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This paper focuses on the earnings management and the culture of China Time‐honoured Brand. It shows that the accrual earnings management and real earnings management of China Time‐honoured Brand are significantly lower than other enterprises. The transmission mechanism between culture and corporate earnings management comes from the executives' culture infiltration. Property rights and incentive compatibility have significant moderating effect on the relationship between China Time‐honoured Brand and earnings management. From the quantitative point of view, this paper supplements the function of China Time‐honoured Brand culture in overcoming the problem of corporate information distortion and points out also the transmission mechanism and adjustment factors. On the one hand, it helps to deepen the understanding of the cultural factor and corporate financial behaviour, and on the other hand, it provides the direct evidence about the influence of Chinese excellent traditional culture to the small companies. The article helps to understand the relationship between traditional culture, corporate culture and corporate financial behaviour and its mechanism of action, which has an important practical significance.
Fateh Saci; Sajjad M. Jasimuddin; Ariful Hoque. Does corporate culture matter to earnings management? Evidence from Chinese Time‐honoured Brand firms. Australian Economic Papers 2021, 1 .
AMA StyleFateh Saci, Sajjad M. Jasimuddin, Ariful Hoque. Does corporate culture matter to earnings management? Evidence from Chinese Time‐honoured Brand firms. Australian Economic Papers. 2021; ():1.
Chicago/Turabian StyleFateh Saci; Sajjad M. Jasimuddin; Ariful Hoque. 2021. "Does corporate culture matter to earnings management? Evidence from Chinese Time‐honoured Brand firms." Australian Economic Papers , no. : 1.
This study introduces the intraday implied volatility (IV) for pricing the Australian dollar (AUD) options. The IV is estimated using the at-the-money one-month, two-month, and three-month maturity AUD options traded in the opening, midday, and closing period of a trading day. The Mincer-Zarnowitz regression test evaluates the predictive power of IV to forecast the foreign exchange volatility for the within-week, one-week, and one-month horizon. The mean absolute error, mean squared error, and root mean squared error measures are employed to assess the performance of IV in estimating the price of currency options for the within-week, one-week, and one-month horizon. This study reveals four critical findings. First, a three-month maturity IV does not contain vital information for pricing options. Second, IV incorporated information is not relevant to compute the value of options for a horizon of less than a week. Third, IV in the closing period of Monday or Tuesday subsumes most of the essential information to estimate options price. Fourth, the shorter (longer) maturity IV provides critical information to price options for the shorter (longer) horizon. The intraday IV is a new dimension of unobservable volatility in accurately pricing currency options for researchers and practitioners.
Thi Le; Ariful Hoque; Kamrul Hassan. An Open Innovation Intraday Implied Volatility for Pricing Australian Dollar Options. Journal of Open Innovation: Technology, Market, and Complexity 2021, 7, 23 .
AMA StyleThi Le, Ariful Hoque, Kamrul Hassan. An Open Innovation Intraday Implied Volatility for Pricing Australian Dollar Options. Journal of Open Innovation: Technology, Market, and Complexity. 2021; 7 (1):23.
Chicago/Turabian StyleThi Le; Ariful Hoque; Kamrul Hassan. 2021. "An Open Innovation Intraday Implied Volatility for Pricing Australian Dollar Options." Journal of Open Innovation: Technology, Market, and Complexity 7, no. 1: 23.
This research examines the performance of the Islamic stock portfolio (ISP) and conventional stock portfolio (CSP) for the five industrial sectors and market in Malaysia. The capital asset pricing model statistics indicate that the ISP provides a higher return with a lower systematic risk compared to the CSP in different sectors; however, the ISP and CSP perform equally in the market. The non-parametric stochastic dominance approach reveals that the ISP is better than the CSP for portfolio return without considering the riskiness for all sectors except properties; further, the ISP outperforms the CSP under the market condition. Economic significance analysis identifies that the expected financial loss of the ISP is lower than that of the CSP in all sectors other than properties; the anticipated financial loss of the ISP is significantly less than that of the CSP in the market situation. The overall findings imply that the risk-sharing ISP is superior to the risk-bearing CSP for better returns at the sector as well as the market level.
