2023 |
Hossain A, Bose S, Shamsuddin A, 'Diffusion of Integrated Reporting, Insights, and Potential Avenues for Future Research', Accounting and Finance [ABDC Rank: A], 1-72 (2023) [C1]
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Nova |
2023 |
Kim JH, Shamsuddin A, 'Stock market anomalies: An extreme bounds analysis', International Review of Financial Analysis, 90 (2023) [C1]
We conduct the extreme bounds analysis (EBA) to evaluate the robustness or fragility of a range of stock market anomalies, using U.S. daily data from 1960 to 2023. The EBA is a la... [more]
We conduct the extreme bounds analysis (EBA) to evaluate the robustness or fragility of a range of stock market anomalies, using U.S. daily data from 1960 to 2023. The EBA is a large-scale sensitivity analysis, able to isolate the effects of potential data-mining or p-hacking under model uncertainty. The anomalies covered include the effects of Halloween, sports event, seasonal affective disorder, weather, political cycle, daylight saving, and lunar phase. We find that the empirical evidence for the anomalies is highly fragile, in terms of effect size estimates and their statistical significance.
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Nova |
2022 |
Safiullah M, Shamsuddin A, 'Technical efficiency of Islamic and conventional banks with undesirable output: Evidence from a stochastic meta-frontier directional distance function', Global Finance Journal, 51 (2022) [C1]
We examine technical efficiency of Islamic and conventional banks. We contribute to the literature by applying a stochastic meta-frontier directional distance function model with ... [more]
We examine technical efficiency of Islamic and conventional banks. We contribute to the literature by applying a stochastic meta-frontier directional distance function model with undesirable output, which helps to overcome misestimating technical efficiency. For a sample of banks from 28 countries, we find that a typical Islamic bank is less technically efficient compared to its conventional counterpart. This is due to Islamic banks using less advanced technology compared to conventional banks rather than group-specific technical inefficiency. The findings are robust across six geographical regions of the world.
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Nova |
2022 |
He R, Luo L, Shamsuddin A, Tang Q, 'Corporate carbon accounting: a literature review of carbon accounting research from the Kyoto Protocol to the Paris Agreement', Accounting and Finance, 62 261-298 (2022) [C1]
This paper describes the development of and gaps in knowledge in research on carbon accounting based on a systematic review of 117 papers published in influential accounting journ... [more]
This paper describes the development of and gaps in knowledge in research on carbon accounting based on a systematic review of 117 papers published in influential accounting journals between 2005 and 2018. The review shows the literature has developed into four major streams of carbon accounting: carbon disclosure, management, performance and assurance, and that carbon accounting is emerging as a distinct discipline. Finally, our paper highlights future research opportunities to improve carbon accounting, so it can play an even more important role to help business achieve the climate goals of the Paris Agreement.
