ORIGINAL_ARTICLE
Pair Trading in Tehran Stock Exchange based on Smooth Transition GARCH Model
In this research, we use a pair trading strategy to make a profit in an emerging market. This is a statistical arbitrage strategy used for similar assets with dissimilar valuations. In the present study, smooth transition heteroskedastic models are used with the second-order logistic function for producing thresholds as trading entry and exit signals. For generating upper and lower bounds, we apply the rolling window approach and one-step-ahead quantile forecasting. Markov chain Monte Carlo sampling method is used for optimizing the parameters. Also, passive strategy in the out-of-sample period is used to compare the profits. The population consists of 36 daily stock returns in Tehran Stock Exchange. Then, we select ten pairs from these stocks and use Minimum Square Distance method, and five pairs from one industrial sector. Finally, we see strategy1 and 2 have positive returns in the out-of-sample period, and they produce higher returns than passive strategy.
https://www.ijfifsa.ir/article_88416_c9e76e6ca1c75a699824eb7c32cf0174.pdf
1999-12-22
7
28
10.22034/ijf.2018.88416
Pair trading
Smooth transition GARCH model
Rolling window approach
One-step-ahead quantile forecasting
Out-of-sample-period
Saeed
Bajalan
1
Assistant Professor of Finance, Faculty of Management, University of Tehran, Iran. corresponding author
LEAD_AUTHOR
Reza
Eyvazlu
eivazlu@ut.ac.ir
2
2. Assistant Professor of Finance, Faculty of Management, University of Tehran, Iran.
AUTHOR
Guilda
Akbari
3
Master of Finance, University of Tehran, Tehran, Iran.
AUTHOR
Anderson, H.M, Nam, K., &Vahid, F. (1999). Asymmetric nonlinear smooth
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transition GARCH models. Nonlinear Time Series Analysis of Economic and
2
Financial Data, 191-207.
3
Bollerslev, T. (1986). Generalized autoregressive conditional
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heteroskedasticity. Journal of Econometrics, 307–327.
5
Cathy W. S. Chen, Monica M. C. Weng, Toshiaki Watanabe . (2017). Bayesian
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forecasting of Value-at-Risk based on variant smooth transition heteroskedastic
7
models. Statistics and Its Interface, 451 – 470.
8
Cathy W.S. Chen, Zona Wang, Songsak Sriboonchitta, Sangyeol Lee. (2016).
9
Pair trading based on quantile forecasting of smooth transition GARCH
10
models. North American Journal of Economics and Finance, 38–55.
11
Chan, K. , & Tong, H. (1986). On estimating thresholds in autoregressive
12
models. Journal of Time Series Analysis, 178–190.
13
Chen, C. W. (2006). On a threshold heteroscedastic model. International
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Journal of Forecasting, 73–89.
15
Chen, C. W. S., Chen, M., & Chen, S. Y. (2014). Pairs trading via three-regime
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threshold autoregressive GARCH models. In Huynh et al. (Eds.) Modeling
17
Dependence in Econometrics, Advances in Intelligent Systems and Computing.
18
Switzerland: Springer International Publishing, 127–140.
19
Chivers, C. (2015). General Markov Chain Monte Carlo for Bayesian
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Inference using adaptive Metropolis-Hastings sampling. website:
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https://goo.gl/s9Db9b.
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Elliott, R. J., van der Hoek, J., & Malcolm, W. P. (2005). Pairs trading.
23
Quantitative Finance, 271–276.
24
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with
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estimates of variance of United Kingdom inflation. Econometrica, 987–1008.
26
Gatev, E., Goetzmann, W. N., & Rouwenhorst, K. G. (2006). Pairs trading:
27
performance of a relative value trading arbitrage rule. The Review of Financial
28
Studies, 797–827.
29
28 Iranian Journal of Finance
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Gerlach, R., & Chen, C. W. S. (2008). Bayesian inference and model
31
comparison for asymmetric smooth transition heteroskedastic models. Statistics
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and Computing, 391–408.
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Girma, P. B. (1999). Risk arbitrage opportunities in petroleum futures spreads .
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Journal of Futures Markets, 931–955.
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González-Rivera, G. (1998). Smooth-transition GARCH models. Studies in
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Nonlinear Dynamics & Econometrics, 61-78.
37
HP Mashele,SE Terblanche & JH Venter. (2015). Pairs trading on the
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Johannesburg Stock Exchange. Investment Analysts Journal, 13-26.
39
Jorion, P. (1997). Value at risk: the new benchmark for controlling market risk.
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Irwin Professional Pub.
41
Jung, Y. C. (2016). Relative performance of VIXC vs. GARCH in predicting
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realised volatility change. Investment Analysts Journal, S1-S16.
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Krauss, C. (2016). Statistical arbitrage pairs trading strategies: review and
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outlook. Journal of Economic Surveys, 513–545.
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Liu, J., & Timmermann, A. (2013). Optimal convergence trade strategies.
46
Review of Financial Studies, 1048–1086.
47
Martin, A. D., Quinn, K. M., & Park, J. H. (2011). MCMCpack: Markov chain
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monte carlo in R.
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financial market. Journal of Derivatives and Hedge Funds, 122–136.
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Economic Theory, 341–360.
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23). State University of New York: Stony Brook, NY 11794-4400.
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Teräsvirta, T. (1994). Specification, estimation, and evaluation of smooth
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transition autoregressive models. Journal of the American Statistical
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Association, 208–218.
58
Vidyamurthy, G. (2004). Pairs trading: Quantitative method and analysis.
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Hoboken, New Jersey: John Wiley and Sons.
