Present study investigates the effect of oil resource rent on financial development through the stock market. In this case, the analysis process has been accomplished in two different states: considering and ignoring the institutional quality index in oil resource rent at the values above and below the financial development threshold. The threshold structural vector autoregression (TSVAR) model has been employed to analyze the stock markets in Norway and Brazil from 1984 to 2019. In Brazil, by ignoring the institutional quality index, the resource curse hypothesis is confirmed at the values below the financial development threshold. If the institutional quality index increases, the positive oil rent shock leads to the increment of the financial development through the stock market. Therefore, the hypothesis of the resource curse is rejected in this country. In Norway, by ignoring the institutional quality, the resource curse hypothesis is confirmed at the values above the financial development threshold. If the institutional quality is considered in oil rent, a positive shock to oil rent reduces the financial development through the stock market in a short-term period. This situation increases the financial development through the stock market in a long-term period. As a result, an increase in the institutional quality contradicts the resource curse hypothesis at the values above the threshold level. In Norway, if the institutional quality in oil rent is considered, a positive shock to oil rent enhances financial development through the stock market at the values below the threshold.
{"title":"The Role of Institutional Quality in the Impact of Oil Rents on Financial Development in Brazil and Norway","authors":"Soheil Roudari, Hamid Jamshidi, Hamidreza Ghasemi, Davoud Ghoreshi","doi":"10.22059/IER.2021.84449","DOIUrl":"https://doi.org/10.22059/IER.2021.84449","url":null,"abstract":"Present study investigates the effect of oil resource rent on financial development through the stock market. In this case, the analysis process has been accomplished in two different states: considering and ignoring the institutional quality index in oil resource rent at the values above and below the financial development threshold. The threshold structural vector autoregression (TSVAR) model has been employed to analyze the stock markets in Norway and Brazil from 1984 to 2019. In Brazil, by ignoring the institutional quality index, the resource curse hypothesis is confirmed at the values below the financial development threshold. If the institutional quality index increases, the positive oil rent shock leads to the increment of the financial development through the stock market. Therefore, the hypothesis of the resource curse is rejected in this country. In Norway, by ignoring the institutional quality, the resource curse hypothesis is confirmed at the values above the financial development threshold. If the institutional quality is considered in oil rent, a positive shock to oil rent reduces the financial development through the stock market in a short-term period. This situation increases the financial development through the stock market in a long-term period. As a result, an increase in the institutional quality contradicts the resource curse hypothesis at the values above the threshold level. In Norway, if the institutional quality in oil rent is considered, a positive shock to oil rent enhances financial development through the stock market at the values below the threshold.","PeriodicalId":38289,"journal":{"name":"Iranian Economic Review","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45233556","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Gasoline consumption is one of the challenging issues of energy management in Iran. The deficit of domestic production and the need for imports on one hand, and the impact of its consumption on macro-and micro-economic variables, on the other hand, cause gasoline consumption management has become more important. The more accurate, predicting the trend of gasoline consumption is the more successful consumption management will be. Since gasoline consumption is affected by several parameters and factors, so, forecasting its consumption with high accuracy is difficult. In this paper, one recursive competitive learning method and two deep learning methods are utilized to provide more accurate forecasting of gasoline consumption. Due to the impact of gasoline consumption patterns on the seasonal changes, climate and holidays, different periods are used for training the learning these approaches, and their efficiency is compared in terms of the standard error metrics. The comparison results show the deep learning approaches and the training patterns with 12 months result in more accurate predictions. Finally, using the best approach and obtained setting, the gasoline consumption in Iran is predicted for the next years, which shows that gasoline consumption will grow 22 percent by 2027.
