On the comparative performance of socially responsible and Islamic mutual funds

This is the first study to provide comprehensive analyses of the relative performance of both socially responsible investment (SRI) and Islamic mutual funds. The analysis proceeds in two stages. In the first, the performance of the two categories of funds is measured using partial frontier methods. In the second stage, we use quantile regression techniques. By combining two variants of the Free Disposal Hull (FDH) methods (order-m and order-α) in the first stage of analysis and quantile regression in the second stage, we provide detailed analyses of the impact of different covariates across methods and across different quantiles. In spite of the differences in the screening criteria and portfolio management of both types of funds, variation in the performance is only found for some of the quantiles of the conditional distribution of mutual fund performance. We established that for the most inefficient funds the superior performance of SRI funds is significant. In contrast, for the best mutual funds this evidence vanished and even Islamic funds perform better than SRI. These results show the benefits of performing the analysis using quantile regression

Cointegration, Causality and Wagner's Law: A test for Northern Cyprus, 1977-1996.

The purpose of this study is to analyse public expenditure growth in Northern Cyprus during the period 1977-1996. We test the validity of Wagner’s Law that there is a long-run tendency for public expenditure to grow relative to national income. This implies that public expenditure can be treated as an outcome, or an endogenous factor, not a cause of growth in national income. Conversely, Keynesian proposition treats public expenditure as an exogenous factor, which could be utilised as a policy instrument. In the former approach, the causality runs from national income to public expenditure whereas in the latter proposition, causality runs from public expenditure to national income. Utilising recent advances in co integration and causality techniques, in the case of Northern Cyprus economy, we find that there is a mixed evidence in support of Wagner’s Law

Evaluating the efficiency of Turkish commercial banks: an application of DEA and Tobit Analysis

The purpose of this paper is to investigate the performance of Turkish (TR) commercial banking sector. We evaluate the technical efficiency of individual TR banks using the nonparametric frontier methodology, the Data Envelopment Analysis (DEA). To investigate the determinants of efficiency, we use the Tobit model. This analysis aims to explain the variation in calculated efficiencies to a set of explanatory variables, i.e. banks size, number of branches, profitability, ownership, and capital adequacy ratio. The analysis covers the year, 1998. We find that larger and profitable banks are more likely to operate at higher levels of technical efficiency. Also another finding reveals that the capital adequacy ratio has a statistically significant adverse impact on the performance of banks, which may reflect a risk-return tradeoff in the sector

Efficiency and productivity growth in Turkish commercial banking sector: a non-parametric approach

The financial liberalisation policies adopted in 1980 brought radical changes to the heavily regulated commercial banking sector in Turkey. The sector attracted many domestic and foreign banks, which created vigorous competition. As a result, increased competition in the market raised important questions on bank performance and efficiency. In this context, we aim to analyse the technical efficiency and productivity change over the period 19992 [sic]-1996. Utilising non-parametric methodologies, Data Envelopment Analysis (DEA) and DEA based Malmquist indices, we estimate the individual bank efficiencies and productivity changes which took place within this period. Further, we decompose the productivity index into frontier shifts (technical change) and catching up (technical efficiency) components

Evaluating tax evasion in the European Union: a case study of the prevalence and character of ‘envelope wage’ payments

In the current climate of economic crisis, European governments are trying to raise revenue via various means such as fighting tax evasion. This paper evaluates a form of tax evasion in Europe that has so far received little attention. This is the illegitimate wage practice used by legitimate businesses whereby they pay their formal employees two separate wages, an official wage that is declared to the state for tax and social security purposes and an unofficial ‘envelope’ wage which is not declared and allows employers to avoid paying their full social insurance and tax liabilities. Examining a data-base composed of 26,659 face-to-face interviews conducted in the 27 member states of the European Union, using unordered and ordered discrete models as well as interval regression, we provide evidence of the factors that significantly impact on the propensity to receive envelope wages and the amounts received. We control for relevant socio- economic and other characteristics of individuals in our estimations. There is an interesting geographical variation in the incidence of ‘envelope wages’ in Europe. Most workers receiving envelope wages are concentrated in South-Easter and East-Central Europe while few of them are found in Nordic Countries and Continental Europe including the UK and Ireland. Arguably, this is a reflection of heterogeneity in social norms, attitudes towards the state and income inequality across countries. Our estimates corroborate this geographical heterogeneity and identify other significant correlates affecting the probability of participating in ‘under-declared’ activity, namely gender, age, sector of employment, firm size, occupation and household income. We also find perception variables about the scale of evasion to be significant predictors of the probability of evasion.Envelope wages; tax evasion; Europe; discrete choice models; Eurobarometer Survey

An empirical study of stochastic DEA and financial performance: the case of the Turkish commercial banking industry

This study breaks important new ground in the analysis of financial institutions. It is one of the first empirical uses of Stochastic Data Envelopment Analysis (SDEA) in the efficiency literature. The pattern of efficiency is examined for the year 1999. The purpose of stochastic setting of DEA is two-fold: to accommodate both the inefficiency and the presence of measurement errors; and to convert the resulting stochastic linear programmes for DEA into deterministic non-linear DEA programmes. The results show that there are wide variations in the DEA efficiency scores and SDEA results suggest that these are due to measurement errors or other stochastic factors in the raw data, probably attributable to macroeconomic shocks and issues of changes in banking regulations

Measuring the efficiency of European airlines: an application of DEA and Tobit Analysis

The liberalisation movement in European airlines industry was initiated in the late 1980s to create a more competitive environment. This has aimed to result in an increase in efficiency and productivity of the industry. The radical changes which have occurred since then have given risen to the need to evaluate the efficiency in the early phases of the liberalisation process. This study utilises Data Envelopment Analysis (DEA) to assess the efficiency of airlines. The Tobit model applied to the second stage is conducted in an effort to identify the effects of various explanatory variables on efficiency. Applying DEA with Tobit models to detect the efficiency and the determinants of (in)efficiency serves a variety of policy purposes and aimed at improving performance. Our analysis is based on a panel data set of 17 airlines European airlines over the period of 1991-1995

European airlines: a stochastic DEA study of efficiency with market liberalisation

Stochastic DEA constructs production frontiers that incorporate both inefficiency and stochastic error. This results in a closer envelopment of the mean performance of the companies in the sample and diminishes the effect of extreme outliers. We use the Land, Lovell and Thore (1993) model incorporating information on the covariance structure of inputs and outputs to study efficiency across a panel of 17 European airlines in the 1990s during the early phase of liberalisation. After allowing for stochastic error in computing the relative efficiencies we conclude that the airlines that were efficient in 1995 resembled those that were efficient in 1993 but not those in 1991. The airlines that were efficient in 1995 were the larger companies