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Professor Abul Shamsuddin

Professor

Newcastle Business School (Accounting and Finance)

Career Summary

Biography

Abul Shamsuddin is Professor of Finance at the University of Newcastle. He received his PhD from Simon Fraser University, Canada. Abul has held visiting appointments at the Australian National University, Monash University, La Trobe University and Simon Fraser University.

Abul’s main teaching areas are corporate finance, investments and research methods. He has led the development and professional accreditation of the postgraduate finance programs at the University of Newcastle. Abul has previously served as Assistant Dean (Postgraduate) and Director of Postgraduate Business Studies.

His research interests include asset pricing, market efficiency and financial market volatility. Abul has published articles in the Journal of Empirical Finance, Financial Review, International Journal of Forecasting, The Review of Income and Wealth, Journal of International Financial Markets, Institutions & Money, Journal of Development Studies, Applied Economics and Pacific-Basin Finance Journal, among others.

He has co-authored two books entitled Investments: Analysis and Management (John Wiley) and Introducing Corporate Finance (John Wiley).

Research Expertise
My current research interests include asset pricing, market efficiency and financial market volatility.

Teaching Expertise
My teaching interests include Corporate Finance, Investment Analysis and Research Methods.

Administrative Expertise
I have served as Head of Accounting and Finance, Assistant Dean (Postgraduate), Director of Postgraduate Studies, and a member of the Faculty Executive Committee, Faculty Board, Research Committee, and Teaching & Learning Committee, among others.


Qualifications

  • PhD, Simon Fraser University
  • Master of Arts, Simon Fraser University

Keywords

  • Asset Pricing
  • Capital Market Integration
  • Corporate Finance
  • Financial Institutions Management
  • Investment
  • Market Efficiency

Fields of Research

Code Description Percentage
140299 Applied Economics not elsewhere classified 20
150201 Finance 80

Professional Experience

UON Appointment

Title Organisation / Department
Professor University of Newcastle
Newcastle Business School
Australia

Academic appointment

Dates Title Organisation / Department
1/07/2012 -  Professor University of Newcastle
Newcastle Business School
Australia
1/12/2003 - 1/06/2012 Associate Professor University of Newcastle
Business and Law
Australia
1/01/2003 - 1/12/2003 Associate Professor University of New England
Business and Law
1/02/1998 - 1/12/2002 Senior Lecturer University of New England
Business and Law
1/01/1998 - 2/01/1998 Senior Lecturer University of New England
Business and Law
1/08/1993 - 1/12/1997 Lecturer University of New England
Business and Law
1/07/1992 - 1/11/1992 Lecturer University of New England
Business and Law
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Publications

For publications that are currently unpublished or in-press, details are shown in italics.


Book (3 outputs)

Year Citation Altmetrics Link
2008 Beal D, Goyen M, Shamsuddin AF, Introducing Corporate Finance, John Wiley & Sons, Milton, QLD, 744 (2008) [A3]
2007 Jones CP, Shamsuddin AF, Naumann K, Investments: Analysis and Management, John Wiley & Sons, Milton, Qld., 659 (2007) [A3]
2005 Beal D, Goyen M, Shamsuddin AF, Gibson B, Introducing Corporate Finance, John Wiley & Sons Australia, Milton, Queensland, 601 (2005) [A2]

Chapter (1 outputs)

Year Citation Altmetrics Link
1995 Shamsuddin AFM, 'Asset Demand of Immigrant and Canadian-Born Households', Diminishing Returns: The Economics of Canada's Recent Immigration Policy, C. D. Howe Institute, Toronto, Canada 83-112 (1995) [B1]

Journal article (33 outputs)

Year Citation Altmetrics Link
2015 Kim JH, Shamsuddin A, 'A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests', Quantitative Finance, 15 1501-1514 (2015)

This paper examines the return predictability of the US stock market using portfolios sorted by size, book-to-market ratio and industry. We use novel panel variance ratio tests, b... [more]

This paper examines the return predictability of the US stock market using portfolios sorted by size, book-to-market ratio and industry. We use novel panel variance ratio tests, based on the wild bootstrap proposed in this paper, which exhibit desirable size and power properties in small samples. We have found evidence that stock returns have been highly predictable from 1964 to 1996, except for a period leading to the 1987 crash and its aftermath. After 1997, stock returns have been unpredictable overall. At a disaggregated level, we find evidence that large-cap portfolios have been priced more efficiently than small- or medium-cap portfolios; and that the stock returns from high-tech industries are far less predictable than those from non-high-tech industries.