Ariful Hoque; Sharmeen Rakhi; Kamrul Hassan; Thi Le. The Performance of Stock Portfolios: Evidence from Analysing Malaysia Case, and Implication for Open Innovation. Journal of Open Innovation: Technology, Market, and Complexity 2020, 6, 178 .
AMA StyleAriful Hoque, Sharmeen Rakhi, Kamrul Hassan, Thi Le. The Performance of Stock Portfolios: Evidence from Analysing Malaysia Case, and Implication for Open Innovation. Journal of Open Innovation: Technology, Market, and Complexity. 2020; 6 (4):178.
Chicago/Turabian StyleAriful Hoque; Sharmeen Rakhi; Kamrul Hassan; Thi Le. 2020. "The Performance of Stock Portfolios: Evidence from Analysing Malaysia Case, and Implication for Open Innovation." Journal of Open Innovation: Technology, Market, and Complexity 6, no. 4: 178.
This paper uses threshold GARCH (TGARCH) and generalised forecast error variance decomposition to compute time domain and frequency domain volatility spillover. The spillover technique is then applied to Islamic and conventional stock indices and crude oil in BRICS countries (Brazil, Russia, India, China, and South Africa), thus informing investors about the magnitude and speed of the volatility spillover. We find that the total volatility spillover is driven mainly by a long-term component. Accordingly, these assets are suitable for investors with short- and medium-term investment horizons. However, analysis reveals that volatility spillover magnitude and speed increase substantially during the global financial crisis, suggesting that investors in Brazil, Russia, and South Africa with stocks in their portfolio should rebalance promptly. Dynamic covariance analysis shows that covariance between Islamic and conventional stock index returns is the highest and exhibit a significant increase during the crisis period.
Kamrul Hassan; Ariful Hoque; Muammer Wali; Dominic Gasbarro. Islamic stocks, conventional stocks, and crude oil: Directional volatility spillover analysis in BRICS. Energy Economics 2020, 92, 104985 .
AMA StyleKamrul Hassan, Ariful Hoque, Muammer Wali, Dominic Gasbarro. Islamic stocks, conventional stocks, and crude oil: Directional volatility spillover analysis in BRICS. Energy Economics. 2020; 92 ():104985.
Chicago/Turabian StyleKamrul Hassan; Ariful Hoque; Muammer Wali; Dominic Gasbarro. 2020. "Islamic stocks, conventional stocks, and crude oil: Directional volatility spillover analysis in BRICS." Energy Economics 92, no. : 104985.
This study examines the predictive power of implied volatility smirk to forecast foreign exchange (FX) return. The volatility smirk contains critical information, especially when the market experiences negative news. The Australian dollar, Canadian dollar, Swiss franc, Euro, and British pound options traded in the opening, midday and closing periods of the trading day are selected to estimate the currency smirk. Research results reveal that the currency smirk outperforms in forecasting FX returns. In addition, the steeper slope in the middle of the trading day suggests that the predictive power of currency smirk in the midday period is higher compared to the opening and closing periods. However, currency smirks’ predictability lasts for a short period, as the FX market is highly adept at incorporating the vital information embedded in the currency smirk. These findings imply that the currency smirk is distinctive for forecasting very short-term FX fluctuations, and the day- or overnight FX traders can use its uniqueness to profit from quick price swings in the 24-hour global FX market.
Ariful Hoque; Thi Ngoc Quynh Le; Kamrul Hassan. Does currency smirk predict foreign exchange return? Investment Management and Financial Innovations 2020, 17, 219 -230.
AMA StyleAriful Hoque, Thi Ngoc Quynh Le, Kamrul Hassan. Does currency smirk predict foreign exchange return? Investment Management and Financial Innovations. 2020; 17 (3):219-230.
Chicago/Turabian StyleAriful Hoque; Thi Ngoc Quynh Le; Kamrul Hassan. 2020. "Does currency smirk predict foreign exchange return?" Investment Management and Financial Innovations 17, no. 3: 219-230.
Given the alleged uniqueness of Islamic stocks, it is expected that they should provide insurance when faced with adverse market conditions. This expectation is tested by assessing contagion, using 25 Islamic indexes during the period 2007–2017, by employing contemporary econometric techniques. The results reveal robust contagion effects of the financial crisis on Islamic stock indexes. Furthermore, we find Baker and Wurgler's investor sentiment can predict Islamic stock returns during the crisis period. Our findings indicate that Islamic stocks cannot be used as a haven asset during financial turmoil.
