convex and resilient order-books, while convexity progressively declines toward smaller firms. Panel regressions with firm and day fixed effects reveal that convexity is positively related to tick size and negatively related to trading volume and volatility, with effects concentrated in large- and mid-cap stocks. The findings demonstrate that liquidity geometry in Borsa Istanbul follows a clear hierarchy: it is structurally strongest in large-cap stocks but dynamically most sensitive in mid-cap stocks, highlighting the dual nature of liquidity as both a stable and adaptive market feature.
This paper examines whether, by 2025, Bitcoin evolved from a speculative digital asset into an institutional-grade market. Using one-minute BTC data from 2012 to 2025, we construct daily measures of realized volatility, trading volume, Amihud illiquidity, bid–ask spreads, and efficiency proxies, and we analyze their evolution across three market periods: niche (2012–2016), transition (2017–2020), and institutional (2021–2025). The evidence points to a clear structural maturation of the Bitcoin market microstructure. Realized volatility declines markedly over time, trading volume rises substantially, and transaction costs fall sharply. Variance-ratio tests and Hurst-exponent estimates indicate a progressive movement to weak-form efficiency, although the institutional period remains only close to, rather than perfectly at, the random-walk benchmark. A Vector Autoregression with Exogenous Variables (VAR-X) framework shows that volatility remains a significant driver of liquidity shocks, but the magnitude and persistence of the response become notably weaker in the institutional period. Overall, the results suggest that Bitcoin’s maturity is associated not only with deeper liquidity and better informational efficiency but also with greater resilience to volatility shocks, consistent with the development of more sophisticated trading infrastructure and institutional participation.
This paper documents a statistically robust negative effect of carbon pricing on emerging market (EM) equities: a one-unit monthly carbon price surprise reduces total EM returns by 1.29 percentage points, driven by market-traded prices from China's Emissions Trading System (ETS). Decomposing the composite index reveals that only market-traded ETS prices drive this result; administrative carbon tax announcements exhibit no significant effect. Four directionally consistent but statistically weaker patterns are reported as descriptive evidence: SMB rises with ETS surprises; a synthetic brown factor widens; the EM value premium shows a secular declining trend; and a country-level difference-in-differences is consistent with the hypothesis. Climate Transition Sensitivity Index (CTSI) is introduced as a publicly replicable screening tool. These findings suggest that policymakers should prioritise market-based ETS mechanisms over administrative taxes to ensure efficient price discovery, and international climate finance should target high-sensitivity jurisdictions to mitigate equity market volatility during early-stage carbon pricing implementation.
This study examines whether adopting regulatory frameworks for Islamic banking promotes financial deepening in member countries of the Organisation of Islamic Cooperation. Using 29 countries for the period 2000-2023, the analysis uses a staggered difference-in-differences model with a heterogeneity-robust estimator that avoids the biases of two-way fixed effects. Because regulatory milestones differ in form and scope, the estimates represent the average impact of heterogeneous adoptions, rather than the effect of uniform reform. Adoption is associated with a large increase in domestic credit, but this effect is concentrated in Gulf states and fails parallel-trends and placebo diagnostics, so it is considered an institutionally conditional association. The most credible causal evidence concerns broad money, which becomes positive and significant once Gulf adopters are excluded. Effects vary widely across adopters, from large credit gains in Qatar to a negative effect in Pakistan, indicating that institutional capacity determines whether regulation deepens the financial system.
This study examines how competitiveness dynamics shape the relationship between corporate social responsibility (CSR) and corporate financial performance from a Resource-Based View (RBV) perspective. Existing research provides mixed evidence regarding the financial consequences of CSR, suggesting that its performance implications may depend on firm-specific competitive and organizational capabilities. Accordingly, this study investigates whether firm visibility and cost-transformation pattern, which reflect firms’ competitiveness dynamics, shape the CSR–performance relationship. CSR is measured using environmental, social, and governance (ESG) scores, widely used as CSR indicators. In addition to the overall CSR measure, the study also analyzes environmental, social, and governance dimensions to identify potential heterogeneity in CSR effects. Using a panel dataset of BIST firms covering 2018–2023, the findings indicate that CSR is more strongly associated with market-based performance than with accounting-based profitability. While the overall CSR measure positively affects firm valuation, its effects on accounting performance are weaker and less consistent. Firm visibility positively influences market valuation; however, the interaction between CSR and visibility is negative, suggesting that highly visible firms face greater stakeholder scrutiny and that CSR benefits are not automatically amplified by visibility. Cost-transformation plays a conditional and dimension-specific role, particularly for environmental and governance dimensions. The disaggregated analysis further shows that environmental and social dimensions drive most market-based CSR effects, whereas governance-related effects remain weaker and less stable. Overall, the findings suggest that CSR is more consistently reflected in market valuation than in accounting performance, while competitiveness-related conditions shape this relationship in a conditional manner.