DOI 10.1080/14697688.2014.1002419
2015 Katusiime L, Shamsuddin A, Agbola FW, 'Macroeconomic and market microstructure modelling of Ugandan exchange rate', Economic Modelling, 45 175-186 (2015)

This paper empirically investigates the usefulness of a hybrid model consisting of macroeconomic fundamentals and market microstructure variables in examining the dynamics of the ... [more]

This paper empirically investigates the usefulness of a hybrid model consisting of macroeconomic fundamentals and market microstructure variables in examining the dynamics of the Uganda shilling/US dollar foreign exchange rates. We employ macroeconomic fundamentals that are guided by the monetary model of exchange rates and market microstructure related frictions represented by order flow and bid-ask spreads to track long-run and short-run movements in exchange rates, respectively. Utilising the ARDL framework, we estimate the model using monthly data spanning the period January 1995 to March 2013. We find that our hybrid model is robust to alternative model specifications and provides an adequate framework to explain the dynamics of the Uganda shilling/US dollar foreign exchange rates.

DOI 10.1016/j.econmod.2014.10.059
Co-authors Frank Agbola
2015 Katusiime L, Shamsuddin A, Agbola FW, 'Foreign exchange market efficiency and profitability of trading rules: Evidence from a developing country', International Review of Economics and Finance, 35 315-332 (2015)

This paper empirically investigates market efficiency and trading rule profitability of the Ugandan foreign exchange market for the period January 1994 to June 2012. We test for m... [more]

This paper empirically investigates market efficiency and trading rule profitability of the Ugandan foreign exchange market for the period January 1994 to June 2012. We test for market efficiency using a battery of variance ratio tests with superior size and power properties. We find that the Ugandan foreign exchange market is characterised by pricing inefficiency, except for a few brief episodes of efficiency. We also find that the Buy signals outperform the Sell signals in correctly predicting exchange rate movements, and yield higher returns. Investors can earn excess returns over a buy-and-hold strategy using trading rules but these returns diminish substantially after accounting for transaction costs. We conclude that the Ugandan foreign exchange market is generally characterised by weak-form inefficiency. However, market participants are unable to consistently exploit pricing inefficiencies due to transaction costs and time variation in the inefficiencies under changing market conditions. Our finding of time variation in market efficiency is consistent with the adaptive market hypothesis of Lo (2004).

DOI 10.1016/j.iref.2014.10.003
Co-authors Frank Agbola
2015 Kim JH, Shamsuddin A, 'A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests', Quantitative Finance, (2015)

This paper examines the return predictability of the US stock market using portfolios sorted by size, book-to-market ratio and industry. We use novel panel variance ratio tests, b... [more]

This paper examines the return predictability of the US stock market using portfolios sorted by size, book-to-market ratio and industry. We use novel panel variance ratio tests, based on the wild bootstrap proposed in this paper, which exhibit desirable size and power properties in small samples. We have found evidence that stock returns have been highly predictable from 1964 to 1996, except for a period leading to the 1987 crash and its aftermath. After 1997, stock returns have been unpredictable overall. At a disaggregated level, we find evidence that large-cap portfolios have been priced more efficiently than small- or medium-cap portfolios; and that the stock returns from high-tech industries are far less predictable than those from non-high-tech industries.