Kamrul Hassan; Ariful Hoque; Dominic Gasbarro; Wing-Keung Wong. Are Islamic stocks immune from financial crises? Evidence from contagion tests. International Review of Economics & Finance 2020, 1 .
AMA StyleKamrul Hassan, Ariful Hoque, Dominic Gasbarro, Wing-Keung Wong. Are Islamic stocks immune from financial crises? Evidence from contagion tests. International Review of Economics & Finance. 2020; ():1.
Chicago/Turabian StyleKamrul Hassan; Ariful Hoque; Dominic Gasbarro; Wing-Keung Wong. 2020. "Are Islamic stocks immune from financial crises? Evidence from contagion tests." International Review of Economics & Finance , no. : 1.
This paper explores the dynamic conditional correlation and volatility linkage between Islamic indexes and oil for BRIC countries. Correlations between these assets increase during the global financial crisis for India and China but not for Brazil and Russia. The volatility error forecast variance of all five indexes comes from spillover but is much lower compared to volatility spillover between conventional indexes and oil. Hedging performance of Islamic indexes are superior in India and China compared to conventional indexes in emerging markets. An optimal minimum-variance portfolio without reducing expected return can be achieved by investing in lower weights of BRIC Islamic indexes and oil compared to conventional indexes.
Kamrul Hassan; Ariful Hoque; Dominic Gasbarro. Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis. Energy Economics 2019, 80, 950 -969.
AMA StyleKamrul Hassan, Ariful Hoque, Dominic Gasbarro. Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis. Energy Economics. 2019; 80 ():950-969.
Chicago/Turabian StyleKamrul Hassan; Ariful Hoque; Dominic Gasbarro. 2019. "Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis." Energy Economics 80, no. : 950-969.
The impact of random shocks on the energy consumption of the Gulf Cooperation Council countries is essentially an empirical question which cannot be determined a priori without properly testing the integration properties of this variable. To this aim, we perform testing the unit root properties of this variable using both traditional unit root tests and the recently developed technique of the Fourier transformation function or simply known as the FADF test developed by Enders and Lee (2012), which not only takes into account for the existence of structural breaks but also that of non‐linearity in the energy consumption series of these countries. The results from the traditional unit root tests fail to reject the null hypothesis of non‐stationarity while that of the Fourier ADF unit root test which is more powerful has strongly rejected the null hypothesis of unit root for all the countries except Bahrain and Qatar. In sum, the results from this test indicate that the energy consumption variables of these countries are characterised by a stationary process and this has important policy implications. This suggests that these random shocks will have only a transitory effect on the energy consumption per capita of these countries.
Mohamed Osman; Ariful Hoque; Geoffrey Gachino. Structural Breaks and Energy Consumption in the Gulf Cooperation Council Countries: Are Random Shocks Transitory or Permanent? Australian Economic Papers 2018, 57, 446 -455.
AMA StyleMohamed Osman, Ariful Hoque, Geoffrey Gachino. Structural Breaks and Energy Consumption in the Gulf Cooperation Council Countries: Are Random Shocks Transitory or Permanent? Australian Economic Papers. 2018; 57 (4):446-455.
Chicago/Turabian StyleMohamed Osman; Ariful Hoque; Geoffrey Gachino. 2018. "Structural Breaks and Energy Consumption in the Gulf Cooperation Council Countries: Are Random Shocks Transitory or Permanent?" Australian Economic Papers 57, no. 4: 446-455.
Kamrul Hassan; Ariful Hoque; Dominic Gasbarro. Sovereign default risk linkage: Implication for portfolio diversification. Pacific-Basin Finance Journal 2017, 41, 1 -16.
AMA StyleKamrul Hassan, Ariful Hoque, Dominic Gasbarro. Sovereign default risk linkage: Implication for portfolio diversification. Pacific-Basin Finance Journal. 2017; 41 ():1-16.
Chicago/Turabian StyleKamrul Hassan; Ariful Hoque; Dominic Gasbarro. 2017. "Sovereign default risk linkage: Implication for portfolio diversification." Pacific-Basin Finance Journal 41, no. : 1-16.
