درخت حوزه‌های تخصصی

Increased government revenues and improved economic efficiency are the main goals of implementing privatization and regime switch in Iran. Information efficiency in the capital market can also be considered as a milestone for increased government revenues and improved economic efficiency. In this study, according to the results of regime switching GARCH models, it is determined that stock returns have had different regimes during the study period (2000-2015). According to the results of the estimation of the three-regime GARCH model, the most important events of the Article 44 of the Constitution in the direction of privatization in Iran's economy and its implementation during the study period have been effective in switching the regimes of the fluctuating process of efficiency. Market risk has also been identified as a factor affecting regime switching in the stock return process, which is due to the behavior of stockholders in low-fluctuation regimes compared to high-fluctuation regimes and liquidity. Also, according to the Kalman filter model, poor performance has been established in Tehran Stock Exchange, which indicates that privatization policy has been effective in improving the efficiency of this marketplace. Using the technique related to the detection of structural failure in the liquidity variable as one of the signs of the stock market depth, the failure of this series was detected by virtue of the implementation of privatization, and it was discovered that privatization increased market liquidity as one of the principles of market development.

Iran allocated 6% of the world's natural disaster fatality, while the country only has one percent of the world's population. More than 40 natural disasters have been recognized globally. According to the evaluations carried out in Iran, at least 31 natural disasters have occurred locally. Domestic insurance capacity does not cover this volume of risk and the need for external reinsurance capacity is always felt. Catastrophe bonds structure as a financial innovative solution allows an issuing institution to transfer catastrophic exposures and risk to capital market’s investors by creating capital relief and additional risk capacity for Iran’s insurance industry. We adjusted formal cat bonds structure with the Islamic jurisprudence, as well as domestic regulations consideration. According to the research and interviews conducted and using thematic analysis research method, we finally suggested that the catastrophe bond instrument in Iran could be issued in the form of "insurance Sukuk" contract template, as a solution for transferring catastrophic risks to the Iranian capital market. Since this proposed structure have many aspects, the comprehensive implementation of it depends on cooperation between money market, capital market and insurance industry.