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Nova |
2021 |
He R, Luo L, Shamsuddin A, Tang Q, 'The Value Relevance of Corporate Investment in Carbon Abatement: The Influence of National Climate Policy', EUROPEAN ACCOUNTING REVIEW, 31 1233-1261 (2021) [C1]
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Nova |
2021 |
Bose S, Ali MJ, Hossain S, Shamsuddin A, 'Does CEO Audit Committee/Board Interlocking Matter for Corporate Social Responsibility?', Journal of Business Ethics (ABDC Rank: A), 179 819-847 (2021) [C1]
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Nova |
2021 |
Farah T, Li J, Li Z, Abul S, 'The non-linear effect of CSR on firms? systematic risk: International evidence q', JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 71 (2021) [C1]
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Nova |
2021 |
Safiullah M, Shamsuddin A, 'Asset pricing factors in Islamic equity returns', International Review of Finance, 21 523-554 (2021) [C1]
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Nova |
2020 |
Hartnett NA, Shamsuddin A, 'Initial public offer pricing, corporate governance and contextual relevance: Australian evidence', Accounting and Finance, 60 335-372 (2020) [C1]
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Nova |
2020 |
Kim JH, Shamsuddin A, 'A bootstrap test for predictability of asset returns', Finance Research Letters, 35 1-7 (2020) [C1]
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Nova |
2019 |
Bahrami A, Shamsuddin A, Uylangco K, 'Are advanced emerging market stock returns predictable? A regime-switching forecast combination approach', Pacific Basin Finance Journal, 55 142-160 (2019) [C1]
Advanced emerging markets (AEMs) transitioning into developed markets experience far-reaching economic and institutional changes. Developing predictive models of stock returns in ... [more]
Advanced emerging markets (AEMs) transitioning into developed markets experience far-reaching economic and institutional changes. Developing predictive models of stock returns in AEMs involves challenges of parameter instability and model uncertainty. This study uses Markov regime switching (MRS) models to address parameter instability and a combination forecast approach to mitigate model uncertainty. We find that the MRS model better captures the effects of predictor variables on returns compared to models with time-invariant parameters and produces statistically and economically significant return forecasts. Combining return forecasts from different MRS models further improves return predictability in AEMs. Consequently, employing MRS models in conjunction with the combination forecast approach goes a long way to improving forecast accuracy in AEMs.
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Nova |
2019 |
Kim JH, Rahman ML, Shamsuddin A, 'Can energy prices predict stock returns? An extreme bounds analysis', ENERGY ECONOMICS, 81 822-834 (2019) [C1]
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Nova |
2019 |
Rahman ML, Shamsuddin A, Lee D, 'Predictive power of dividend yields and interest rates for stock returns in South Asia: Evidence from a bias-corrected estimator', International Review of Economics and Finance, 62 267-286 (2019) [C1]
Predictive models of stock returns are often criticized for generating spurious predictability, unstable predictive relationship, and poor out-of-sample forecasting performance. T... [more]
Predictive models of stock returns are often criticized for generating spurious predictability, unstable predictive relationship, and poor out-of-sample forecasting performance. This paper addresses these issues in the context of four major South Asian equity markets. We provide a bias-corrected estimate of the relationship of future stock returns to dividend yield and interest rate. We use a restricted vector autoregressive model, draw statistical inferences from a wild-bootstrap method with superior size and power properties, and allow model parameters to vary over time. Dividend yield is a significant predictor in both in- and out-of-sample (OOS)in two countries, while interest rate exhibits significant predictability in all four markets. Imposing theoretically motivated restrictions on model parameters appears to improve OOS predictability. Finally, time-variation in return predictability is found to be linked to countercyclical risk premium and persistence of the predictor variables.
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Nova |
2019 |
Safiullah M, Shamsuddin A, 'Risk-adjusted efficiency and corporate governance: Evidence from Islamic and conventional banks', Journal of Corporate Finance, 55 105-140 (2019) [C1]
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Nova |
2019 |
Rahman ML, Shamsuddin A, 'Investor sentiment and the price-earnings ratio in the G7 stock markets', Pacific-Basin Finance Journal, 55 46-62 (2019) [C1]
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Nova |
2018 |
Safiullah M, Shamsuddin A, 'Risk in Islamic banking and corporate governance', Pacific-Basin Finance Journal, 47 129-149 (2018) [C1]
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Nova |
2018 |
Seif M, Docherty P, Shamsuddin A, 'Limits to arbitrage and the MAX anomaly in advanced emerging markets', Emerging Markets Review, 36 95-109 (2018) [C1]
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Nova |
2018 |