{"title":"Forecasting Gasoline Consumption in Iran using Deep Learning Approaches","authors":"Neda Bayat, M. Davoodi, A. Rezaei","doi":"10.22059/IER.2021.83902","DOIUrl":"https://doi.org/10.22059/IER.2021.83902","url":null,"abstract":"Gasoline consumption is one of the challenging issues of energy management in Iran. The deficit of domestic production and the need for imports on one hand, and the impact of its consumption on macro-and micro-economic variables, on the other hand, cause gasoline consumption management has become more important. The more accurate, predicting the trend of gasoline consumption is the more successful consumption management will be. Since gasoline consumption is affected by several parameters and factors, so, forecasting its consumption with high accuracy is difficult. In this paper, one recursive competitive learning method and two deep learning methods are utilized to provide more accurate forecasting of gasoline consumption. Due to the impact of gasoline consumption patterns on the seasonal changes, climate and holidays, different periods are used for training the learning these approaches, and their efficiency is compared in terms of the standard error metrics. The comparison results show the deep learning approaches and the training patterns with 12 months result in more accurate predictions. Finally, using the best approach and obtained setting, the gasoline consumption in Iran is predicted for the next years, which shows that gasoline consumption will grow 22 percent by 2027.","PeriodicalId":38289,"journal":{"name":"Iranian Economic Review","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43178728","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Though studies related to corporate governance shaping risk management are ubiquitous, fathoming income smoothing behavior and credit quality is fundamental to commercial banks, especially pertaining to economies in transition. In this context, we used panel data of eighteen commercial banks of Pakistan including both conventional and Islamic, for the period 2007 to 2017. The concept is supplemented by ownership and board structure as apt indicators of corporate governance and deeming income smoothing and credit quality as moderators is the peculiarity of our study. Surprising to note, our risk management model outperformed regulatory capital and profitability, on the road to monitoring effectiveness. Albeit income smoothing constantly remains a matter of concern, credit quality is imperative for risk management in our case. Hence, based on findings, practitioners are suggested to consider board meetings and block holder ownership with aplomb for monitoring effectiveness of commercial banks of Pakistan. Nonetheless, institutional ownership demands further attention.
{"title":"Identifying the Moderating Role of Income Smoothing and Credit Quality towards Corporate Governance and Determinants","authors":"Damian Honey, Safia Nosheen, Saqib Farid","doi":"10.22059/IER.2021.83925","DOIUrl":"https://doi.org/10.22059/IER.2021.83925","url":null,"abstract":"Though studies related to corporate governance shaping risk management are ubiquitous, fathoming income smoothing behavior and credit quality is fundamental to commercial banks, especially pertaining to economies in transition. In this context, we used panel data of eighteen commercial banks of Pakistan including both conventional and Islamic, for the period 2007 to 2017. The concept is supplemented by ownership and board structure as apt indicators of corporate governance and deeming income smoothing and credit quality as moderators is the peculiarity of our study. Surprising to note, our risk management model outperformed regulatory capital and profitability, on the road to monitoring effectiveness. Albeit income smoothing constantly remains a matter of concern, credit quality is imperative for risk management in our case. Hence, based on findings, practitioners are suggested to consider board meetings and block holder ownership with aplomb for monitoring effectiveness of commercial banks of Pakistan. Nonetheless, institutional ownership demands further attention.","PeriodicalId":38289,"journal":{"name":"Iranian Economic Review","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44233311","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study examined the determinants factors of environmental quality by employing a panel quantile regression to incorporate the effects of economic growth on the quality of environment and ascertain the validity of EKC hypothesis within the research background of seven leading African economies over the period 1970 to 2019. The advantage of this method is considering the distributional heterogeneity to provide a detailed description of linkage between the CO2 emissions and driving factors at different emissions levels. The results show that the effects of determinants on CO2 emissions are heterogeneous. Besides, the quantile regression estimate describes the economic growth influence on CO2 emissions to be positive and higher at the 50th quantile than in other classes of quantiles. The square of economic growth tend to have insignificant effect on the 10th and 25th quantile but effect is negative and significant on the 50th , 75th and 90th quantile. This justify the presence of EKC hypothesis on the 50th, 75th and 90th quantile. The empirical results of the study reveal that the EKC hypothesis is supported in these leading African economies. Consequently, policymakers should centre on the heterogeneous effects of driving forces on CO2 emissions in different quantiles during the process of carbon emission reductions.
