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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

CodeDescriptionPercentage
140299Applied Economics not elsewhere classified20
150201Finance80

Professional Experience

UON Appointment

DatesTitleOrganisation / Department
1/07/2014 - 10/02/2015DBA SupervisorUniversity of Newcastle
Newcastle Business School
Australia
1/01/2014 - ProfessorUniversity of Newcastle
Newcastle Business School
Australia
19/09/2012 - 21/11/2012Casual AcademicUniversity of Newcastle
Newcastle Business School
Australia
1/08/2012 - 14/12/2012Casual AcademicUniversity of Newcastle
Newcastle Business School
Australia
1/07/2012 - 18/09/2012Casual AcademicUniversity of Newcastle
Newcastle Business School
Australia
17/07/2010 - 16/12/2010Casual AcademicUniversity of Newcastle
Newcastle Business School
Australia
1/01/2010 - 31/08/2010Casual AcademicUniversity of Newcastle
Newcastle Business School
Australia
17/07/2009 - 20/12/2009Casual AcademicUniversity of Newcastle
Newcastle Business School
Australia
11/09/2007 - 30/11/2007Casual AcademicUniversity of Newcastle
Newcastle Business School
Australia
29/04/2006 - 31/12/2006Casual AcademicUniversity of Newcastle
Newcastle Graduate School of Business
Australia

Academic appointment

DatesTitleOrganisation / Department
1/07/2012 - ProfessorUniversity of Newcastle
Newcastle Business School
Australia
1/12/2003 - 1/06/2012Associate ProfessorUniversity of Newcastle
Business and Law
Australia
1/01/2003 - 1/12/2003Associate ProfessorUniversity of New England
Business and Law
1/02/1998 - 1/12/2002Senior LecturerUniversity of New England
Business and Law
1/01/1998 - 2/01/1998Senior LecturerUniversity of New England
Business and Law
1/08/1993 - 1/12/1997LecturerUniversity of New England
Business and Law
1/07/1992 - 1/11/1992LecturerUniversity 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)

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

Chapter (1 outputs)

YearCitationAltmetricsLink
1995Shamsuddin 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 (32 outputs)

YearCitationAltmetricsLink
2015Katusiime 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 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.

DOI10.1016/j.econmod.2014.10.059
Co-authorsFrank Agbola
2015Katusiime 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 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).

DOI10.1016/j.iref.2014.10.003
Co-authorsFrank Agbola
2015Kim 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, 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.

DOI10.1080/14697688.2014.1002419
2015Xiang 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)
DOI10.1007/s12197-013-9258-yAuthor URL
2014Akhtaruzzaman MD, Docherty P, Shamsuddin AFM, 'Interest rate, size and book-to-market effects in Australian financial firms', Applied Economics, 46 3005-3020 (2014) [C1]
DOI10.1080/00036846.2014.920478
Co-authorsMd Akhtaruzzaman, Paul Docherty
2014Shamsuddin A, 'Are Dow Jones Islamic equity indices exposed to interest rate risk?', ECONOMIC MODELLING, 39 273-281 (2014) [C1]
DOI10.1016/j.econmod.2014.03.007Author URL
CitationsScopus - 4Web of Science - 2
2014Wu 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 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.

