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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 Masters and PhD from Simon Fraser University, Canada. Abul has held visiting appointments at the Australian National University, Monash University and Simon Fraser University, among others. He is Co-leader of the Centre for Asset Pricing and Corporate Governance Studies.

Abul has published articles in Journal of Empirical Finance, Financial Review, International Journal of Forecasting, Journal of Fixed Income, Economics Letters, Review of Income and Wealth,Quantitative Finance, Accounting and Finance, Journal of International Financial Markets, Institutions & Money, Pacific-Basin Finance Journal, and Journal of Development Studies, among others. He has co-authored two books entitled Investments: Analysis and Management (John Wiley) and Introducing Corporate Finance (John Wiley).

Research Expertise
Abul's research interests include asset pricing, market efficiency and financial contagion.

Teaching Expertise
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. 

Administrative Expertise
Abul has served as Head of Newcastle Business School, Assistant Dean, Director of Postgraduate Studies, Head of the Accounting and Finance Discipline, and a member of the Faculty Executive Committee and the University Human Research Ethics Committee, among others.


Qualifications

  • PhD, Simon Fraser University
  • Master of Arts, Simon Fraser University
  • Bachelor of Science (Honours)(Economics), Jahangirnagar University
  • Master of Science (Economics), Jahangirnagar University

Keywords

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

Fields of Research

Code Description Percentage
150201 Finance 100

Professional Experience

UON Appointment

Title Organisation / Department
Professor University of Newcastle
Newcastle Business School
Australia
Casual Academic 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
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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 (42 outputs)

Year Citation Altmetrics Link
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)
DOI 10.1080/00036846.2016.1229411
2017 Rahman MD, Lee D, Shamsuddin A, 'Time-varying return predictability in South Asian equity markets', International Review of Economics & Finance, 48 179-200 (2017)
DOI 10.1016/j.iref.2016.12.004
Co-authors Doowon Lee, Mdlutfur Rahman
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)

© 2015 Institutional Investor LLC. All Rights Reserved. This article examines the influence of liquidity risk on the U.S. secondary corporate loan market (herein loan market). Th... [more]

© 2015 Institutional Investor LLC. All Rights Reserved. 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.

DOI 10.3905/jfi.2017.26.4.053
Co-authors Doowon Lee, Paul Docherty
2016 Bahrami A, Shamsuddin A, Uylangco K, 'Out-of-sample stock return predictability in emerging markets', Accounting and Finance, (2016)

© 2016 AFAANZ. This article builds on the widely debated issue of stock return predictability by applying a broad range of predictor variables and comprehensively considering the... [more]

© 2016 AFAANZ. This article builds on the widely debated issue of stock return predictability by applying a broad range of predictor variables and comprehensively considering the in-sample and out-of-sample stock return predictability of ten advanced emerging markets. It compares forecasts from models with a single predictor variable, multiple predictor variables and a combination forecast approach. The results confirm the findings of Welch and Goyal (2008) for US data that only a limited number of individual predictor variables are able to deliver significant out-of-sample forecasts. However, a combination forecast approach provides statistically and economically significant out-of-sample forecast results.

DOI 10.1111/acfi.12234
2016 Katusiime L, Agbola FW, Shamsuddin A, 'Exchange rate volatility¿economic growth nexus in Uganda', Applied Economics, 48 2428-2442 (2016) [C1]

© 2015 Taylor & Francis. The global financial crisis has disrupted trade and capital flows in most developing economies, resulting in an increased volatility of exchange ra... [more]

© 2015 Taylor & Francis. 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.