60
ORIGINAL_ARTICLE
Explaining Factors and Consequences of Working Capital Management Using Content Analysis Approach
Working capital should be available to any company to have the sufficient funds to cover short-term commitments and operating costs in the future. This guarantees the continuity of the company’s activities. Given the significance of the role of working capital management (WCM) in the companies, the study analyzed the content of texts and studies done in this field, presented three main hypotheses and examined the effect of most of the variables affecting WCM (both external and internal factors of the company), as well as the consequences of WCM in 161 companies listed in Tehran Stock Exchange (TSE) during a seven-year period from 2011 to 2017. The purpose of the study was to determine the most important factor affecting WCM and its consequences. The hypotheses were tested using multivariate regression and Granger causality test. The hypothesis testing indicated that extra-organizational factors such as gross domestic product (GDP), inflation rate and exchange rate have the greatest effect on WCM. Moreover, hypothesis testing indicated that some intra-organizational factors, such as current ratio, capital expenditures, financial leverage, return on assets, operating cycle, operating profit return, institutional shareholders ownership-percentage, and independence of board of directors affect WCM. Finally, hypothesis testing showed that optimal capital management improves the firms’ performance.
https://www.ijfifsa.ir/article_88417_9aa2dc528816bd498d3c2899e4d98937.pdf
1999-12-22
29
58
10.22034/ijf.2018.88417
cash conversion cycle (CCC)
extra-organizational factors
intra-organizational factors
Working Capital Management (WCM)
Najmeh
Khodabakhshi
1
PhD student in accounting, Alzahra University and a lecturer at Payame Noor University
LEAD_AUTHOR
Gholamreza
Soleimani Amiri
gh_soleimani@yahoo.com
2
Associate professor at Alzahra University, corresponding author
AUTHOR
Ali, S., & Khan, M. (2011). Searching for Internal and External Factors that
1
Determine Working Capital Management for Manufacturing Firms in Pakistan.
2
African Journal of Business Management, 5(7), 2942-2949.
3
Alipour, H.R., Nami, M. (2017), Factors Affecting WCM, Case Study of Listed
4
Companies in the Stock Exchange, 9th International Conference on Economics and
5
Management.
6
Anvari Rostami; A. A.; Sajadpoor , R. & yaballuei, M. (2014). An Investigation of
7
the Determinants of Working Capital Management in Tehran Stock Exchange (TSE).
8
Journal of Financial Accounting Research, 6(1), 15-26. [In Persian]
9
Arunkumar.O.N. and T. Radharamanan,(2013), Factors affecting working capital
10
management of Indian manufacturing firms, Int. J. Managerial and Financial
11
Accounting, Vol. 5, No. 4,
12
Atseye, Fidel Anake, Ugwu J.K. Takon S.M. .(2015), Determinants Of Working
13
Capital Management, Theoretical Review, International Journal of Economics,
14
Commerce and Management, Vol. III, Issue 2.
15
Awan, A.GH., Shahid P., Hassan J., Ahmad W., (2014), Impact Of Working
16
Capital Management On Profatibility Of Cement Sector In Pakistan, International
17
Journal of Business and Management Review, Vol.2, No.4, pp.1-20 .
18
Azami,Z.,Jeyhoon TABAR F.,(2016), Investigating the Factors Affecting Working
19
Capital of Companies Using the Generalized Method of Moments, Bulletin de la
20
Société Royale des Sciences de Liège, Vol. 85, p. 1402 - 1415 1402.
21
Azeem,M.M. & Akin Marsap,(2015), Determinant Factors and Working Capital
22
Requirement, International Journal of Economics and Finance; Vol. 7, No. 2;
23
Bahar. Ali, Said .Shah (2017), The Impact Of Corporate Governance On Working
24
Capital Management Efficincy, City University Research Journal ,Volume 07
25
Number 02 July 2017 PP 272-284
26
Bahar Moghaddam, M., Yazdi, Z., Yazdi, S. (2011). The Effects of WCM on
27
Profitability of Companies Accepted in Tehran Stock Exchange, Management
28
Accounting Magazine, 10, pp. 63-75. [In Persian]
29
Caballero, B.S., Garcia-Teruel, P. J., & Martinez-Solano, P. (2009). How do
30
market imperfections affect working capital management?
31
Caballero, S., García-Teruel, P. J., & Martínez-Solano, P. (2012). How does
32
working capital management affect the profitability of Spanish SMEs?. Small
33
Business Economics, 3: 1-13
34
Caballero, S. B., Teruel, P. G., & Solano, P. M. (2014). Working capital
35
management, corporate performance and financial constraints. Journal of Business
36
Research, 67(3): 332-338
37
Dastgir, M., Honarmand, M. (2014). Investigating the Effect of Corporate
38
Governance Mechanisms on the Efficiency of WCM, Journal of Science. Management
39
Accounting Research, seventh year, number twenty-second, pp. 69-88. [In Persian]
40
Deloof, M and Jeger, M. (1996). Trade Credit, Product Quoting and Intragroup
41
Trade: Some European Evidence. Financial Management 25(3), 945-968.
42
56 Iranian Journal of Finance
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Deloof, M. (2003). Does Working Capital Management Affect Profitability of
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Belgian Firm? Journal of Business, Finance and Accounting, 30, (3&4): 573- 587.