DOI10.1016/j.pacfin.2014.06.002
2014Akhtaruzzaman 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]
DOI10.1016/j.intfin.2014.04.006
Co-authorsMd Akhtaruzzaman, Steve Easton
2012Shamsuddin AF, Xiang D, 'Does bank efficiency matter? Market value relevance of bank efficiency in Australia', Applied Economics, 44 3563-3572 (2012) [C1]
CitationsScopus - 6Web of Science - 4
2012Ahmad 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]
2011Kim 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]
DOI10.1016/j.jempfin.2011.08.002
CitationsScopus - 28Web of Science - 22
2010Shamsuddin AF, Kim JH, 'Short-horizon return predictability in international equity markets', Financial Review, 45 469-484 (2010) [C1]
DOI10.1111/j.1540-6288.2010.00256.x
2009Shamsuddin 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]
2008Kim JH, Shamsuddin AF, 'Are Asian stock markets efficient? Evidence from new multiple variance ratio tests', Journal of Empirical Finance, 15 518-532 (2008) [C1]
DOI10.1016/j.jempfin.2007.07.001
CitationsScopus - 67Web of Science - 35
2005Azmi 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]
2004Moosa IA, Shamsuddin AF, 'Expectation formation mechanisms, profitability of foreign exchange trading and exchange rate volatility', Applied Economics, 36 1599-1606 (2004) [C1]
DOI10.1080/0003684042000217977
CitationsScopus - 4Web of Science - 4
2004Shamsuddin AF, Hillier JR, 'Fundamental determinants of the Australian price - earnings multiple', Pacific-Basin Finance Journal, 12 565-576 (2004) [C1]
DOI10.1016/j.pacfin.2004.02.001
CitationsScopus - 1
2003Moosa I, Shamsuddin AFM, 'Heterogeneity of Traders as a Source of Exchange Rate Volatility', Journal of Financial Studies, 11 43-69 (2003) [C1]
2003Shamsuddin 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)
DOI10.1016/S1042-4431(02)00046-X
CitationsScopus - 10
2003Shamsuddin 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 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.

DOI10.1016/S1042-4431(02)00046-X
CitationsScopus - 10
2001Nahid A, Shamsuddin AFM, 'Immigration and the unemployment benefit programme in Australia', APPLIED ECONOMICS, 33 1587-1597 (2001) [C1]
DOI10.1080/00036840010014021Author URL
CitationsScopus - 4Web of Science - 2
2001Shamsuddin AFM, 'Public pension and wealth inequality in Canada', APPLIED ECONOMICS LETTERS, 8 315-320 (2001)
DOI10.1080/135048501750157503Author URL
CitationsScopus - 3Web of Science - 4
2001Shamsuddin A, 'Public Pension Benefits and Distribution of Household Wealth in Canada', Applied Economics Letters, 8(5), 315-320, 2001., 315-320 (2001) [C1]
1999Shamsuddin 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]
1998Shamsuddin AFM, 'The double-negative effect on the earnings of foreign-born females in Canada', APPLIED ECONOMICS, 30 1187-1201 (1998) [C1]
DOI10.1080/000368498325084Author URL
CitationsScopus - 10Web of Science - 8
1998Begum S, Shamsuddin AFM, 'Exports and economic growth in Bangladesh', JOURNAL OF DEVELOPMENT STUDIES, 35 89-114 (1998) [C1]
DOI10.1080/00220389808422556Author URL
CitationsScopus - 10Web of Science - 8
1998Shamsuddin AFM, DeVoretz DJ, 'Wealth accumulation of Canadian and foreign-born households in Canada', REVIEW OF INCOME AND WEALTH, 515-533 (1998) [C1]
Author URL
CitationsWeb of Science - 10
1997Holmes 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]
1997Shamsuddin 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]
1996Shamsuddin AFM, 'The Effect of Unionisation on the Gender Earnings Gap in Canada: 1971-1981', Applied Economics, 28 1405-1413 (1996) [C1]
CitationsScopus - 1Web of Science - 2
1994Shamsuddin AFM, 'Economic Determinants of Foreign Direct Investment in Less Developed Countries', Pakistan Development Review, 33 44-51 (1994) [C1]
1993Holmes R, Shamsuddin AFM, 'Evaluation of Alternative Leading Indicators of British Columbia Industrial Employment', International Journal of Forecasting, 9 77-83 (1993) [C1]
CitationsWeb of Science - 1
Show 29 more journal articles

Conference (13 outputs)