DOI 10.1080/14697688.2014.1002419
2015 Xiang D, Shamsuddin A, Worthington AC, 'The differing efficiency experiences of banks leading up to the global financial crisis: A comparative empirical analysis from Australia, Canada and the UK', Journal of Economics and Finance, 39 327-346 (2015)
DOI 10.1007/s12197-013-9258-y
2014 Akhtaruzzaman MD, Docherty P, Shamsuddin AFM, 'Interest rate, size and book-to-market effects in Australian financial firms', Applied Economics, 46 3005-3020 (2014) [C1]
DOI 10.1080/00036846.2014.920478
Co-authors Md Akhtaruzzaman, Paul Docherty
2014 Shamsuddin A, 'Are Dow Jones Islamic equity indices exposed to interest rate risk?', ECONOMIC MODELLING, 39 273-281 (2014) [C1]
DOI 10.1016/j.econmod.2014.03.007
Citations Scopus - 4Web of Science - 2
2014 Wu Q, Shamsuddin A, 'Investor attention, information diffusion and industry returns', Pacific Basin Finance Journal, 30 30-43 (2014) [C1]

Using the monthly data for more than 1700 Australian stocks over the period from 1990 to 2009, we investigate whether industry portfolio returns predict the aggregate market. We f... [more]

Using the monthly data for more than 1700 Australian stocks over the period from 1990 to 2009, we investigate whether industry portfolio returns predict the aggregate market. We find that a few industries significantly lead the market even controlling for well-recognized market predictors. However, unlike U.S. studies, we do not find that the ability of an industry to predict the market is closely related to its propensity to forecast economic growth. Instead, we find that the capacity of an industry to lead the market is significantly moderated by proxies for investor attention. In general, more neglected industries are more informative in leading the markets due to delayed investor attention to the information content of these industries; and the information contained in industry portfolio returns is incorporated into the market return more slowly during economic recession when investors pay less attention to the stock markets. Our research provides new empirical evidence in support of the gradual information diffusion hypothesis from a market that differs from the U.S. stock market. © 2014.

DOI 10.1016/j.pacfin.2014.06.002
2014 Akhtaruzzaman MD, Shamsuddin AFM, Easton S, 'Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms', Journal of International Financial Markets, Institutions and Money, 31 378-396 (2014) [C1]
DOI 10.1016/j.intfin.2014.04.006
Co-authors Steve Easton, Md Akhtaruzzaman
2012 Shamsuddin AF, Xiang D, 'Does bank efficiency matter? Market value relevance of bank efficiency in Australia', Applied Economics, 44 3563-3572 (2012) [C1]
Citations Scopus - 6Web of Science - 4
2012 Ahmad S, Shamsuddin AF, Treadgold M, 'A monetary analysis of foreign exchange market disequilibrium in Fiji', International Journal of Economic Policy in Emerging Economies, 5 66-81 (2012) [C1]
2011 Kim JH, Shamsuddin AF, Lim K-P, 'Stock return predictability and the adaptive markets hypothesis: Evidence from century-long US data', Journal of Empirical Finance, 18 868-879 (2011) [C1]
DOI 10.1016/j.jempfin.2011.08.002
Citations Scopus - 31Web of Science - 23
2010 Shamsuddin AF, Kim JH, 'Short-horizon return predictability in international equity markets', Financial Review, 45 469-484 (2010) [C1]
DOI 10.1111/j.1540-6288.2010.00256.x
2009 Shamsuddin AF, 'Interest rate and foreign exchange risk exposures of Australian banks: A note', The International Journal of Banking and Finance, 6 129-138 (2009) [C1]
2008 Kim JH, Shamsuddin AF, 'Are Asian stock markets efficient? Evidence from new multiple variance ratio tests', Journal of Empirical Finance, 15 518-532 (2008) [C1]
DOI 10.1016/j.jempfin.2007.07.001
Citations Scopus - 68Web of Science - 37
2005 Azmi WNW, Haron S, Shamsuddin AF, 'Capital Control and Stock Market Interdependencies: The Malaysian Experience', The Global Journal of Finance and Economics, 2 87-101 (2005) [C1]
2004 Moosa IA, Shamsuddin AF, 'Expectation formation mechanisms, profitability of foreign exchange trading and exchange rate volatility', Applied Economics, 36 1599-1606 (2004) [C1]
DOI 10.1080/0003684042000217977
Citations Scopus - 4Web of Science - 4
2004 Shamsuddin AF, Hillier JR, 'Fundamental determinants of the Australian price - earnings multiple', Pacific-Basin Finance Journal, 12 565-576 (2004) [C1]
DOI 10.1016/j.pacfin.2004.02.001
Citations Scopus - 1
2003 Moosa I, Shamsuddin AFM, 'Heterogeneity of Traders as a Source of Exchange Rate Volatility', Journal of Financial Studies, 11 43-69 (2003) [C1]
2003 Shamsuddin AFM, Kim JH, 'Integration and interdependence of stock and foreign exchange markets: An Australian perspective', Journal of International Financial Markets, Institutions and Money, 13 237-254 (2003)
DOI 10.1016/S1042-4431(02)00046-X
Citations Scopus - 10
2003 Shamsuddin AFM, Kim JH, 'Integration and interdependence of stock and foreign exchange markets: An Australian perspective', Journal of International Financial Markets, Institutions and Money, 13 237-254 (2003) [C1]