Bahrami A, Shamsuddin A, Uylangco K, 'Out-of-Sample Stock Return Predictability in Emerging Markets', Accounting and Finance, 58 727-750 (2018) [C1]
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Nova |
2017 |
Akhtaruzzaman M, Shamsuddin A, 'Australian financial firms' exposures to the level, slope, and curvature of the interest rate term structure', APPLIED ECONOMICS, 49 1855-1874 (2017) [C1]
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Nova |
2017 |
Anthony J, Docherty P, Lee D, Shamsuddin A, 'Liquidity commonality in the secondary corporate loan market', Economics Letters, 161 10-14 (2017) [C1]
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Nova |
2017 |
Anthony J, Docherty P, Lee D, Shamsuddin A, 'Liquidity shocks in the secondary corporate loan market', Journal of Fixed Income, 26 53-72 (2017) [C1]
This article examines the influence of liquidity risk on the U.S. secondary corporate loan market (herein loan market). The authors empirically disentangle the impact of both loan... [more]
This article examines the influence of liquidity risk on the U.S. secondary corporate loan market (herein loan market). The authors empirically disentangle the impact of both loan-level liquidity shocks and systematic liquidity risk from default risk. Loans that experience shocks to either liquidity or default risk experience ongoing price declines, complementing evidence presented elsewhere of price momentum in loan markets. The prices of loans with high liquidity risk are significantly discounted when market liquidity is low, consistent with the time-varying funding liquidity constraints of financial intermediaries. In keeping with a close link between high risk debt markets and equity markets, there is evidence that equity market risk is priced in the loan market.
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Nova |
2017 |
Seif M, Docherty P, Shamsuddin A, 'Seasonal anomalies in advanced emerging stock markets', Quarterly Review of Economics and Finance, 66 169-181 (2017) [C1]
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Nova |
2017 |
Rahman MD, Lee D, Shamsuddin AFM, Shamsuddin A, 'Time-varying return predictability in South Asian equity markets', International Review of Economics & Finance, 48 179-200 (2017) [C1]
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Nova |
2016 |
Katusiime L, Agbola FW, Shamsuddin A, 'Exchange rate volatility economic growth nexus in Uganda', Applied Economics, 48 2428-2442 (2016) [C1]
The global financial crisis has disrupted trade and capital flows in most developing economies, resulting in an increased volatility of exchange rates. We develop an autoregressiv... [more]
The global financial crisis has disrupted trade and capital flows in most developing economies, resulting in an increased volatility of exchange rates. We develop an autoregressive distributed lag model to investigate the effect of exchange rate volatility on economic growth in Uganda. Using data spanning the period 1960¿2011, we find that exchange rate volatility positively affects economic growth in Uganda in both the short run and the long run. However, in the short run, political instability negatively moderates the exchange rate volatility¿economic growth nexus. These results are robust to alternative specifications of the economic growth model.
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Nova |
2016 |
Akhtaruzzaman M, Shamsuddin ABUL, 'International contagion through financial versus non-financial firms', Economic Modelling, 59 143-163 (2016) [C1]
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Nova |
2015 |
Shamsuddin A, Kim JH, 'Market sentiment and the Fama-French factor premia', Economics Letters, 136 129-132 (2015) [C1]
We report new evidence that factor premia have strong dynamic effects on a range of sentiment measures, while the reverse effect is weak and only contemporaneous. Our analysis tak... [more]
We report new evidence that factor premia have strong dynamic effects on a range of sentiment measures, while the reverse effect is weak and only contemporaneous. Our analysis takes explicit account of endogeneity of sentiment measures to factor premia, and adopts statistical inference robust to non-normality and heteroscedasticity, which are largely neglected in the previous studies.
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Nova |
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) [C1]
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.
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Nova |
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) [C1]
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).
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Nova |
2015 |
Katusiime L, Shamsuddin A, Agbola FW, 'Macroeconomic and market microstructure modelling of Ugandan exchange rate', Economic Modelling, 45 175-186 (2015) [C1]
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.
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Nova |
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) [C1]
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Nova |
2015 |
Pang RWF, Shamsuddin AFM, 'Board leadership structure and performance of chinese firms in Singapore', Corporate Ownership and Control, 12 617-629 (2015) [C1] |
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Nova |
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.