45
Dulou, M., Bastami, F., Tehrani, M.H. (2017). WCM and Profitability in the
46
Economic Period, Monetary Economic Research, Financial Times New Year, Year 24,
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No. 14. [In Persian]
48
Elbadry, Ahmed, (2018), The Determinants of Working Capital Management in the
49
Egyptian SMEs, Accounting and Finance Research Vol. 7, No. 2
50
Fatimatuzzahra.M,Retno Kusumastuti (2016), The Determinant of Working Capital
51
Management of Manufacturing Companies, MIMBAR, Vol. 32, No. 2nd, pp. 276-281
52
Gill, A., Biger, N., & Mathur, N. (2010). The Relationship Between Working
53
Capital Management And Profitability: Evidence From The United States. Business
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and Economics Journal, 1–9. http://astonjournals.com/manuscripts /Vol2010/BEJ-10
55
_Vol2010.pdf
56
Gill, A. (2011). Factors That Influence Working Capital Reqirment in Canada.
57
Economics and Finance Review, 1 (3), 30-40.
58
Hailu A.Y., Venkateswarlu P.,(2016), Effect of working capital management on
59
firms profitability evidence from manufacturing companies in eastern, Ethiopia,
60
International Journal of Applied Research ; 2(1): 643-647
61
Hampton John; Warren (2004), Translation and Compilation of Hamid Reza Vakili
62
Fard and Masoud Vakili Fard, Forest Publishing, Sixth Edition. [In Persian]
63
Hasanpor, A., Mohammad Zadeh, M., Mansoori, E., (2017), The Effective Factors
64
on Working Capital Management of Accepted Companies in Tehran Stock Market
65
(Case Study: Cement Industry), Palma Journal , V.16, I.3, 135-143.
66
Iskandarnejad,S., Hassanzadeh Baradaran,R., Taheri,H.,(2018), The impact of
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working capital management on Listed companies profitability in business cycles
68
based on the output gap, Journal of Asset Management and Financing. [In Persian]
69
Kamal Naser, Rana Nuseibeh, Ahmed Al-hadeya, (2013), Factors Influencing
70
Corporate Working Capital Management: Evidence From An Emerging Economy,
71
Journal of Contemporary Issues in Business Research, Vol. 2, No. 1, 11-30.
72
Khan, N., Akbar, M., & Akbar, A. (2016). Does an optimal working capital exist?
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The role of financial constraints. Research Journal of Finance and Accounting, 7(9):
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Kienschnick, R. LaPlante, M. & Moussawi, R. (2006). Corporate Working Capital
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Management: Determinants and Consequences. [Online] Available:
76
http://www.fma.org/SLC/Papers/cwcmf_ fma.pdf
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Mohamad, Nor Edi Azhar and Elias, Siti Balqis (2013) An Assesment on
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Determinant of Working Capital Management from Malaysian Public Listed
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Companies. International Journal of Academic Research Science, Vol. 3, No. 4. in
80
Accounting, Finance, and Management.
81
Mohammadi, Mohammad (2009), Effect of Working Capital Management on
82
Profitability in Companies Acquired in Tehran Stock Exchange, Management
83
Quarterly, No. 14, 91-80. [In Persian]
84
Moradi, M.A., Najjar, M., Izadpour, M. (2015), Investigating the Relationship
85
Between WCM and Performance Measures Based on the Value of Companies
86
Explaining Factors and Consequences of Working Capital Management Using Content 57
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Analysis Approach
88
Acquired in Tehran Stock Exchange, Journal of Management and Finance, Third
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Year, Second Issue. [In Persian]
90
Nazir, M., & Afza, T. (2009). Impact of Aggressive Working Capital Management
91
Policy on Firms‟ Profitability. The IUP Journal of Applied Finance, 25(8), 19-30.
92
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93
Capital Requirements of Nigerian Firms?, Research Journal of Finance and
94
Accounting, Vol.6, No.6,
95
Oseifuah, Emmanuel, (2016), Determinants of Working Capital Requirements:
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Evidence from Selected Non-financial Firms Listed on the Johannesburg Securities
97
Exchange, Journal of Accounting and Management, vo.6,no.1.
98
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Financial Management, Al-Zahra University Press, First Edition. [In Persian]
100
Rasyid.R., Syukri Lukman, Tafdil Husni, Adrimas(2018), The Impact of
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Aggressive Working Capital Management Policy on Firm‟s Value: A Mediating
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Effect of Company‟s Profitability, Journal of Business and Management Sciences,
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Vol. 6, No. 1, 16-21
104
Reza Zadeh, J., Heidrian, J. (2010). The Effect of WCM on Profitability of
105
Iranian Companies, Accounting and Audit Research, Volume 2, Issue 7, Pages 20-33.
106
[In Persian]
107
Russo, F.T.Batista(2013), The Working Capital Management: The Determinants
108
And The Effect On Profitability, Project submitted as partial requirement for the
109
conferral of Master in Finance.
110
Sagner, J.S. (2014), Working Capital Management: Applications and Cases, John
111
Wiley & Sons, Hoboken, NJ.
112
Santanu, K. & Santi, G. (2004). Working Capital Management Efficiency. The
113
Management Accounting, 363-367.
114
Shah, Said, (2016), Factors Affecting Working Capital Management Practices and
115
Determining Firms‟ Performance: A Comparative Analysis of Listed Companies in
116
Pakistan, A research thesis submitted to the Department of Management & Social
117
Sciences, Capital University of Science and Technology, Islamabad in partial
118
fulfillment of the requirements for the degree of Doceor Of Philosophy In
119
Management Sciences.
120
Sin Huei Ng., Chen Ye, Tze San Ong, Boon Heng Teh,(2017), The Impact of
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Working Capital Management on Firm‟s Profitability: Evidence from Malaysian
122
Listed Manufacturing Firms, International Journal of Economics and Financial Issues,
123
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Finance, 43(4): 863–872.
126
Smith K. (1980). “Profitability versus Liquidity Tradeoffs in Working Capital
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Management”, in Readings on the Management of Working Capital. Ed. K. V. Smith,
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St. Paul, West Publishing Company, pp. 549-562
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Net Trade Cycle and Corporate Performance in Turkey?. International Business
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Research, 6, 95-101.