This paper examines the integration of the Australian stock market with its two leading trading partners, the US and Japan. In investigating the extent of integration, this study ... [more]

This paper examines the integration of the Australian stock market with its two leading trading partners, the US and Japan. In investigating the extent of integration, this study takes into account the interdependence between foreign exchange rates and stock prices, since exchange rates influence international competitiveness of firms, and, via interest rates, the cost of capital. The results indicate that there was a stable long-run relationship among the Australian, US and Japanese markets prior to the Asian crisis but that this relationship disappeared in the post-Asian crisis period. An analysis of the short-run dynamic linkages among markets suggests that, following the Asian crisis, the US influence on the Australian market diminished while the influence of Japan remained at a modest level. Furthermore, the impulse response analysis indicates only a contemporaneous transmission of shocks from one market to other markets. Confidence intervals for impulse responses are estimated using the bootstrap-after-bootstrap method. © 2002 Elsevier Science B.V. All rights reserved.

DOI 10.1016/S1042-4431(02)00046-X
Citations Scopus - 11
2001 Nahid A, Shamsuddin AFM, 'Immigration and the unemployment benefit programme in Australia', APPLIED ECONOMICS, 33 1587-1597 (2001) [C1]
DOI 10.1080/00036840010014021
Citations Scopus - 4Web of Science - 2
2001 Shamsuddin AFM, 'Public pension and wealth inequality in Canada', APPLIED ECONOMICS LETTERS, 8 315-320 (2001)
DOI 10.1080/135048501750157503
Citations Scopus - 3Web of Science - 4
2001 Shamsuddin A, 'Public Pension Benefits and Distribution of Household Wealth in Canada', Applied Economics Letters, 8(5), 315-320, 2001., 315-320 (2001) [C1]
1999 Shamsuddin AFM, 'Labour Supply of Immigrant Women in Australia', Australian Journal of Labour Economics: a journal of labour economics and labour relations, 2 105-134 (1999) [C1]
1998 Shamsuddin AFM, 'The double-negative effect on the earnings of foreign-born females in Canada', APPLIED ECONOMICS, 30 1187-1201 (1998) [C1]
DOI 10.1080/000368498325084
Citations Scopus - 11Web of Science - 8
1998 Begum S, Shamsuddin AFM, 'Exports and economic growth in Bangladesh', JOURNAL OF DEVELOPMENT STUDIES, 35 89-114 (1998) [C1]
DOI 10.1080/00220389808422556
Citations Scopus - 10Web of Science - 8
1998 Shamsuddin AFM, DeVoretz DJ, 'Wealth accumulation of Canadian and foreign-born households in Canada', REVIEW OF INCOME AND WEALTH, 515-533 (1998) [C1]
Citations Web of Science - 10
1997 Holmes R, Shamsuddin AFM, 'Short- and long-term effects of World Exposition 1986 on US demand for British Columbia tourism', Tourism Economics: the business and finance of tourism and recreation, 3 137-160 (1997) [C1]
1997 Shamsuddin AFM, Holmes R, 'Cointegration Test of the Monetary Theory of Inflation and Forecasting Accuracy of the Univariate and Vector ARMA Models of Inflation', Journal of Economic Studies, 24 294-306 (1997) [C1]
1996 Shamsuddin AFM, 'The Effect of Unionisation on the Gender Earnings Gap in Canada: 1971-1981', Applied Economics, 28 1405-1413 (1996) [C1]
Citations Scopus - 1Web of Science - 2
1994 Shamsuddin AFM, 'Economic Determinants of Foreign Direct Investment in Less Developed Countries', Pakistan Development Review, 33 44-51 (1994) [C1]
1993 Holmes R, Shamsuddin AFM, 'Evaluation of Alternative Leading Indicators of British Columbia Industrial Employment', International Journal of Forecasting, 9 77-83 (1993) [C1]
Citations Web of Science - 1
Show 30 more journal articles