DOI 10.1080/00036846.2015.1122732
Citations Scopus - 1Web of Science - 1
Co-authors Frank Agbola
2016 Akhtaruzzaman M, Shamsuddin ABUL, 'International contagion through financial versus non-financial firms', Economic Modelling, 59 143-163 (2016) [C1]
DOI 10.1016/j.econmod.2016.07.003
Citations Scopus - 1Web of Science - 1
2016 Seif M, Docherty P, Shamsuddin A, 'Seasonal anomalies in advanced emerging stock markets', Quarterly Review of Economics and Finance, (2016)

© 2017 Board of Trustees of the University of Illinois. Despite an extensive number of studies documenting evidence of seasonal anomalies in developed markets, relatively few stu... [more]

© 2017 Board of Trustees of the University of Illinois. Despite an extensive number of studies documenting evidence of seasonal anomalies in developed markets, relatively few studies have comprehensively examined these anomalies within emerging markets. Testing the robustness of seasonal anomalies in emerging markets would first, help to examine the theoretical explanations that have been proposed and second, provide an out-of-sample result for these seasonality anomalies. This study examines the efficiency of advanced emerging markets by testing five seasonal anomalies: the month of the year, other January, day-of-the-week, holiday, and week 44. Evidence is reported that is consistent with all of these seasonal anomalies with the exception of the other January effect; supporting the argument that advanced emerging markets are less than perfectly efficient.

DOI 10.1016/j.qref.2017.02.009
Co-authors Paul Docherty
2015 Shamsuddin A, Kim JH, 'Market sentiment and the Fama-French factor premia', Economics Letters, 136 129-132 (2015) [C1]

© 2015. 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 ana... [more]

© 2015. 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.

DOI 10.1016/j.econlet.2015.09.021
Citations Scopus - 1
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]

© 2015 Taylor & Francis. This paper examines the return predictability of the US stock market using portfolios sorted by size, book-to-market ratio and industry. We use nov... [more]

© 2015 Taylor & Francis. 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
Citations Scopus - 2Web of Science - 2
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]

© 2014 Elsevier Inc. This paper empirically investigates market efficiency and trading rule profitability of the Ugandan foreign exchange market for the period January 1994 to Ju... [more]

© 2014 Elsevier Inc. 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
Citations Scopus - 7Web of Science - 6
Co-authors Frank Agbola
2015 Katusiime L, Shamsuddin A, Agbola FW, 'Macroeconomic and market microstructure modelling of Ugandan exchange rate', Economic Modelling, 45 175-186 (2015) [C1]

© 2014 Elsevier B.V. This paper empirically investigates the usefulness of a hybrid model consisting of macroeconomic fundamentals and market microstructure variables in examinin... [more]

© 2014 Elsevier B.V. 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
Citations Scopus - 1Web of Science - 1
Co-authors Frank Agbola
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]
DOI 10.1007/s12197-013-9258-y
Citations Scopus - 1
2015 Pang RWF, Shamsuddin AFM, 'Board leadership structure and performance of chinese firms in Singapore', Corporate Ownership and Control, 12 617-629 (2015) [C1]
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
Citations Scopus - 1Web of Science - 1
Co-authors 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 - 22Web of Science - 16
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
Citations Scopus - 1Web of Science - 1
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
Citations Scopus - 4Web of Science - 3
Co-authors Steve Easton
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 - 9Web of Science - 5
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]
DOI 10.1504/IJEPEE.2012.045436
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 - 62Web of Science - 56
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 - 94Web of Science - 68
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 - 6Web of Science - 5
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 - 4
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) [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 - 15
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 - 14Web of Science - 12
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 - 11Web of Science - 10
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 Scopus - 25Web of Science - 14
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]
Citations Scopus - 6
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]
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)
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 - 2Web of Science - 2
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

Citations Scopus - 17
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 Scopus - 2Web of Science - 2
Show 39 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 (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 (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 (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 (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 (2009) [E1]
2009 Xiang D, Shamsuddin AF, 'Efficiency and stock market performance of Australian banks', Asian Finance Association 2009 International Conference: Conference Program (2009) [E1]
2009 Shamsuddin AF, Kim JH, 'What drives international equity market efficiency?', Southwestern Finance Association Proceedings (2009) [E1]
2009 Shamsuddin AF, 'Asymmetric volatility in emerging south Asian equity markets', Southwestern Finance Association Proceedings (2009) [E1]
2008 Shamsuddin AF, 'Risk exposure of Australian financial institutions', 4th International Conference on Banking and Finance: Proceedings (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 (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 (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 (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 (2005) [E1]
Show 10 more conferences