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Talonpoika A.M., Timo Kärri, Miia Pirttilä and Sari Monto,(2016), Defined
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strategies for financial working capital management, International Journal of
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Managerial Finance, Vol. 12 No. 3,pp. 277-294.
136
Temtime Z.T., (2016), Relationship between Working Capital Management,
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Policies, and Profitability of Small Manufacturing Firms, Walden Dissertations and
138
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Vaez, S.A., Galmir, M.H., Ghanvaei, N., Rahmani, F. (2014), A Study on the
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Relationship between the Ownership Structure and the Board's Structure and the
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Efficiency of WCM, Journal of Asset Management and Finance, Year II, No. 4, Pages
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113-128. . [In Persian]
144
Vaez, S.A., Kalhori, Gholmir, M.H., Shakeri, F. (2013), Factors Affecting the
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WCM of Tehran Stock Exchange Companies, Journal of Financial Accounting, Vol.
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5, No. 19, pp. 46-68. [In Persian]
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Viskari, S., Pirttila, M. and Karri, T. (2011) „Improving profitability by managing
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working capital in the value chain of pulp and paper industry‟, International Journal of
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Managerial and Financial Accounting (IJMFA), Vol. 3, No. 4, pp.348–366.
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151
Investment: A Study of Malaysian Public Listed Firms. Australasian Accounting
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153
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Working capital management and corporate performance: Case of Malaysia. Journal
155
of Modern Accounting and Auditing, 5(11), 47–54.
156
ORIGINAL_ARTICLE
The Role of Auditors' Biases and Decision Making on Errorswith a Cognitive Approach in Capital Market (A Case Study: Securities and Exchange's Certified Auditors)
Based on the capital market’s nature, accountants and auditors’ information is provided by an effective influence of personal decisions and market results, derived systematically by information structure and market participants’ features. Auditors’ choices are influenced by perception, judgment and decision options processes, which may affect auditing errors. The study purpose is to investigate auditors’ different biases and decision-making factors on errors based on a cognitive approach in the capital market. The model’s objective is practical based on a descriptive-analytical methodology. The statistical population of the study includes all certified auditors of Iran's Securities and Exchange Organization (SEO), whom were provided with the researcher-made questionnaires with valid narration and reliability. The collected data were analyzed by AMOS software. The findings indicate that components of the cognitive bias are predictable by auditors’ errors based on the priority level and maximum influences, including mental accounting bias (63%), availability bias (45%), heuristic bias (60%), and ambiguity aversion bias (58%). Also, components of decision-making are predictable by auditors’ errors based on the priority level and maximum influences, including decision case (54%), job experience (57%), decision-making situation (58%) and individual features (45%).
https://www.ijfifsa.ir/article_88415_cc073add13a22d68264cc68595466948.pdf
1999-12-22
59
82
10.22034/ijf.2018.88415
Auditors’ errors
cognitive bias
decision-making factors
Zahra
Kohandel
zahrakohandel@yahoo.com
1
1Ph.D. Student Accounting ,Faculty of management and Economics ,Science and Research Branch ,Islamic Azad University ,Tehran ,Iran
AUTHOR
Ghodrat Allah
Talebnia
2
Associate Professor ,Department Of Accounting , Faculty of management and Economics ,Science and Research Branch ,Islamic Azad University ,Tehran ,Iran
LEAD_AUTHOR
Hashem
Nikoomaram
3
3Professor ,Department Of Accounting , Faculty of management and Economics ,Science and Research Branch ,Islamic Azad University ,Tehran ,Iran
AUTHOR
Abbasiyan Fareydouni, Mohammad Mehdi, Royaei RamezanAli,
1
HasasYeganeh Yahya(2015). Study of the Dimensions of Philosophical
2
Mentality of Auditors Working in the Audit Profession, Journal of Accounting
3
and Audit Management, Volume 4, Issue 14. [In Persian].
4
Alizadeh Elham., (2017). Buccaneering Perception in Auditing, The
5
First International Conference on Accounting and Management, Kurdistan,
6
OmidPazhooh Ataee Kurdistan University of Science, Kurdistan University.
7
[In Persian].
8
Aloke Ghosh, Sanjay Kallapur, Doocheol Moon, (2009). Audit and
9
non-audit fees and capital market perceptions of auditor independence, J.
10
Account. Public Policy 28. 369–385.
11
Anderlini Luca, Gerardi Dino, Lagunoff Roger, (2016). Auditing,
12
disclosure, and verification in decentralized decision problems, Journal of
13
Economic Behavior & Organization 131, 393–408.
14
Asgari Morteza (2013). Investigating the Relationship Between Ethical
15
Issues and Auditors' Decisions, Master's Ending, Supervisor: Mohammad Reza
16
Abdoli, Islamic Azad University, Shahrud University. [In Persian].
17
Atuilik Williams, Salia Hussein, (2018). The Importance of financial
18
reporting to capital market development in Ghana,
19
Barzideh Farrokh, Babajani Jafar, Abdollahi Ahmad., (2018). Identity
20
pattern design in audit judgment with a foundation-based data theory approach.
21
Audit knowledge. 18 (71). [In Persian].
22
DeFond Mark , Zhang Jieying, (2014). A review of archival auditing
23
research, Journal of Accounting and Economics, Volume 58, Issues 2–3.
24
Doty James, (2015). The Role of the Audit in Capital Formation, FEE
25
Audit Conference, Brussels,
26
Belgium,https://pcaobus.org/News/Speech/Pages/06222015_Doty.aspx
27
Georgian Dawood, Khan Mohammadi Mohammad, (2017).
