Sovereign Credit Risk, ESG Performance, and Idiosyncratic Volatility in a Turkish State-Owned Bank: A Regime-Switching Analysis
Environmental, social, and governance (ESG) considerations and sovereign credit risk have reshaped how bank-level risk is understood in emerging markets. This paper examines the determinants of idiosyncratic volatility (IVOL) in Halkbank, the Turkish state-owned commercial bank with the highest public float. Using quar...