Other (1 outputs)

Year Citation Altmetrics Link
2009 Shamsuddin A, Kim J, 'Short-Horizon Return Predictability in International Equity Markets', (2009) [O1]
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Grants and Funding

Summary

Number of grants 17
Total funding $273,421

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


20161 grants / $20,000

Market efficiency and corporate governance studies$20,000

Funding body: Faculty of Business and Law, The University of Newcastle

Funding body Faculty of Business and Law, The University of Newcastle
Scheme Priority Research Initiative
Role Lead
Funding Start 2016
Funding Finish 2016
GNo
Type Of Funding Internal
Category INTE
UON N

20131 grants / $150,000

Market efficiency and corporate governance studies$150,000

Funding body: Faculty of Business and Law, The University of Newcastle

Funding body Faculty of Business and Law, The University of Newcastle
Scheme Priority Research Initiative
Role Lead
Funding Start 2013
Funding Finish 2015
GNo
Type Of Funding Internal
Category INTE
UON N

20091 grants / $6,789

Household portfolio efficiency in the presence of non-marketable assets$6,789

Funding body: Faculty of Business and Law, University of Newcastle

Funding body Faculty of Business and Law, University of Newcastle
Scheme Project grant
Role Lead
Funding Start 2009
Funding Finish 2009
GNo
Type Of Funding Internal
Category INTE
UON N

20081 grants / $8,562

An Analysis of Asymmetric Information Transmission Among Stock Markets$8,562

Funding body: Faculty of Business and Law, University of Newcastle

Funding body Faculty of Business and Law, University of Newcastle
Scheme Research grant
Role Lead
Funding Start 2008
Funding Finish 2009
GNo
Type Of Funding Internal
Category INTE
UON N

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

20052 grants / $21,580

A Market-based Risk Evaluation Model for Australian Banks$20,000

Funding body: The University of Newcastle

Funding body The University of Newcastle
Scheme New Staff Grant
Role Lead
Funding Start 2005
Funding Finish 2006
GNo
Type Of Funding Internal
Category INTE
UON N

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

Abul Shamsuddin

Scheme Unknown
Role Lead
Funding Start 2003
Funding Finish 2003
GNo
Type Of Funding Internal
Category INTE
UON N

20023 grants / $16,512

International Transmission of Stock and Foreign Exchange Market Movements: An Analysis of the Pre- and Post-Asian Crisis Periods$7,000

Funding body: University of New England

Funding body University of New England
Scheme University Research Grant, University of New England
Role Lead
Funding Start 2002
Funding Finish 2002
GNo
Type Of Funding Internal
Category INTE
UON N

Australian share price and price relative (SPPR) database$6,600

Funding body: University of New England

Funding body University of New England
Scheme Faculty Infrastructure Grant, University of New England
Role Lead
Funding Start 2002
Funding Finish 2002
GNo
Type Of Funding Internal
Category INTE
UON N

Price-Earnings Ratios, Abnormal Returns and Market Efficiency$2,912

Funding body: University of New England

Funding body University of New England
Scheme Faculty Internal Research Grant
Role Lead
Funding Start 2002
Funding Finish 2002
GNo
Type Of Funding Internal
Category INTE
UON N

20011 grants / $2,778

International portfolio diversification, foreign exchange risk and stock market integration$2,778

Funding body: University of New England

Funding body University of New England
Scheme Faculty Internal Research Grant, University of New England
Role Lead
Funding Start 2001
Funding Finish 2001
GNo
Type Of Funding Internal
Category INTE
UON N

19982 grants / $11,000

The Impact of Immigration on Unemployment in Australia$6,000

Funding body: Australian Research Council

Funding body Australian Research Council
Scheme ARC Small Grant
Role Lead
Funding Start 1998
Funding Finish 1998
GNo
Type Of Funding External
Category EXTE
UON N