28
Investigating the Effects of Behavioral Financial Factors on Individual Investor
29
Decisions, Investment Knowledge Series, Article 16, Vol. 6, No. 24. [In
30
Hajih Zohreh, Goodarzi Ahmad and Fattahi Zahra (2012). The
31
Relationship between Age and Gender with Auditors' Judgment and Decision,
32
The First National Conference on Improving the Issues of Management,
33
Accounting and Engineering in the Organizations, Gachsaran, Islamic Azad
34
University, Gachsaran Branch. [In Persian].
35
Hasas Yeganeh Yahya, Rahimian Nezamodin., (2007). Justification of
36
decisions in audit planning, Journal of Accounting and Auditing Reviews:
37
Explaining Factors and Consequences of Working Capital Management Using Content 81
38
Analysis Approach
39
University of Tehran Faculty of Management, Volume 14, Issue 1. [In
40
Hassan Valian, Mehdi Safari Grayli., (2018). Provide a Model for
41
Understanding Auditors' Honest Humor with Content Analysis Approach,
42
Knowledge Management Accounting and Audit Knowledge, Article Two,
43
Volume 7, No. 25. [In Persian].
44
Hermasi Shirkoh, Nikoomaram Hashem, Royayei RamezanAli,
45
Rahnamaye Roodaposhti Fereydoun, (2016). Investigating the Effect of
46
Psychological Bias on Professional Auditor's Difficulty, Journal of Empirical
47
Accounting Research, Article 6, Vol 6, No 2, Successive (22). [In Persian].
48
Hilbert Martin (2012). Toward a synthesis of cognitive biases: How
49
noisy information processing can bias human decision making. Psychological
50
Bulletin.1382, Lay summary.
51
Hirshleifer DA, (2015). Behavioral finance, Annual Review of
52
Financial Economics, Vol. 7:133-159.
53
Hirshleifer, DA, Hirshleifer, SHT, (2017). How Psychological Bias
54
Shapes Accounting and Financial Regulation, Behavioral Public Policy
55
Journal, 1(1).
56
Jalili Arezoo, Moshiri Esmail, (2013). Investigating mental innovations
57
in application of management accounting procedures. Journal of Accounting
58
and Management Audit, Second Year, No. 6. [In Persian].
59
Karami Ehsan, Parvizi Behzad, (2016). Cognitive biases on
60
professional judgment of auditors, first conference of accounting and
61
management, Kurdistan, Kurdistan University. [In Persian].
62
Knapp Michael C. and Knapp Carol A., (2012). Cognitive Biases in
63
Audit Engagements auditing, Errors in Judgment and Strategies for Prevention,
64
The CPA Journal Accounting & Auditing.
65
Kohandel Zahra., (2019). The Role of Different Bias and DecisionMaking Factors on Auditor's Mistakes and the Presenting of a Cognitive-Based
66
Model, End of Ph.D., Supervisor: Dr. Ghodrat Allah Talebnia, Islamic Azad
67
University, Science and Research Branch of Tehran. [In Persian].
68
Mala Rajni, Chand Parmod, (2015). Judgment and Decision-Making
69
Research in Auditing and Accounting: Future Research Implications of Person,
70
Task, and Environment Perspective, J. Accounting Perspectives, Volume 14,
71
Issue 1, Pages 1–50.
72
MassihAbadi Abolghasem, Pouryousuf Azam, (2008). Investigating the
73
Role of Individual Differences on Auditing Decisions, Auditor's Quarterly, No.
74
43. [In Persian].
75
Molanazeri Mahnaz, EsmaeilyKia Gharibeh, (2014). Identification of
76
Psychological Characteristics Affecting Auditors' Skills in Performing Audit
77
82 Iranian Journal of Finance
78
Judgments, Journal of Accounting and Auditing: Faculty of Management,
79
University of Tehran, Volume 21, Issue 4. [In Persian].
80
Nikoomaram Hashem, Bozorgasl Mosa, Taghavi Mehdi,
81
Mahmoudzadeh AliAsghar (2013). The Effect of Using Probable Professional
82
Judgment in Iranian Accounting Standards on Information Quality
83
Characteristics, Financial Accounting and Audit Research Quarterly, Fifth
84
Edition, Vol. 18. [In Persian].
85
Nikoomaram Hashem, Jalili Arezoo (2012). Conceptual Model for
86
Behavioral Management Accounting, Journal of Accounting and Auditing,
87
First Year, First issue. [In Persian].
88
Nilchi Moslem, Ahmadian Ardeshir (2017). The role of accounting in
89
behavioral finance, global management conference, economics, accounting and
90
humanities at the beginning of the third millennium, Vol 2. [In Persian].
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quality and decision-making in small companies, Managerial Auditing Journal,
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Vol. 29 Iss: 9, pp.800 – 817.
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Rahnamaye roudpooshti Fereydon, Vakilifard Hamidreza, Lak
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Fazlaleh, Mohseni Abdolreza (2015). Auditor's Style and Comparability of
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No. 25. [In Persian].
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and capital market integration in Europe, Policy Contribution Issue 3.
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Relationship between Professional Hearing and Professional Judgment of
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Independent Auditors, Financial Accounting Research and Audit: Islamic Azad
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University, Central Tehran Branch, Vol.6, Issue 22. [In Persian].
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Regulation to the Capital Markets, American University Kogod School of
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Business,https://pcaobus.org/News/Speech/Pages/03202014_American.aspx
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Dimensions: Nigerian Stakeholders", Doctor of Philosophy University Utra
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Characteristics, Their Professional Judgment with Analytical Hierarchy
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Process, Master's Thesis, Supervisor: Kazem Ebrahimi, Islamic Azad
115
University, Semnan Branch.[In Persian].