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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]
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Nova |
2014 |
Shamsuddin A, 'Are Dow Jones Islamic equity indices exposed to interest rate risk?', ECONOMIC MODELLING, 39 273-281 (2014) [C1]
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Nova |
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]
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Nova |
2012 |
Shamsuddin AF, Xiang D, 'Does bank efficiency matter? Market value relevance of bank efficiency in Australia', Applied Economics, 44 3563-3572 (2012) [C1]
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Nova |
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]
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Nova |
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]
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Nova |
2010 |
Shamsuddin AF, Kim JH, 'Short-horizon return predictability in international equity markets', Financial Review, 45 469-484 (2010) [C1]
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Nova |
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] |
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Nova |
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]
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Nova |
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] |
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2004 |
Moosa IA, Shamsuddin AF, 'Expectation formation mechanisms, profitability of foreign exchange trading and exchange rate volatility', Applied Economics, 36 1599-1606 (2004) [C1]
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Nova |
2004 |
Shamsuddin AF, Hillier JR, 'Fundamental determinants of the Australian price - earnings multiple', Pacific-Basin Finance Journal, 12 565-576 (2004) [C1]
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Nova |
2003 |
Moosa I, Shamsuddin AFM, 'Heterogeneity of Traders as a Source of Exchange Rate Volatility', Journal of Financial Studies, 11 43-69 (2003) [C1] |
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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.
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Nova |
2001 |
Nahid A, Shamsuddin AFM, 'Immigration and the unemployment benefit programme in Australia', APPLIED ECONOMICS, 33 1587-1597 (2001) [C1]
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2001 |
Shamsuddin AFM, 'Public pension and wealth inequality in Canada', APPLIED ECONOMICS LETTERS, 8 315-320 (2001)
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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] |
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1998 |
Shamsuddin AFM, 'The double-negative effect on the earnings of foreign-born females in Canada', APPLIED ECONOMICS, 30 1187-1201 (1998) [C1]
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1998 |
Begum S, Shamsuddin AFM, 'Exports and economic growth in Bangladesh', JOURNAL OF DEVELOPMENT STUDIES, 35 89-114 (1998) [C1]
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1998 |
Shamsuddin AFM, DeVoretz DJ, 'Wealth accumulation of Canadian and foreign-born households in Canada', REVIEW OF INCOME AND WEALTH, 515-533 (1998) [C1]
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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]
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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] |
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1997 |
Shamsuddin AFM, 'The Indian economy 1947-92, Vol 2, Population, poverty and employment', SOUTH ASIA-JOURNAL OF SOUTH ASIAN STUDIES, 20 143-144 (1997) |
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1996 |
Shamsuddin AFM, 'The Effect of Unionisation on the Gender Earnings Gap in Canada: 1971-1981', Applied Economics, 28 1405-1413 (1996) [C1]
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1994 |
Shamsuddin AFM, 'Economic determinants of foreign direct investment in less developed countries', Pakistan Development Review, 33 41-51 (1994)
This study examines the economic determinants of private foreign direct investment (FDI) by using a single-equation econometric model for 36 LDCs for the year 1983. The market siz... [more]
This study examines the economic determinants of private foreign direct investment (FDI) by using a single-equation econometric model for 36 LDCs for the year 1983. The market size of the host country as measured by per capita GDP is found to be the most important factor in attracting FDI. Other variables which influence FDI are found to be the cost factor and the investment climate in the host country. The inflow of per capita public aid and economic instability, proxied by the volatility of prices, are other factors affecting the flow of FDI. While larger market size and increased inflow of public aid attract FDI, the higher wage cost, poor investment climate, and economic instability in the host countries reduce the inflow of FDI. The model used to obtain these results is found to be structurally stable across countries. -from Author
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1993 |
Holmes R, Shamsuddin AFM, 'Evaluation of Alternative Leading Indicators of British Columbia Industrial Employment', International Journal of Forecasting, 9 77-83 (1993) [C1]
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