We test whether rules-based sentiment methods can approximate large language model (LLM) classifications and support the construction of equity portfolios when they are combined with technical indicators. Using 4.4 million tweets about 15 high-attention US stocks (2018–2024), we evaluate 3,060 weekly rebalanced strategies built with three forecasting models: extreme gradient boosting (XGBoost), support vector regression (SVR), and random forest. The rules-based sentiment methods VADER and NLTK have robust agreement with ChatGPT, Claude, and Gemini across a six-firm validation corpus, whereas TextBlob performs strongly on positive sentiment but performs less well in terms of negative-class validation. The primary N = 3 XGBoost-TextBlob + CCI long-only portfolio, which combines TextBlob sentiment with the commodity channel index (CCI), earns a cumulative return of 461.3 percent (Sharpe 0.95) over the period 2019–2024; the N = 5 VADER + RSI + CCI robustness portfolio, which adds the relative strength index (RSI), earns a cumulative return of 445.7 percent (Sharpe 1.12) and a statistically significant Fama-French five-factor alpha of 14.94 percent per year (p = 0.034). N = 3 alphas are economically large (14.09%–15.95%) but have little statistical power. A within-universe placebo test (p ≈ 0.30) indicates that the selection of high-attention stocks is a major driver of performance, and sentiment-technical signals offer qualified incremental support.
Despite the growing literature on Islamic equity markets, the regional architecture of systemic risk transmission across standardised Dow Jones Islamic Market (DJIM) indices has not been examined simultaneously across market states and investment horizons within a unified econometric design. This study applies the integrated quantile–frequency connectedness framework (QVAR–BK) to six DJIM regional indices, the U.S., Europe, Asia-Pacific ex-Japan, Türkiye, World, and World Emerging Markets, over the period from 2015 to 2025, capturing both the COVID-19 shock and the post-2022 monetary tightening cycle. The baseline Total Connectedness Index of 32.44% indicates moderate but non-trivial systemic integration, dominated by short-run spillovers (24.45%) over long-run connectedness (7.98%), a pattern consistent with partial market segmentation. Directional analysis uncovers a state- and horizon-dependent core–periphery structure: the DJIM U.S. (NET = +12.56%) and Europe (+3.93%) are persistent net transmitters, whereas the Asia-Pacific (−12.40%) and Türkiye (−4.09%, own-variance share = 85.87%) primarily absorb shocks. Tail connectedness intensifies markedly in bearish quantiles, while long-horizon integration remains subdued even at peak crisis intensity, a pattern consistent with theoretical expectations from Shariah-induced partial segmentation. Robustness checks confirm that the core narrative holds across system configurations, although the inclusion of a global DJIM benchmark triggers a structural reorganisation of the transmitter–receiver hierarchy, reinforcing that regional roles are system-design-dependent rather than absolute. These findings have implications for macroprudential oversight and portfolio allocation in Islamic financial systems, suggesting that horizon-conditioned risk monitoring and dynamic hedging strategies are more appropriate than static diversification assumptions.
This study examines the multi-factor models of the prospect theory (PT) in the Chinese stock markets. Based on all A- and B-share stocks from January 2000 to December 2022, it develops a new behavioural asset pricing framework that augments standard factor models with a PT-based component. Our results reveal the following: first, the PT value (PTV) factor has a significant negative correlation with stock returns in the A-share market, whereas it has a non-significant correlation with stock returns in the B-share market. Second, the effect of the PTV factor on stock returns remains significant in the A-share market even after extending the baseline specification by adding additional risk factors and lottery-type controls. Third, economic policy uncertainty is considered a non-traded macro-economic state variable and moderates the relationship between the PTV and stock returns. Finally, the extended behavioural asset pricing specification exhibits greater explanatory power than traditional asset pricing models. This study contributes to the extant literature by providing new evidence on Chinese A- and B-share markets.
The discourse surrounding the green transition has attracted significant attention from policymakers and other stakeholders. However, the need to facilitate a transition that ensures social equity and economic inclusion cannot be overemphasized. Hence, achieving a just transition has become a global priority. This study investigates how sustainable Islamic finance instruments contribute to a just transition, a topic that has received little attention in prior research. Panel data from 47 Organization of Islamic Cooperation countries were analyzed using the panel-corrected standard errors technique. The results demonstrate the positive impact of ESG Sukuk and ESG Islamic funds on a just transition. Conversely, Islamic social finance was found to have a negative relationship with a just transition. The results remained consistent across several robustness checks. Overall, the findings highlight the significant role played by sustainable Islamic financial instruments in advancing an equitable and inclusive transition toward a low-carbon economy.
This study investigates the relationship between the intended use of proceeds of initial public offerings (IPOs) and the long-run stock performance of companies listed on Borsa Istanbul between 2013 and 2022. Using hand-collected prospectus data, we divide IPO firms into three subsamples: investment (INVEST), debt repayment (DEBT), and working capital (WC). Our results indicate that firms' post-IPO behavior is largely consistent with their stated intentions. INVEST firms have stronger asset growth and higher capital expenditure. WC firms increase their working capital, whereas INVEST firms also increase working capital, reflecting the operational requirements of post-investment growth. DEBT and WC firms reduce leverage at issuance. However, this effect is not persistent, and WC firms relever over time, consistent with the market timing and dynamic capital structure theories. Stock performance differs systematically across subsamples. INVEST firms have strong abnormal returns over six-month to two-year horizons, but WC firms have only short-term gains. DEBT firms have weak and nonpersistent short-term performance and underperform WC firms in initial returns. Our multivariate findings indicate that improvement in operating performance explains abnormal returns only partially, but it is insufficient. INVEST firms continue to outperform after firm characteristics, industry effects, and post-IPO changes in operating performance, leverage, and sales are controlled for, which suggests that use of proceeds disclosures have signaling value. Overall, the study provides new evidence from an emerging market setting, highlighting the central role of IPO disclosures, in particular the intended use of proceeds, in shaping firm behavior and investor outcomes.