This study investigates the dynamic behaviour of macroeconomic time series variables of the United Arab Emirates. We first examined whether there are non-Gaussian characteristics associated with the macroeconomic variables of the United Arab Emirates. Through application of the BDS nonlinearity test, our results indicated that there is a substantial nonlinear dependence in the data set for all the variables. We also assessed the asymmetric behaviour of these variables by exploring whether they exhibit two particular forms of asymmetry, which are deepness and steepness asymmetries. These results have shown that there is no empirical evidence of business cycle asymmetry in all the variables at any conventional level of significance in the sample period. Also, through application of further robust testing, our findings indicate the presence of pro-cyclical asymmetry in some of the variables and at the same time indicate the presence of asymmetries in the volatility.
Mohamed Osman; Ariful Hoque; Kamrul Hassan. Business Cycle Asymmetries and Nonlinearity in UAE Macroeconomic Time Series. Australian Economic Papers 2016, 55, 476 -490.
AMA StyleMohamed Osman, Ariful Hoque, Kamrul Hassan. Business Cycle Asymmetries and Nonlinearity in UAE Macroeconomic Time Series. Australian Economic Papers. 2016; 55 (4):476-490.
Chicago/Turabian StyleMohamed Osman; Ariful Hoque; Kamrul Hassan. 2016. "Business Cycle Asymmetries and Nonlinearity in UAE Macroeconomic Time Series." Australian Economic Papers 55, no. 4: 476-490.
Mohamed Osman; Geoffrey Gachino; Ariful Hoque. Electricity consumption and economic growth in the GCC countries: Panel data analysis. Energy Policy 2016, 98, 318 -327.
AMA StyleMohamed Osman, Geoffrey Gachino, Ariful Hoque. Electricity consumption and economic growth in the GCC countries: Panel data analysis. Energy Policy. 2016; 98 ():318-327.
Chicago/Turabian StyleMohamed Osman; Geoffrey Gachino; Ariful Hoque. 2016. "Electricity consumption and economic growth in the GCC countries: Panel data analysis." Energy Policy 98, no. : 318-327.
Countries in the Middle East and Africa (MEA) have diverse economic structures. Some countries are oil exporters, some are oil importers and some countries are very poor, dependent on agriculture. Since current account is an important indicator of an economy’s health, it is of interest to examine if current account balances in MEA region are sustainable. However, empirical research paid scant attention to this issue. No study has been conducted before to examine this issue. The present paper makes an attempt to fill this research gap by employing panel data model over the period from 1995 to 2014 to examine current account sustainability in MEA countries. We follow intertemporal budget constraint approach and examine long-run relationship between export and import plus interest on net foreign debt. As we work with panel data, we pay special attention to cross-section dependence. We use annual data collected from World Development Indicators. All data (exports, imports and interest on long-term external borrowing) are in current US dollar and expressed as percentage of GDP. Interest payment on long-term external borrowing (also in current US dollar) is used as a proxy for interest on net foreign debt. Panel unit root test to cross-section dependence indicate variables are first-difference stationary. We next use panel cointegration and bootstrap critical values under null hypothesis to accommodate cross-section dependence. Panel cointegration result suggests that current account is sustainable. However, panel cointegrating regression estimation indicates that the value of sustainability coefficient is less than 1 (one), which implies that current account is weakly sustainable. As current account is weakly sustainable, it is desirable to make policy intervention at macro level to ensure strong sustainability. This may be achieved by accelerating ongoing trade reforms in MEA countries to boost export earnings and hence ensure the sustainability of external debt in the long run.
Kamrul Hassan; Ananth Rao; Ariful Hoque. Current account sustainability in Middle East and Africa (MEA) countries: Evidence from panel data. The Journal of Developing Areas 2016, 50, 291 -304.
AMA StyleKamrul Hassan, Ananth Rao, Ariful Hoque. Current account sustainability in Middle East and Africa (MEA) countries: Evidence from panel data. The Journal of Developing Areas. 2016; 50 (6):291-304.