Conference (13 outputs)

Year Citation Altmetrics Link
2011 Shamsuddin AF, 'Are Dow Jones Islamic equity indices exposed to interest rate risk?', 2011 International Finance and Banking Society (IFABS) Conference, Rome (2011) [E1]
2011 Xiang D, Shamsuddin AF, Worthington AC, 'A comparative technical, cost and profit efficiency analysis of Australian, Canadian and UK banks: Feasible efficiency improvements in the context of controllable and uncontrollable factors', 24th Australasian Finance and Banking Conference 2011 Proceedings, Sydney (2011) [E1]
2010 Wu Q, Shamsuddin AF, 'Do industries lead the stock market in Australia? An examination of the gradual information diffusion hypothesis', 23rd Australasian Finance and Banking Conference 2010, Sydney, NSW (2010) [E1]
DOI 10.2139/ssrn.1663732
2010 Kim JH, Lim K-P, Shamsuddin AF, 'Stock return predictability and the adaptive markets hypothesis: Evidence from century long U.S. data', Finance and Corporate Governance Conference 2010. Conference Papers, Melbourne, Vic (2010) [E1]
DOI 10.2139/ssrn.1541639
2009 Xiang D, Shamsuddin AF, 'Does efficiency matter? Efficiency of Australian banks and links to stock returns', 22nd Australasian Finance and Banking Conference 2009, Sydney, NSW (2009) [E1]
2009 Xiang D, Shamsuddin AF, 'Efficiency and stock market performance of Australian banks', Asian Finance Association 2009 International Conference: Conference Program, Brisbane, QLD (2009) [E1]
2009 Shamsuddin AF, Kim JH, 'What drives international equity market efficiency?', Southwestern Finance Association Proceedings, Oklahoma City, OK (2009) [E1]
2009 Shamsuddin AF, 'Asymmetric volatility in emerging south Asian equity markets', Southwestern Finance Association Proceedings, Oklahoma City, OK (2009) [E1]
2008 Shamsuddin AF, 'Risk exposure of Australian financial institutions', 4th International Conference on Banking and Finance: Proceedings, Langkawi Island, Malaysia (2008) [E2]
2007 Shamsuddin AF, 'Market confidence, trading volume and the stock market valuation multiple', Proceedings of the 4th Annual Conference of the Applied Business and Entrepreneurship Association International, Maui, Hawaii (2007) [E1]
2005 Quazi AM, Shamsuddin AF, 'A Conceptual Exploration of Antecedents and Outcomes of Socially Responsible Investment in Equity Market', ANZMAC 2005 Broadening the Boundaries, University of Western Australia (2005) [E1]
2005 Shamsuddin AF, Azmi WNW, Haron S, 'Capital Control and International Price Interdependence: Evidence from the Southeast Asia Countries', 12th Global Finance Conference Proceedings, Trinity College Dublin, Ireland (2005) [E1]
2005 Azmi WNW, Shamsuddin AF, Haron S, 'Capital Control and International Price Interdependence: Evidence from the Southeast Asia Countries', 12th Global Finance Conference Proceedings, Trinity College, Dublin (2005) [E1]
Show 10 more conferences
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Grants and Funding

Summary

Number of grants 4
Total funding $25,280

Click on a grant title below to expand the full details for that specific grant.