Assessing Tourism Benefits of Mega-Events in Canada$5,000

Funding body: Association of Canadian Studies in Australia and New Zealand

Funding body Association of Canadian Studies in Australia and New Zealand
Scheme Faculty Research Program
Role Lead
Funding Start 1998
Funding Finish 1998
GNo
Type Of Funding External
Category EXTE
UON N

19971 grants / $5,000

A Computable General Equilibrium Model of Immigration and Unemployment $5,000

Funding body: ARC (Australian Research Council)

Funding body ARC (Australian Research Council)
Project Team

A Shamsuddin and M Siriwardana

Scheme ARC Small Grant
Role Lead
Funding Start 1997
Funding Finish 1997
GNo
Type Of Funding External
Category EXTE
UON N

19941 grants / $7,500

The 1988-89 Household Expenditure Survey$7,500

Funding body: University of New England

Funding body University of New England
Project Team

A Shamsuddin and M Taslim

Scheme Faculty Infrastructure Grant, University of New England
Role Investigator
Funding Start 1994
Funding Finish 1994
GNo
Type Of Funding Internal
Category INTE
UON N
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Research Supervision

Number of supervisions

Completed36
Current6

Total current UON EFTSL

PhD2.69

Current Supervision

Commenced Level of Study Research Title Program Supervisor Type
2017 PhD The Determinants and Value Relevance of Corporate Carbon Abatement Initiatives PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle Co-Supervisor
2016 PhD Effects of Economic Uncertainty on Investment, Asset Returns and Business Cycle Synchronisation: Some International Evidence PhD (Economics), Faculty of Business and Law, The University of Newcastle Co-Supervisor
2016 PhD Board gender diversity and financial frauds of corporations: Evidence from USA PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle Co-Supervisor
2016 PhD Explaining the idiosyncratic volatility puzzle in international markets PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle Principal Supervisor
2015 PhD Political connections, business group affiliation, family ownership, and firm performance in India PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle Co-Supervisor
2015 PhD Risk and Efficiency of Islamic and Conventional Banks PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle Principal Supervisor