YearCitationAltmetricsLink
2011Shamsuddin AF, 'Are Dow Jones Islamic equity indices exposed to interest rate risk?', 2011 International Finance and Banking Society (IFABS) Conference, Rome (2011) [E1]
2011Xiang 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]
2010Wu 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]
DOI10.2139/ssrn.1663732
2010Kim 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]
DOI10.2139/ssrn.1541639
2009Xiang 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]
2009Xiang D, Shamsuddin AF, 'Efficiency and stock market performance of Australian banks', Asian Finance Association 2009 International Conference: Conference Program, Brisbane, QLD (2009) [E1]
2009Shamsuddin AF, Kim JH, 'What drives international equity market efficiency?', Southwestern Finance Association Proceedings, Oklahoma City, OK (2009) [E1]
2009Shamsuddin AF, 'Asymmetric volatility in emerging south Asian equity markets', Southwestern Finance Association Proceedings, Oklahoma City, OK (2009) [E1]
2008Shamsuddin AF, 'Risk exposure of Australian financial institutions', 4th International Conference on Banking and Finance: Proceedings, Langkawi Island, Malaysia (2008) [E2]
2007Shamsuddin 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]
2005Quazi 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]
2005Shamsuddin 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]
2005Azmi 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 grants4
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 bodyUniversity of Newcastle
Project TeamProfessor Abul Shamsuddin
SchemeTravel Grant
RoleLead
Funding Start2007
Funding Finish2007
GNoG0188368
Type Of FundingInternal
CategoryINTE
UONY

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 bodyUniversity of Newcastle
Project TeamProfessor Abul Shamsuddin
SchemeTravel Grant
RoleLead
Funding Start2005
Funding Finish2005
GNoG0186090
Type Of FundingInternal
CategoryINTE
UONY

20041 grants / $10,000

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

Funding body: University of Newcastle

Funding bodyUniversity of Newcastle
Project TeamProfessor Abul Shamsuddin
SchemeNew Staff Grant
RoleLead
Funding Start2004
Funding Finish2004
GNoG0184843
Type Of FundingInternal
CategoryINTE
UONY

20031 grants / $12,000

Assessment of Bank Risk$12,000

Funding body: University of New England

Funding body University of New England
Project Team
SchemeUnknown
RoleLead
Funding Start2003
Funding Finish2003
GNo
Type Of FundingInternal
CategoryINTE
UONY
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Research Supervision

Current Supervision

CommencedResearch Title / Program / Supervisor Type
2015A Comparative Study of Islamic and Conventional Financial Institutions
Accounting, Faculty of Business and Law
Principal Supervisor
2014Liquidity and Systematic Risk in the US Loan Market
Accounting, Faculty of Business and Law
Principal Supervisor
2013Stock Return Anomalies in Emerging Markets
Accounting, Faculty of Business and Law
Principal Supervisor
2013Return Predictability of Emerging Stock Markets Using Combination Forecast and Regime Switching Models
Accounting, Faculty of Business and Law
Principal Supervisor
2013Return Predictability in South Asian Stock Markets
Accounting, Faculty of Business and Law
Principal Supervisor
2012Asset Pricing Factors in Malaysian Equity Returns
Accounting, Faculty of Business and Law
Principal Supervisor
2012Essays on Equity Market Efficiency in Malaysia
Accounting, Faculty of Business and Law
Principal Supervisor
2012Corporate Share Float Pricing, Information Asymmetries, Corporate Governance Signalling and Associated Issues
Accounting, Faculty of Business and Law
Principal Supervisor
2011Exchange Rate Dynamics in Uganda: Three Empirical Essays
Economics, Faculty of Business and Law
Principal Supervisor

Past Supervision

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

Positions

Professor
Newcastle Business School
Faculty of Business and Law

DBA Supervisor
Newcastle Business School
Faculty of Business and Law

Focus area

Accounting and Finance

Contact Details

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

Office

RoomSRS 113
BuildingSocial Science Building
LocationCallaghan
University Drive
Callaghan, NSW 2308
Australia
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