{"title":"An Application of Quantile Regression on the Relationship between Economic Growth and the Quality of Environment in Selected African Countries","authors":"A. Jakada, Suraya Mahmood","doi":"10.22059/IER.2021.83900","DOIUrl":"https://doi.org/10.22059/IER.2021.83900","url":null,"abstract":"This study examined the determinants factors of environmental quality by employing a panel quantile regression to incorporate the effects of economic growth on the quality of environment and ascertain the validity of EKC hypothesis within the research background of seven leading African economies over the period 1970 to 2019. The advantage of this method is considering the distributional heterogeneity to provide a detailed description of linkage between the CO2 emissions and driving factors at different emissions levels. The results show that the effects of determinants on CO2 emissions are heterogeneous. Besides, the quantile regression estimate describes the economic growth influence on CO2 emissions to be positive and higher at the 50th quantile than in other classes of quantiles. The square of economic growth tend to have insignificant effect on the 10th and 25th quantile but effect is negative and significant on the 50th , 75th and 90th quantile. This justify the presence of EKC hypothesis on the 50th, 75th and 90th quantile. The empirical results of the study reveal that the EKC hypothesis is supported in these leading African economies. Consequently, policymakers should centre on the heterogeneous effects of driving forces on CO2 emissions in different quantiles during the process of carbon emission reductions.","PeriodicalId":38289,"journal":{"name":"Iranian Economic Review","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45820529","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The aim of this paper is to investigate possible problems of efficiency arising from the joint exploitation of the common gas pool (South Pars - North Dome, the largest natural gas reservoir in the world) by Iran and Qatar. The problem is related to the difference between private incentives and common goals. In the case of non-renewable resources, a Pareto-optimal joint extraction path could exist, but it is unlikely to occur in reality. We studied the difference in incentives for an optimal exploitation path for Iran and Qatar and found that their joint behavior was likely suboptimal from the perspective of the optimal dynamics of gas resource exploitation. In part, this is related to the difference in wealth, and in part to the sanctions against Iran, which have so far not allowed Iran to participate freely in the world market. Considering that the cost of future gas extraction in Russia's northern fields is likely to increase, a delay in the optimal presence of Iranian gas on the world market may lead to a suboptimal sequence of exploitation of various gas fields, which would mean both problems for the profitability of investments in Russia and higher world prices for natural gas in the future.
{"title":"Common Pool Problem: South Pars-North Dome Gas Field","authors":"Jalal Dehnavi, Y. Egorov","doi":"10.22059/IER.2021.83919","DOIUrl":"https://doi.org/10.22059/IER.2021.83919","url":null,"abstract":"The aim of this paper is to investigate possible problems of efficiency arising from the joint exploitation of the common gas pool (South Pars - North Dome, the largest natural gas reservoir in the world) by Iran and Qatar. The problem is related to the difference between private incentives and common goals. In the case of non-renewable resources, a Pareto-optimal joint extraction path could exist, but it is unlikely to occur in reality. We studied the difference in incentives for an optimal exploitation path for Iran and Qatar and found that their joint behavior was likely suboptimal from the perspective of the optimal dynamics of gas resource exploitation. In part, this is related to the difference in wealth, and in part to the sanctions against Iran, which have so far not allowed Iran to participate freely in the world market. Considering that the cost of future gas extraction in Russia's northern fields is likely to increase, a delay in the optimal presence of Iranian gas on the world market may lead to a suboptimal sequence of exploitation of various gas fields, which would mean both problems for the profitability of investments in Russia and higher world prices for natural gas in the future.","PeriodicalId":38289,"journal":{"name":"Iranian Economic Review","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46124303","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper compares the effectiveness of the monetary policy based on conventional utility function and prospect theory. According to prospect theory, in the face of uncertainty, people make decisions based on perceived losses and benefits, so they are more sensitive to losses than to gains of equal size. Achieving this goal, we estimated the DSGE Model for the Iranian economy. The results of Bayesian estimation showed that under prospect theory, the inclusion of the loss-aversion component affects the household consumption behavior, the labor supply, and the real money demand. Also, The results of the Impulse-Response analysis show that an expansionary monetary shock led to an overestimate of inflation expectations due to fear of losses resulting from rising inflation. Hence, under the prospect theory, inflation increases relatively more, and the interest rate decreases with less intensity. Moreover, the more attention to the behavior of loss-aversion agents by policymakers, the less volatility is in macroeconomic variables.