Chicago/Turabian StyleKamrul Hassan; Ananth Rao; Ariful Hoque. 2016. "Current account sustainability in Middle East and Africa (MEA) countries: Evidence from panel data." The Journal of Developing Areas 50, no. 6: 291-304.
Malaysia has been experiencing sustained current account surplus during post-Asian crisis period. Although current account surplus is not as harmful as deficit, it cannot be sustained forever. Moreover, if the surplus is caused by bad reasons, such as, insufficient social insurance, inefficient financial intermediation, then it is reflected in deteriorating external competitiveness through more depreciated real exchange rate. Therefore, examination of current account sustainability is of crucial importance for the long-run health of the economy. Previous studies on Malaysian current account sustainability produce diverse results and leave it as an unsettled issue open to further research. In this backdrop this paper investigates the sustainability of Malaysia’s current account balance for the period 1970 – 2010. This paper employs inter-temporal budget constraint to understand the behavior of exports and imports of Malaysian economy. Autoregressive Distributed Lag (ARDL) method is applied to examine the long cointegrating relation between Malaysian exports and imports plus interest on external borrowing. Advantage of employing the ARDL method is that it does not require the variables to be integrated to the first order. This method can be applied to a set of stationary and nonstationary variables. The paper uses annual data over the periods 1970 – 2010. Export, import and Gross Domestic Product (GDP) data are in current US dollars. Interest payment on long-term external borrowing in US dollars is used as a proxy for interest on net foreign debt. Estimation results indicate that these two variables are cointegrated, which implies that Malaysia’s current account is sustainable in the long run. Strong sustainability requires the coefficient of cointegrating vector to be one. In addition to ARDL method, coefficient of cointegrating vector is estimated by two other methods, namely, fully modified OLS (FMOLS) and dynamic OLS (DOLS). All three estimations show that the long-run coefficient is greater than one. This indicates that in the long-run export increases more than import plus interest on external borrowing. Therefore, if the excess export earnings in the long run cannot be utilized productively current account surplus may not sustain. It is, therefore, concluded that Malaysian current account is weakly sustainable. This findings call for policy intervention at macro level to make efficient utilization of excess saving to boost economic growth through promoting social insurance, facilitating efficient financial intermediation and encouraging private investment.
Kamrul Hassan; Ariful Hoque; Ananth Rao. Sustainability of Malaysian current account balance: Evidence from ardl bounds tests approach. The Journal of Developing Areas 2016, 50, 199 -214.
AMA StyleKamrul Hassan, Ariful Hoque, Ananth Rao. Sustainability of Malaysian current account balance: Evidence from ardl bounds tests approach. The Journal of Developing Areas. 2016; 50 (5):199-214.
Chicago/Turabian StyleKamrul Hassan; Ariful Hoque; Ananth Rao. 2016. "Sustainability of Malaysian current account balance: Evidence from ardl bounds tests approach." The Journal of Developing Areas 50, no. 5: 199-214.
Fisher hypothesis postulates positive relation between stock return and inflation; however early studies document negative relationship between the two and they conclude that stock cannot be used as a hedge against inflation. In this paper we explore long-run nonlinear relationship between stock price and goods price. Our sample consists of 19 OECD countries; all or some of these countries have been studied before with the findings of linear cointegration between the stock index and goods price index. Based on unit root tests and linear cointegration test, we apply threshold cointegration tests, Autoregressive Distributed Lag (ARDL) cointegration test and panel VAR method. With all these econometric methods we arrive at heterogeneous findings as follows: two countries have linear cointegration, five countries have threshold cointegration, nine countries do not have any cointegration and finally two countries provide inconclusive results. Estimates of Fisher coefficient provided by linear and nonlinear cointegration methods, which range between 1.27 and 1.86, are consistent with previous studies. Impulse response analysis from panel VAR for countries having no cointegrating relation shows that shock to inflation produces negative response in stock return, which supports findings of earlier studies.
Kamrul Hassan; Ariful Hoque; Ananth Rao. Revisiting the Link Between Stock Prices and Goods Prices in OECD Countries. Australian Economic Papers 2015, 54, 135 -150.
AMA StyleKamrul Hassan, Ariful Hoque, Ananth Rao. Revisiting the Link Between Stock Prices and Goods Prices in OECD Countries. Australian Economic Papers. 2015; 54 (3):135-150.