116
ORIGINAL_ARTICLE
Providing a Model to Evaluate Corporate Social Responsibility by Social Value Added (Case Study: Nano-Engine Oil)
The evaluation of corporate social responsibility has gained significance over the past decade due to the importance of natural and environmental resources. Many studies have been conducted on corporate social responsibility and the presented related models, which add to the importance of this report. However, in addition to its significance, many researchers also believe that corporate social responsibility evaluation models lack the necessary efficiency due to different interpretations, lack of transparency, and abuse of some companies in order to deceive and commit fraud. Therefore, the aim of this research is to present a model to evaluate corporate social responsibility using value added, which can be a suitable criterion in evaluating the social responsibility of commercial entities. In the present study, first, a model was developed based on corporate social responsibility, and then, to test the model, social value added of Nano motor oil was studied as a case study. In this study, data was analyzed through pairwise comparison. The findings of the study conducted on the social value added of Nano motor-oil indicate economic efficiency of 40%, product social efficiency of 8%, and depicts a 38-times increase in social value added compared with its economic added value. Thus, Nano-engine oil producing companies are located on the corporate social responsible category and the corporate social responsibility in this product is on the third level (strong) that indicates the product’s efficiency in the community and can be a suitable incentive for all business organizations to pay more attention to their products’ environmental and social impacts.
https://www.ijfifsa.ir/article_88418_e8c0b904249c78addc0c6aa03793bedf.pdf
1999-12-22
83
102
10.22034/ijf.2018.88418
corporate social responsibility
Value Added
Economic Value Added
Social Value Added
Mohsen
Hemmati
hemmati_mohsen2002@yahoo.com
1
PhD Accounting Student, Semnan Branch, Islamic Azad University, Semnan, Iran.
AUTHOR
Naghi
Fazeli
fazeli.n@gmail.com
2
Accounting Assistant Professor, Semnan Branch, Islamic Azad University, Semnan, Iran.
LEAD_AUTHOR
Seyfolah
Saedodin
s_sadodin@semnan.ac.ir
3
Professor, Faculty of Mechanical Engineering, Semnan University, Semnan, Iran.
AUTHOR
Hackston, D. & Milne, M. J. (1996). Some determinants of social and
1
environmental disclosures in New Zealand companies. Accounting,
2
Auditing and Accountability Journal, 9(1), 77-108.
3
2- Giannarakis, G. (2013). The determinants influencing the extent of CSR
4
disclosure. International Journal of Law and Management, 56(5), 393-
5
3- Geravand, M., & Geravand, A. (2016), Corporate Governance and the
6
role of executives in corporate social responsibility, Second National
7
Corporate Governance Conference (In Persian).
8
4- Pérez, Andrea. & Ignacio Rodríguez Del Bosque, (2015). Corporate
9
social responsibility and customer loyalty: exploring the role of
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identification, satisfaction and type of company. Journal of Services
11
Marketing, Volume: 29. No.1. pp. 105-128 .
12
5- Alvani, Seyed Mehdi. & Ghasemi, Ahmad. (1998). Management and
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organization social responsibility, state of management training center (In
14
6- Azarbayjani, K. & Souroshyar, A. & Yariyan Koopaei,S. (2012). Finding
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the best financial performance criterion, Auditor's Journal, No.52, pp1-
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7(In Persian).
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7- Kordestani,Gh., & Ghaderzadeh,S.K., & Haghighat,H. (2018). Impact of
18
social responsibility disclosure on accounting, economic and market
19
based Measures Of corporate performance evaluation, Journal of
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Accounting Advances, Vol.10, No.1, pp181-210(In Persian).
21
8- Kordzanganeh, Gh., & Noravesh,I., & Jafari, M.H. (2018), Social
22
responsibility and financial performance in Tehran Stock Exchange
23
companies, Economics Journal, No.3&4, pp53-87(In Persian).
24
9- Taleghani G, Nargesian A, Goudarzi M. The Impact of Social Capital on
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Organizations' Social Responsibility (A Case Study: Western Tax Organization of Tehran Province). cs. 2011; 9 (47):229-242(In Persian).
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10- Moshabaki, A. & Kh. Shojaei, V. (2010). Investigating the Relationship
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between Organization Culture and Corporate Social Responsibility (CSR)
28
Providing a Model to Evaluate Corporate Social Responsibility by Social Value Added 101
29
(Case Study: Nano-Engine Oil)
30
(Case Study: Energy Ministry), journal of applied sociology, No.4, pp.37-
31
56(In Persian).
32
11- Daraei, M., & Parsaamal, E. (2014). An Investigation on Organizational
33
Culture Effectiveness on Corporate Social Responsibility in Saypa
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Company, Journal of Public Administration, Vol.4, pp101-120(In
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12- Husted, B.W. & Allen, D.B. (2007), Strategic Corporate social
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Responsibility and value creation among large firms, Long Range
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Planning, Vol 40, pp. 594-610.
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Strategy, Structure, and Behavior, Houghton Mifflin: Boston, MA.
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14- Shen,R. & Tang,Y. & Zhang,Y. (2016), Does Firm Innovation Affect
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Corporate Social Responsibility? Working Paper 16-096, Harvard
42
Business School.
43
15- Krizov, Clair. & Allenby, Brad. (2004), Social Value Added: A Metric
44
for Implementing Corporate Social Responsibility, Environmental
45
Quality Management, pp.39-47.
46
16- Blowfield, M. & Frynas, J.G. (2005). Setting new agendas: critical
47
perspectives on Corporate Social Responsibility in the developing world.