{"title":"Should the Loss-aversion Behavior be Significant for Central Bankers? Evidence from Behavioral Economics","authors":"azadeh talebbeydokhti, A. Erfani","doi":"10.22059/IER.2021.83924","DOIUrl":"https://doi.org/10.22059/IER.2021.83924","url":null,"abstract":"This paper compares the effectiveness of the monetary policy based on conventional utility function and prospect theory. According to prospect theory, in the face of uncertainty, people make decisions based on perceived losses and benefits, so they are more sensitive to losses than to gains of equal size. Achieving this goal, we estimated the DSGE Model for the Iranian economy. The results of Bayesian estimation showed that under prospect theory, the inclusion of the loss-aversion component affects the household consumption behavior, the labor supply, and the real money demand. Also, The results of the Impulse-Response analysis show that an expansionary monetary shock led to an overestimate of inflation expectations due to fear of losses resulting from rising inflation. Hence, under the prospect theory, inflation increases relatively more, and the interest rate decreases with less intensity. Moreover, the more attention to the behavior of loss-aversion agents by policymakers, the less volatility is in macroeconomic variables.","PeriodicalId":38289,"journal":{"name":"Iranian Economic Review","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45900086","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Farkhondeh Soleimani, M. S. Tash, G. Zamanian, R. Zamani
Investigation of effective factors in business cycles in Iran, from 2009:3 to 2018: 3, based on Bayesian approach with emphasis on the effects of financial cycles, is the major purpose of this paper. At first, using Hodrick-Prescott filter, we extract business and financial cycles, then we study the causal relationship between financial and business cycles, using Granger causality test. There is a two-way causal relationship among the variables (GDP, Tehran Stock Exchange index, land value (per square meter), current government and non-government credits, oil revenues and current government payments), except for the credits and business cycles. Based on Bayesian approach, we found that housing sector cycles has negative and current government payment cycles has positive effect on the business cycles, and both of them are significant. However, Tehran Stock Exchange index, current government and non-government facilities and oil revenues do not have a significant effect on the business cycles.
{"title":"Interaction between Financial Cycles and Business Cycles in Iran: A Bayesian Approach","authors":"Farkhondeh Soleimani, M. S. Tash, G. Zamanian, R. Zamani","doi":"10.22059/IER.2021.83918","DOIUrl":"https://doi.org/10.22059/IER.2021.83918","url":null,"abstract":"Investigation of effective factors in business cycles in Iran, from 2009:3 to 2018: 3, based on Bayesian approach with emphasis on the effects of financial cycles, is the major purpose of this paper. At first, using Hodrick-Prescott filter, we extract business and financial cycles, then we study the causal relationship between financial and business cycles, using Granger causality test. There is a two-way causal relationship among the variables (GDP, Tehran Stock Exchange index, land value (per square meter), current government and non-government credits, oil revenues and current government payments), except for the credits and business cycles. Based on Bayesian approach, we found that housing sector cycles has negative and current government payment cycles has positive effect on the business cycles, and both of them are significant. However, Tehran Stock Exchange index, current government and non-government facilities and oil revenues do not have a significant effect on the business cycles.","PeriodicalId":38289,"journal":{"name":"Iranian Economic Review","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42043162","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
M. Abdu, Selvasundaram Kumaravel, Sagathevan Sooriyan
In this paper we study the asymmetric effect and threshold of financial development on economic growth. We present a fresh evidence using the panel threshold-ARDL (Panel-TARDL) model for the 5 BRICS countries including Brazil, Russia, India, China and South Africa. We apply the Pool Mean Group (PMG) procedure for the estimation. The findings reveal that the long run threshold and asymmetric effects of finance taking place once the credit reached 38% of GDP. The financial development significantly improve the economic growth only below the threshold point thereafter the effect becomes negative. We find no significant threshold and asymmetry in the short run. Using a 58% as a threshold we find a negative effect of finance for both the segments of the threshold and no asymmetry is detected. These suggest that any level of credit above 38% of GDP will produce an adverse effect of finance on growth. The Policy implications of these results are also discussed.