Chicago/Turabian StyleKamrul Hassan; Ariful Hoque; Ananth Rao. 2015. "Revisiting the Link Between Stock Prices and Goods Prices in OECD Countries." Australian Economic Papers 54, no. 3: 135-150.
Sustained current account deficit and surplus are not good for an economy. Before 1997 financial crisis South East Asian countries experienced current account deficit, while after the crisis most of them have current account surplus. This paper is motivated by the absence of research on current account sustainability issues in selected crisis affected countries, namely, Indonesia, Malaysia, the Philippines, and Thailand, within the framework of panel cointegration and error correction methods. The paper employs panel unit root, panel cointegration and panel dynamic OLS (PDOLS) methods to assess current account sustainability. Based on an inter-temporal analytical framework the paper examines co-integrating relationship between export as percentage of GDP (indicated by X) and the sum of import and interest on long-term external borrowing, both as percentage of GDP (indicated by MM). The paper also estimates current account sustainability parameter by PDOLS. Annual data from 1970 to 2013 for Indonesia, Malaysia, the Philippines, and Thailand are sourced from World Development Indicator 2012 & 2014. Exports, imports, and GDP data are in current US dollars. The interest payment on long-term external borrowing is used as a proxy for interest on net foreign debt. All variables are expressed as percentage of GDP. Different econometric tests indicate that X and MM are non-stationary at level; however, stationary at first difference. Panel co-integration tests indicate that the variables are co-integrated, which indicates that there is long-run equilibrium relationship between X and MM. Error correction parameter indicates that it takes less than four years to correct short-run disequilibrium. PDOLS estimate shows that the sustainability coefficient is 1 (one).Panel co-integration and PDOLS results together indicate that current accounts in the sample countries are strongly sustainable. This finding is consistent with previous single country study. This finding supports that the current account balance reflects the optimal decisions of the borrowers and lenders; therefore, policy intervention to correct the balance is unwarranted and could reduce welfare. To avoid future crises, policymakers should pay attention to other issues, such as supporting long-term capital flows and liberalizing short-term capital movements.
Kamrul Hassan; Ariful Hoque; Ananth Rao. Sustainability of current account balance in ASEAN countries: Evidence from a panel error correction model. The Journal of Developing Areas 2015, 49, 189 -204.
AMA StyleKamrul Hassan, Ariful Hoque, Ananth Rao. Sustainability of current account balance in ASEAN countries: Evidence from a panel error correction model. The Journal of Developing Areas. 2015; 49 (6):189-204.
Chicago/Turabian StyleKamrul Hassan; Ariful Hoque; Ananth Rao. 2015. "Sustainability of current account balance in ASEAN countries: Evidence from a panel error correction model." The Journal of Developing Areas 49, no. 6: 189-204.
Mixed results on the validity of Purchasing Power Parity (PPP) relationship in South Asian countries motivates this paper to conduct a further inquiry. Existing studies lack appropriate treatment of cross-country dependence in the testing procedure. In this paper we employ a method that allows us to identify the degree of cross-sectional dependence (CSD) and apply panel unit root test to accommodate this dependence on the real exchange rate series of five South Asian countries in the South Asian Association of Regional Cooperation (SAARC) which include Bangladesh, India, Pakistan, Sri Lanka and Nepal. We find evidence of strong cross-country dependence, cross-country correlation being 0.735. Our panel unit test results support the validity of long-run PPP in the sample countries. This result is in contrast to the previous studies in similar countries which did not accommodate CSD in their estimation. This finding implies that real shocks do not have any permanent effect on the real exchange rate and other things remaining the same, no active policy intervention is warranted for the sustainability of external balance.
Kamrul Hassan; Ariful Hoque; Paul Sergius Koku. Purchasing Power Parity in the SAARC Region: Evidence from Unit Root Test with Cross-Sectional Dependence. The Journal of Developing Areas 2015, 49, 129 -137.
AMA StyleKamrul Hassan, Ariful Hoque, Paul Sergius Koku. Purchasing Power Parity in the SAARC Region: Evidence from Unit Root Test with Cross-Sectional Dependence. The Journal of Developing Areas. 2015; 49 (5):129-137.