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International Affairs 81, 3, 499-513.
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17- Mullerat, R. (2009) International Corporate Social Responsibility, Kluwer
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Law International, Netherlands.
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18- Aras, G. & Crowther, D. (2010) A Handbook of Governance and Social
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Responsibility, Gower Publishing, UK.
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Approach, Broadview Press, USA.
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20- Kabiri, H. & Mohammadzadeh Salteh, H. (2014). Investigating the
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Relationship between Social Responsibility and Financial Reporting
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Quality of Tehran Stock Exchange Companies, Woman & Study of
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Family, Vol.6, pp67-83 (In Persian).
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21-Judith M. Bardwick (2017), Success With people Webinar,
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https://goo.gl/86ZbRZ.
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102 Iranian Journal of Finance
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22-Judith M. Bardwick (1995), Danger in the Comfort Zone: From
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Boardroom to Mailroom-how to Break the Entitlement Habit That's
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Killing American Business, p.63.
65
ORIGINAL_ARTICLE
Governments’ Economic Performance and Earnings Management Methods: Evidence from Tehran Stock Exchange
Governments always affect the economic environment as legislators in the field of business. The economic conditions governing the market and business require different conditions and contexts for decision making and corporate execution practices. Companies and managers administering them under environmental conditions, achieve their goals by employing various earnings management methods. Hence, the present study examines the effect of governments’ economic performance on the earnings management methods used in listed companies of Tehran Stock Exchange (2004-2016) for a sample of 16 industries and 271 companies. To test the hypotheses, multivariate regression model was used. The results showed that during the research period, companies managed earnings, and while more than 70% of companies used the accrual earnings management method, there was a relationship between annual economic indicators and real earnings management, and the change in general level of prices and the political connections of states have affected the relationship. Also, the accruals-based earnings management method occurred independent of annual economic indicators and there is a significant relationship between governments changes and earnings management methods.
https://www.ijfifsa.ir/article_88419_8094aeec1bd290636038b8ddb52a76cf.pdf
1999-12-22
103
129
10.22034/ijf.2018.88419
Earnings Management
Economic indicators
Political Connections
Inflation
Alireza
Ghonji Feshki
aaghonji57@gmail.com
1
Ph.D. Student in Accounting, Faculty of Management and Accounting, Islamic Azad University Branch of Damavand, Damavand, Iran
AUTHOR
Mohammad Hamed
Khanmohammadi
2
Assistant Professor ., Faculty of Management and Accounting, Islamic Azad University Branch of Damavand, Damavand Corresponding Author. Iran
LEAD_AUTHOR
Shohreh
Yazdani
yazdani_82@yahoo.com
3
Assistant Professor, Faculty of Management and Accounting, Islamic Azad University Branch of Damavand, Damavand, Iran.
AUTHOR
Abbasian, E., Moradopour Oladi, M. & Abbasian, Vahid. (2008).
1
Determining the effect of macroeconomic variables on total stock
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market index. Iranian Economic Eesearch, 36, 135-155.
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Abeysekera, I. (2003). Political economy of accounting in intellectual
4
capital reporting. European Journal of Management and Public Policy,
5
2(1). 65-97.
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Baharmoghadam, M., & Qavarvi, T. (2012). Effect of days and months
7
of the year, macroeconomic variables such as GDP and inflation on
8
stock returns. Accounting Advances, 4 (2), 1-26.
9
Baghoumian, R., Mohammadi, H., & Taheri, M. (2017). Economic
10
downturn and earnings management. Journal of Management
11
Accounting, 32, 29-42.
12
Ball, R., & Brown, P (1968). An empirical evaluation of accounting
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income numbers. Journal of Accounting Research, 6 (2), PP.159-17.
14
Barto, J., & Simko, P. J. (2002). The balance sheet as an earnings
15
management constraint. The Accounting Review, 77, 1-27.
16
Bhargava, A. (2014). Firms’ fundamentals, macroeconomic variables
17
and quarterly stock prices in the U.S. Journal of Econometrics, 183(2),
18
Braam, G., Nandy, M., Weitzel, U., & Lodh, S. (2015). Accrual-based
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and real earnings management and political connections. International
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Journal of Accounting, 50 (2), 111-141.
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Chen, N., Roll, R., & Ross, S. (1986). Economic forces and the stock
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market. Journal of Business, 59, 383-403.
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Cohen, D., & Zarowin, P. (2008). Economic consequences of real and
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accrual-based earnings management activity. Working paper, New
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York University.
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Cohen, D., & Zarowin, P. (2010). Accrual-based and real earnings
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management activities around seasoned equity offerings. Journal of
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Accounting and Economics, 50(1), 2-19.
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Dai Karimzadeh, S., Sharifiranani, H., & Ghasemian, L. (2013). The
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effect of large-scale economic variables on banks' price index. Journal
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of Economic Issues, 13 (11 & 12), 65-90.
32
Dari Sadeh, M., Izadinia, N. & Nargesi, M. (2015). A survey of
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earnings based on accruals and actual management of earning in the
34
periods before and after the approval of Securities Market Act of The
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Islamic Republic of Iran. Accounting Knowledge, 21, 57-85.
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Dechow, P. M., Sloan, R. G., & Sweeney, A. P. (1995). Detecting
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earnings management. Accounting Review, 70 (2), 193–225.
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128 Iranian Journal of Finance
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Degeorge, F., Patel, J., & Zeckhauser, R. (1999). Earnings management
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to exceed threshold. Journal of Business, 72 (1), 1-33.
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Erman, E., Okuyan, H. A., & Kadioglu, O. (2008). Real
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macroeconomic variables and stock price: test of proxy hypothesis in
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Turkey. International Research Conference on Business Strategies,
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Istanbul, Turkey,13-15.