{"title":"The Threshold and Asymmetric Effects of Financial Development on Economic Growth in BRICS Countries: Evidence from Panel Threshold-ARDL","authors":"M. Abdu, Selvasundaram Kumaravel, Sagathevan Sooriyan","doi":"10.22059/IER.2021.83921","DOIUrl":"https://doi.org/10.22059/IER.2021.83921","url":null,"abstract":"In this paper we study the asymmetric effect and threshold of financial development on economic growth. We present a fresh evidence using the panel threshold-ARDL (Panel-TARDL) model for the 5 BRICS countries including Brazil, Russia, India, China and South Africa. We apply the Pool Mean Group (PMG) procedure for the estimation. The findings reveal that the long run threshold and asymmetric effects of finance taking place once the credit reached 38% of GDP. The financial development significantly improve the economic growth only below the threshold point thereafter the effect becomes negative. We find no significant threshold and asymmetry in the short run. Using a 58% as a threshold we find a negative effect of finance for both the segments of the threshold and no asymmetry is detected. These suggest that any level of credit above 38% of GDP will produce an adverse effect of finance on growth. The Policy implications of these results are also discussed.","PeriodicalId":38289,"journal":{"name":"Iranian Economic Review","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42573346","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Amirul Afif Muhamat, Mohd Faizal Basri, Muhammad Nizam Jaafar, Dhiya Natasya Aqila Mohd Azlan, N. Zamri
This study aims to measure the efficiency of the general Takaful operators in Malaysia with the selected inputs, labour cost and management fees. On the other hand, the output used is gross contribution. General Takaful operators are the institutions governed by the Islamic Financial Services Act 2013 (IFSA). IFSA 2013 is the key statute governing the Islamic finance sector, which replaced statutes such as the Islamic Banking Act 1983 and the Takaful Act 1984. Based on the annual data gathered from 2014 to 2018 (post implementation of IFSA 2013), the efficiency is analysed using Data Envelopment Analysis (DEA) on four selected institutions in the general Takaful business. DEA results show that Etiqa General Takaful Berhad, Syarikat Takaful Malaysia Am Berhad are considered as the most efficient. The rest of general takaful operators in the sample were deemed technical inefficient. The results also indicate that inefficient institutions including those with the lowest performance which are Takaful Ikhlas General Berhad and Zurich General Takaful Malaysia Berhad have inefficient management in resource utilisation. In conclusion, the findings have confirmed the market share theory and infer to the expense-preference behaviour on the part of the general Takaful operator. Perhaps, the general Takaful operators are posed with an expedient manner trying to satisfy their own benefits. In order to achieve full efficiency, any Takaful operators have to increase its market share segments by increasing its gross income and contribution through developing demand for general Takaful products and mostly on takaful product itself.
本研究的目的是衡量一般回教保险运营商在马来西亚与选定的投入，劳动力成本和管理费用的效率。另一方面，使用的产出是总贡献。一般回教保险运营商是受2013年伊斯兰金融服务法(IFSA)管辖的机构。IFSA 2013是管理伊斯兰金融部门的关键法规，取代了1983年伊斯兰银行法和1984年伊斯兰教法等法规。根据2014年至2018年(IFSA 2013实施后)收集的年度数据，使用数据包络分析(DEA)对一般回教业务中选定的四家机构进行了效率分析。DEA结果显示，Etiqa General Takaful Berhad, Syarikat Takaful Malaysia Am Berhad被认为是最有效的。样本中其余的普通操作人员被认为技术效率低下。结果还表明，效率低下的机构，包括绩效最低的伊斯兰教控股有限公司和苏黎世伊斯兰教控股马来西亚有限公司，在资源利用方面的管理效率低下。综上所述，研究结果证实了市场份额理论，并对普通回教运营商的费用偏好行为进行了推断。也许，一般回教法的经营者都以一种权宜之计的方式试图满足自己的利益。为了达到充分的效率，任何回教经营者都必须通过发展对一般回教产品的需求和主要是对回教产品本身的需求来增加其总收入和贡献，从而增加其细分市场份额。
{"title":"A Study on the Efficiency of General Takaful Operators in Malaysia: Post Implementation of IFSA 2013","authors":"Amirul Afif Muhamat, Mohd Faizal Basri, Muhammad Nizam Jaafar, Dhiya Natasya Aqila Mohd Azlan, N. Zamri","doi":"10.22059/IER.2021.83926","DOIUrl":"https://doi.org/10.22059/IER.2021.83926","url":null,"abstract":"This study aims to measure the efficiency of the general Takaful operators in Malaysia with the selected inputs, labour cost and management fees. On the other hand, the output used is gross contribution. General Takaful operators are the institutions governed by the Islamic Financial Services Act 2013 (IFSA). IFSA 2013 is the key statute governing the Islamic finance sector, which replaced statutes such as the Islamic Banking Act 1983 and the Takaful Act 1984. Based on the annual data gathered from 2014 to 2018 (post implementation of IFSA 2013), the efficiency is analysed using Data Envelopment Analysis (DEA) on four selected institutions in the general Takaful business. DEA results show that Etiqa General Takaful Berhad, Syarikat