Chicago/Turabian StyleKamrul Hassan; Ariful Hoque; Paul Sergius Koku. 2015. "Purchasing Power Parity in the SAARC Region: Evidence from Unit Root Test with Cross-Sectional Dependence." The Journal of Developing Areas 49, no. 5: 129-137.
Ariful Hoque; Petko Kalev. Pricing Currency Options with Intra-Daily Implied Volatility. Australasian Business, Accounting and Finance Journal 2015, 9, 43 -56.
AMA StyleAriful Hoque, Petko Kalev. Pricing Currency Options with Intra-Daily Implied Volatility. Australasian Business, Accounting and Finance Journal. 2015; 9 (1):43-56.
Chicago/Turabian StyleAriful Hoque; Petko Kalev. 2015. "Pricing Currency Options with Intra-Daily Implied Volatility." Australasian Business, Accounting and Finance Journal 9, no. 1: 43-56.
Ariful Hoque; Kamrul Hassan. Modelling of a single currency for Australia and New Zealand. Recent Trends in Social and Behaviour Sciences 2014, 407 -410.
AMA StyleAriful Hoque, Kamrul Hassan. Modelling of a single currency for Australia and New Zealand. Recent Trends in Social and Behaviour Sciences. 2014; ():407-410.
Chicago/Turabian StyleAriful Hoque; Kamrul Hassan. 2014. "Modelling of a single currency for Australia and New Zealand." Recent Trends in Social and Behaviour Sciences , no. : 407-410.
Ariful Hoque; Rajabrata Banerjee. The Stationarity of South Asian Real Exchange Rates Allowing for Structural Breaks. Australasian Business, Accounting and Finance Journal 2014, 8, 45 -54.
AMA StyleAriful Hoque, Rajabrata Banerjee. The Stationarity of South Asian Real Exchange Rates Allowing for Structural Breaks. Australasian Business, Accounting and Finance Journal. 2014; 8 (3):45-54.
Chicago/Turabian StyleAriful Hoque; Rajabrata Banerjee. 2014. "The Stationarity of South Asian Real Exchange Rates Allowing for Structural Breaks." Australasian Business, Accounting and Finance Journal 8, no. 3: 45-54.
Purpose – The purpose of this paper is to introduce a model to measure foreign exchange (FX) rate volatility accurately. The FX rate volatility forecasting is a crucial endeavour in financial markets and has gained the attention of researchers and practitioners over the last several decades. The implied volatility (IV) measure is widely believed to be the best measure of exchange rate volatility. Despite its widespread usage, the IV approach suffers from an obvious chicken-egg problem: obtaining an unbiased IV requires the options to be priced correctly and calculating option prices accurately requires an unbiased IV. Design/methodology/approach – The authors contribute to the literature by developing a new model for FX rate volatility – the 'moneyness volatility (MV)'. This approach is based on measuring the variability of forward-looking 'moneyness' rather than use of options price. To assess volatility forecasting performance of MV against IV, the in-sample and out-of-sample tests are involved using the F-test, Granger-Newbold test and Diebold-Mariano framework. Findings – The MV model outperforms the IV in FX rate volatility forecasting ability in both in-sample and out-of-sample tests. The F-test, Granger-Newbold test and Diebold-Mariano test results consistently reveal that MV outperforms IV in estimating as well as forecasting exchange rate volatility for six major currency options. Furthermore, in Mincer-Zarnowitz regressions, MV outperforms IV and time-series models in predicting future volatility. Originality/value – The authors' pioneering approach in modeling exchange rate volatility has far-reaching implications for academicians, professional traders, and financial risk analysts and managers.
Ariful Hoque; Chandrasekhar Krishnamurti. Modeling moneyness volatility in measuring exchange rate volatility. International Journal of Managerial Finance 2012, 8, 365 -380.
AMA StyleAriful Hoque, Chandrasekhar Krishnamurti. Modeling moneyness volatility in measuring exchange rate volatility. International Journal of Managerial Finance. 2012; 8 (4):365-380.
Chicago/Turabian StyleAriful Hoque; Chandrasekhar Krishnamurti. 2012. "Modeling moneyness volatility in measuring exchange rate volatility." International Journal of Managerial Finance 8, no. 4: 365-380.