Past Supervision

Year Level of Study Research Title Program Supervisor Type
2017 PhD Return Predictability of Emerging Stock Markets Using Combination Forecast and Regime Switching Models PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle Principal Supervisor
2017 PhD Liquidity in the Secondary Corporate Loan Market PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle Principal Supervisor
2016 PhD Asset Pricing Factors in Malaysian Equity Returns PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle Principal Supervisor
2016 PhD Market Efficiency and Limits to Arbitrage in Advanced Emerging Markets PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle Principal Supervisor
2016 PhD Return Predictability in South Asian Stock Markets PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle Principal Supervisor
2016 PhD Essays in Corporate Governance, Disclosure and Valuation Behaviour of Initial Public Offerings PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle Principal Supervisor
2015 PhD Determinants of Dividend Policy - International Evidence: 1990 to 2010 PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle Co-Supervisor
2015 PhD Three Empirical Essays on the Ugandan Foreign Exchange Market PhD (Economics), Faculty of Business and Law, The University of Newcastle Principal Supervisor
2015 PhD Studies on Return Predictability in the Malaysian Stock Market PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle Principal Supervisor
2014 Professional Doctorate Financial stability and liquidity: evidence from conventional and Islamic banks in the GCC region Banking and Finance, Faculty of Business and Law, The University of Newcastle Sole Supervisor
2014 Professional Doctorate Board Leadership Structure and the Financial Performance of Listed Chinese Firms in Singapore Bankng,Finance & Relatd Fields, Faculty of Business and Law, University of Newcastle Sole Supervisor
2014 Professional Doctorate Boardroom characteristics, ownership structure and corporate fraud: evidence from Hong Kong listed companies Bankng,Finance & Relatd Fields, Faculty of Business and Law, University of Newcastle Sole Supervisor
2013 PhD Interest Rate Risk of Australian Financial Firms PhD (Accounting & Finance), 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 M Philosophy (Accnt & Finance), Faculty of Business and Law, The University of Newcastle Principal Supervisor
2012 Professional Doctorate One hat too many: CEO duality, global financial crisis and performance of Chinese firms Bankng,Finance & Relatd Fields, Faculty of Business and Law, The University of Newcastle Sole Supervisor
2011 PhD Asset Pricing in Australia PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle Co-Supervisor
2011 PhD Efficiency of Australian Banks: Its Determinants and Stock Price Relevance PhD (Accounting & Finance), Faculty of Business and Law, The University of Newcastle Principal Supervisor
2011 Post-Doctoral Fellowship Business Failure Prediction Model: An Empirical Study of firms listed on the Shenzhen Stock Exchange Bankng,Finance & Relatd Fields, Faculty of Business and Law, The University of Newcastle Sole Supervisor
2010 Honours Nonparametric Beta Estimation Banking and Finance, Faculty of Business and Law, University of Newcastle Sole Supervisor
2008 Professional Doctorate A study of the Hong Kong equity market from the perspectives of global integration and market efficiency Banking and Finance, Faculty of Business and Law, The University of Newcastle Sole Supervisor
2008 Professional Doctorate Operational risk management framework for financial institutions Banking and Finance, Faculty of Business and Law, The University of Newcastle Sole Supervisor
2007 Professional Doctorate Pricing efficiency of red chip and blue chip stocks in Hong Kong Banking and Finance, Faculty of Business and Law, The University of Newcastle Sole Supervisor
2007 Professional Doctorate Corporate governance and performance of HK bluechip stocks versus Chinese growth stocks listed in HK Bankng,Finance & Relatd Fields, Faculty of Business and Law, The University of Newcastle Sole Supervisor
2007 Professional Doctorate A framework for credit risk measurement and management Banking and Finance, Faculty of Business and Law, The University of Newcastle Sole Supervisor
2005 PhD Integration of the the Malaysian equity market : an analysis of pre- and post-Asian crisis Banking and Finance, Faculty of Economics, Business and Law, University of New England Principal Supervisor
2003 PhD Exchange Market Pressure Models for PNG and Fiji Economics, Faculty of Economics, Business and Law, University of New England Co-Supervisor
2001 Honours Insider Trading and Valuation of Bank Stocks in Australia Economics, Faculty of Economics, Business and Law, University of New England Sole Supervisor
2000 PhD The Measurement of Efficiency of Production in the Indonesian Garment Industry: Evidence from Firm-level Data Economics, Faculty of Economics, Business and Law, University of New England Principal Supervisor
2000 Masters Identifying recovery candidates Bankng,Finance & Relatd Fields, Faculty of Economics, Business and Law, University of New England Sole Supervisor
1998 Masters An empirical analysis of the capital structure of small enterprises in the North-West region of New South Wales Economics, Faculty of Economics, Business and Law, University of New England Sole Supervisor
1997 Honours Determinants of Poverty in Australia: Evidence from the 1990 Income and Housing Survey Economics, Faculty of Economics, Business and Law, University of New England Sole Supervisor
1996 Honours The Effects of Immigration on the Welfare System in Australia Economics, Faculty of Economics, Business and Law, University of New England Sole Supervisor
1996 Masters The relationship between the process of development and income distribution in South Korea 1961 to 1993 Economics, Faculty of Economics, Business and Law, University of New England Sole Supervisor
1995 Masters Export expansion and economic growth in Bangladesh : an empirical investigation Economics, Faculty of Economics, Business and Law, University of New England Sole Supervisor
1995 Honours Does Public Capital Cause Private Sector Economic Growth in Australia? Economics, Faculty of Economics, Business and Law, University of New England Sole Supervisor
1994 Honours Poverty in South Korea: An Application of Sen’s Entitlement Approach Economics, Faculty of Economics, Business and Law, University of New England Sole Supervisor
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Professor Abul Shamsuddin

Positions

Professor
Newcastle Business School
Faculty of Business and Law

Casual Academic
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 X-647
Building NeW Space
Location City Campus

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