Takaful Malaysia Am Berhad are considered as the most efficient. The rest of general takaful operators in the sample were deemed technical inefficient. The results also indicate that inefficient institutions including those with the lowest performance which are Takaful Ikhlas General Berhad and Zurich General Takaful Malaysia Berhad have inefficient management in resource utilisation. In conclusion, the findings have confirmed the market share theory and infer to the expense-preference behaviour on the part of the general Takaful operator. Perhaps, the general Takaful operators are posed with an expedient manner trying to satisfy their own benefits. In order to achieve full efficiency, any Takaful operators have to increase its market share segments by increasing its gross income and contribution through developing demand for general Takaful products and mostly on takaful product itself.","PeriodicalId":38289,"journal":{"name":"Iranian Economic Review","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46910578","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In most studies, examining the relationship between risk and return, based on the theory of expected utility, an investor has always been considered as a risk-averse person. While the prospect theory considers both risk aversion and investor risk-taking based on existing realities. The innovation of this paper is to consider the separation of risk-taking behavior from rational one of investors (risk aversion). In this paper, the relationship between risk and return based on the prospect theory for companies of four selected industries during 2001-2020 by panel data and panel quantile regression method has been investigated. Investors' behavior in the prospect theory is sensitive to the reference point. In this paper, the average return on industry assets is considered as a reference point. Hence, the selected companies were divided into two groups of companies with asset returns (ROA) above and below the industry average. The result showed that the investor's behavioral model changed relative to the reference point. Investors are risky below the reference point, contrary to traditional theories of utility. Of course, at returns above the reference point, investors will still be risk-averse. Comparing the results of estimation of two methods (panel data and panel quantile) shows that this situation is also true in different risk quantiles. So that, the sign of the relationship between risk and return at the high and low levels of the reference point is compatible with the theoretical foundations. Therefore, the behavior of investors in selected companies follows the prospect theory.
{"title":"The Relationship between Risk and Return Based on the Prospect Theory: Case Study of Selected Companies in Tehran Stock Exchange","authors":"M. Moallemi, Mahboobeh Rahjoo","doi":"10.22059/IER.2021.83923","DOIUrl":"https://doi.org/10.22059/IER.2021.83923","url":null,"abstract":"In most studies, examining the relationship between risk and return, based on the theory of expected utility, an investor has always been considered as a risk-averse person. While the prospect theory considers both risk aversion and investor risk-taking based on existing realities. The innovation of this paper is to consider the separation of risk-taking behavior from rational one of investors (risk aversion). In this paper, the relationship between risk and return based on the prospect theory for companies of four selected industries during 2001-2020 by panel data and panel quantile regression method has been investigated. Investors' behavior in the prospect theory is sensitive to the reference point. In this paper, the average return on industry assets is considered as a reference point. Hence, the selected companies were divided into two groups of companies with asset returns (ROA) above and below the industry average. The result showed that the investor's behavioral model changed relative to the reference point. Investors are risky below the reference point, contrary to traditional theories of utility. Of course, at returns above the reference point, investors will still be risk-averse. Comparing the results of estimation of two methods (panel data and panel quantile) shows that this situation is also true in different risk quantiles. So that, the sign of the relationship between risk and return at the high and low levels of the reference point is compatible with the theoretical foundations. Therefore, the behavior of investors in selected companies follows the prospect theory.","PeriodicalId":38289,"journal":{"name":"Iranian Economic Review","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45757140","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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