20071 grants / $1,700

Applied Budinsss and Entrepreneurship Association International, Maui, Hawaii, 16/11/2007 - 20/11/2007$1,700

Funding body: University of Newcastle

Funding body University of Newcastle
Project Team Professor Abul Shamsuddin
Scheme Travel Grant
Role Lead
Funding Start 2007
Funding Finish 2007
GNo G0188368
Type Of Funding Internal
Category INTE
UON Y

20051 grants / $1,580

A conceptual exporlation of antecedents and outcomes of socially responsible investment in equity market, 5-7 December 2005$1,580

Funding body: University of Newcastle

Funding body University of Newcastle
Project Team Professor Abul Shamsuddin
Scheme Travel Grant
Role Lead
Funding Start 2005
Funding Finish 2005
GNo G0186090
Type Of Funding Internal
Category INTE
UON Y

20041 grants / $10,000

A market-based risk evaluation model for Australian banks$10,000

Funding body: University of Newcastle

Funding body University of Newcastle
Project Team Professor Abul Shamsuddin
Scheme New Staff Grant
Role Lead
Funding Start 2004
Funding Finish 2004
GNo G0184843
Type Of Funding Internal
Category INTE
UON Y

20031 grants / $12,000

Assessment of Bank Risk$12,000

Funding body: University of New England

Funding body University of New England
Project Team
Scheme Unknown
Role Lead
Funding Start 2003
Funding Finish 2003
GNo
Type Of Funding Internal
Category INTE
UON Y
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Research Supervision

Number of supervisions

Completed5
Current9

Total current UON EFTSL

PhD4.64

Current Supervision

Commenced Level of Study Research Title / Program / Supervisor Type
2015 PhD Risk and Efficiency of Islamic and Conventional Banks
Accounting, Faculty of Business and Law, The University of Newcastle
Principal Supervisor
2014 PhD Liquidity and Systematic Risk in the US Loan Market
Accounting, Faculty of Business and Law, The University of Newcastle
Principal Supervisor
2013 PhD Stock Return Anomalies in Emerging Markets
Accounting, Faculty of Business and Law, The University of Newcastle
Principal Supervisor
2013 PhD Return Predictability of Emerging Stock Markets Using Combination Forecast and Regime Switching Models
Accounting, Faculty of Business and Law, The University of Newcastle
Principal Supervisor
2013 PhD Return Predictability in South Asian Stock Markets
Accounting, Faculty of Business and Law, The University of Newcastle
Principal Supervisor
2012 PhD Asset Pricing Factors in Malaysian Equity Returns
Accounting, Faculty of Business and Law, The University of Newcastle
Principal Supervisor
2012 PhD Essays on Equity Market Efficiency in Malaysia
Accounting, Faculty of Business and Law, The University of Newcastle
Principal Supervisor
2012 PhD Corporate Share Float Pricing, Information Asymmetries, Corporate Governance Signalling and Associated Issues
Accounting, Faculty of Business and Law, The University of Newcastle
Principal Supervisor
2011 PhD Three Empirical Essays on the Ugandan Foreign Exchange Market
Economics, Faculty of Business and Law, The University of Newcastle
Principal Supervisor

Past Supervision

Year Level of Study Research Title / Program / Supervisor Type
2015 PhD Determinants of Dividend Policy - International Evidence: 1990 to 2010
Accounting, Faculty of Business and Law, The University of Newcastle
Co-Supervisor
2013 PhD Interest Rate Risk of Australian Financial Firms
Accounting, Faculty of Business and Law, The University of Newcastle
Principal Supervisor
2012 Masters Risk Exposure of Islamic Financial Institutions: Evidence of Gulf Co-operation Council Countries
Accounting, Faculty of Business and Law, The University of Newcastle
Principal Supervisor
2011 PhD Asset Pricing in Australia
Accounting, Faculty of Business and Law, The University of Newcastle
Co-Supervisor
2011 PhD Efficiency of Australian Banks: Its Determinants and Stock Price Relevance
Accounting, Faculty of Business and Law, The University of Newcastle
Principal Supervisor
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Professor Abul Shamsuddin

Position

Professor
Newcastle Business School
Faculty of Business and Law

Focus area

Accounting and Finance

Contact Details

Email abul.shamsuddin@newcastle.edu.au
Phone (02) 4921 6118
Fax (02) 4921 6911

Office

Room SRS 113
Building Social Science Building
Location Callaghan
University Drive
Callaghan, NSW 2308
Australia
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