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Faccio, M., Masulis, R. W., & McConnell, J. J. (2006). Political
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connections and corporate bailouts. Journal of Finance, 61 (6), 2597-
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Fadaeinejad, E. & Farahani, R. (2017). The effects of macroeconomic
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variables on Tehran Stock Exchange Index. Financial Economics
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Quarterly, 39, 1-26.
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variables and stock market interactions: New Zealand evidence.
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sciences. Samt Publications. Tehran.
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Boston, Harvard Business School Press.
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investigations. Journal of Accounting Research, 29(2), 193–228.
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62
role of discretionary accruals in earnings management of listed
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companies in Tehran Stock Exchange. Accounting and Auditing, 12
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(4), 61-74.
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Mohamadrezae`i, F., Manteghi, Kh., & Abbasi, E. (2016). The effect of
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economic recession on real and accrual earnings management. Journal
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of Management Accounting, 33, 123-138.
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sciences. Badr Publications, Tehran.
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stock prices: in search of state dependence. Southern Economic Journal,
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70 (3), 549-565.
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of macroeconomic indicators on stock returns of listed companies of
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TSE. Journal of Economic Research, 17, 209-236.
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Governments’ Economic Performance and Earnings Management Methods: 129
77
Evidence from Tehran Stock Exchange
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Roychowdhury, S. (2006). Earnings management through real activities
79
manipulation. Journal of Accounting and Economics, 42, 335-370.
80
Samadi, S., & Bayati, A. (2011). The study of the relationship between
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macroeconomic variables and stock returns in Tehran Stock Exchange.
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Financial Economics Quarterly, 16, 91-112.
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making. Journal of Risk & Uncertainty, 1, 7-59.
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growth. Financial Economics Quarterly, 18, 139-150.
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equilibrium under conditions of risk. The Journal of Finance, 19(3),
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of macroeconomic information on firms’ earnings forecasts. The British
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Accounting Review, 45, 311–325.
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Stock, J. H., & Watson, M. W. (2002). Forecasting using principal
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components from a large number of predictors. Journal of the American
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and Some of the Macroeconomic Variables. Journal of Management
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Future Research, 12 (1), 77-90.
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Zang, A. Y. (2012). Evidence on the trade-off between real activities
99
manipulation and accrual-based earnings management. The Accounting
100
Review, 87(2), 675-703.
101
ORIGINAL_ARTICLE
Investigating the Asymmetric Effects of Banking Sector Development and Stock Market Development on Economic Growth in Iran Using Smooth Transition Regression (STR) Model
The purpose of this paper is to examine the asymmetric effects of banking sector and stock market development on economic growth in Iran. For this purpose, Smooth Transition Regression (STR) model used based on seasonal time series data during 1989-2017. The results indicate that the impact of financial and banking development indices on economic growth is different for economic growth rates above and below 6%. Therefore, if the economic growth rate is higher than 6%, then we have a regression and when economic growth is lower than 6% will have another regression in order to effect of financial development of economic growth. In addition, results show that that the relationship between private sector credit and economic growth is much stronger than the relationship between stock market and economic growth.
https://www.ijfifsa.ir/article_88420_8105eb8530d6a1dde3bc2d461f5bf51b.pdf
1999-12-22
131
150
10.22034/ijf.2018.88420
Financial Development
Stock market
Banking sector
Economic Growth
Smooth Transition Regression (STR)
Nasrin
Rostami
1
Corresponding author: Department of Management and Economic, Islamic Azad University, Arak Branch, Arak, Iran.
LEAD_AUTHOR
Abbas
Najafizadeh
2
Department of Economic, Arak Branch, Islamic Azad University, Arak ,Iran, corresponding author
AUTHOR
Ahmad
Sarlak
3
Department of Economic, Arak Branch, Islamic Azad University, Arak ,Iran
AUTHOR
Esmaeil
Safarzadeh
4
Assistant Professor, Al-Zahra University, Department of Economic, Tehran,Iran
AUTHOR
Abounoori, A., Teimoury, M. (2013). Investigation of the Effect of
1
Financial Development on Economic Growth: A Comparative Study in
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OECD and UMI Countries. Quarterly Journal of Economic Growth and
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Development Research, 3(11), 40-29.
4
2. Al-Khouri, Ritab (2007), Financial sector development and sustainable
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economic growth in regionally co-integrated emerging markets.
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Advances in Financial Economics, 12 :345–360.
7
3. Arestis, P., Demetriades, P. O., and Luintel, K. B. (2001). Financial
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Development and Economic Growth: The Role of Stock Markets.
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Journal of Money, Credit, and Banking 33, 16-41.
10
4. Beck, T., and Levine, R. (2004). Stock Markets, Banks, and Growth:
11
Panel Evidence. Journal of Banking and Finance 28, 423-442.
12
5. Beck, T., Levine, R., and Loayza, N. (2000). Finance and the Sources
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of Growth. Journal of Financial Economics 58, 261-300.
14
6. Calderon, C., and Liu, L. (2003). The Direction of Causality between
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Financial Development and Economic Growth. Journal of Development
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Economics 72, 321-334.
17
7. Chen, K. C., Wu, L., & Wen, J. (2018). The relationship between
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finance and growth in China. Global Finance Journal,24, 1–12.
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8. Doumbia, Djeneba, (2015). Financial development and economic
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growth: Evidence of non-linearity, MPRA Paper 63954, University
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9. Enders, W, (2004), Applied Econometric Time Series, 2nd ed, Wiley.
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Economic Growth. American Economic Review 88, 537-558.
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