Dr Md Lutfur Rahman

Dr Md Lutfur Rahman

Senior Lecturer

Newcastle Business School

Career Summary

Biography

Lutfur joined the Newcastle Business School as a Lecturer (Finance) in June 2019. Prior to this appointment, he served as a Scholarly Teaching Fellow at the same School for two years. He also served as a full-time academic at the Department of Business Administration, East West University, Bangladesh. Lutfur has completed his PhD in 2016 from Newcastle Business School. He also holds an MBA in Finance and a BBA honors degree in Finance and Banking

Lutfur has been teaching both undergraduate and postgraduate courses such as Corporate Finance, Applied Portfolio Management, Financial Institutions Risk Management, Financial Statement Analysis and Foundations of Business Analysis

Lutfur has published articles in Energy Economics, International Review of Economics and Finance, International Review of Financial Analysis, and Pacific Basin Finance Journal, among others. 

Lutfur's research interest includes return predictability, asset pricing, emerging equity markets, and corporate social responsibility and firm performance. He has expertise in using softwares like Eviews and R.

Lutfur is also serving as Database and Finance Lab Coordinator at Newcastle Business School


Qualifications

  • Doctor of Philosophy, University of Newcastle
  • Bachelor of Business Administration, University of Dhaka - Bangladesh
  • Master of Business Administration, University of Dhaka - Bangladesh

Keywords

  • Asset pricing
  • Investor sentiment and stock returns
  • Return predictability

Languages

  • Bengali (Mother)
  • English (Fluent)

Fields of Research

Code Description Percentage
350202 Finance 100

Professional Experience

UON Appointment

Title Organisation / Department
Senior Lecturer University of Newcastle
Newcastle Business School
Australia
Senior Lecturer University of Newcastle
Newcastle Business School
Australia
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Publications

For publications that are currently unpublished or in-press, details are shown in italics.


Journal article (17 outputs)

Year Citation Altmetrics Link
2021 Rahman ML, Amin A, Al Mamun MA, 'The COVID-19 outbreak and stock market reactions: Evidence from Australia', Finance Research Letters, 38 (2021)

© 2020 We examine how the Australian stock market responded to the uncertainties created by the COVID-19 pandemic and whether the stimulus package offered by the Government helped... [more]

© 2020 We examine how the Australian stock market responded to the uncertainties created by the COVID-19 pandemic and whether the stimulus package offered by the Government helped restore confidence in the market. This study finds a negative stock market reaction to the pandemic announcement, however, among two stimulus packages related announcements, the market reacted positively only to ¿JobKeeper¿ package. The cross-sectional results suggest that the smallest, least profitable and value portfolios suffered more during the pandemic. Finally, size and liquidity are found to be the significant drivers of abnormal returns. These results generally hold for a battery of robustness checks.

DOI 10.1016/j.frl.2020.101832
Citations Scopus - 1
2020 Andersson E, Hoque M, Rahman ML, Uddin GS, Jayasekera R, 'ESG investment: What do we learn from its interaction with stock, currency and commodity markets?', International Journal of Finance and Economics, (2020)

© 2020 John Wiley & Sons, Ltd. This paper examines ESG portfolio's causal relationship with conventional and ethical equity prices, exchange rates and commodity prices.... [more]

© 2020 John Wiley & Sons, Ltd. This paper examines ESG portfolio's causal relationship with conventional and ethical equity prices, exchange rates and commodity prices. Using multi-scale wavelet decomposition, asset returns are decomposed into three timescales (short-, medium- and long-term), and a three-step filtered framework is used to explore dynamic non-linear linkages. We document significant bidirectional causal relationship between ESG, conventional and ethical equity portfolio returns. While the causality persists from the short- to medium-term, it is relatively weaker in the long-term. We further observe statistically significant causality running from ESG portfolio returns to currency and commodity returns. This causality is strongest in the short-term, turns weaker in the medium-term and, in some instances, disappears in the long-term. These results are generally robust for the use of original returns and VAR-filtered returns. However, as we control for conditional heteroskedasticity in the return series, the causality appears weaker particularly between ESG portfolio and commodity returns. Our results have important implications for planning portfolio allocation and devising hedging and diversification strategies.

DOI 10.1002/ijfe.2341
2020 Bhattacharyya A, Rahman ML, 'Mandatory CSR expenditure and stock return', Meditari Accountancy Research, 28 951-975 (2020) [C1]

© 2020, Emerald Publishing Limited. Purpose: India has mandated corporate social responsibility (CSR) expenditure under Section 135 of the Indian Companies Act, 2013 ¿ the first n... [more]

© 2020, Emerald Publishing Limited. Purpose: India has mandated corporate social responsibility (CSR) expenditure under Section 135 of the Indian Companies Act, 2013 ¿ the first national jurisdiction to do so. The purpose of this paper is to examine the impact of mandated CSR expenditure on firms¿ stock returns by using actual CSR spending data, whereas the previous studies mostly focus on voluntary CSR proxied by CSR scores. Design/methodology/approach: The authors estimate their baseline regression by using ordinary least squares(OLS) method. Although the baseline regression involving CSR expenditure and stock returns using ordinary least squares method are estimated, endogeneity and reverse causality biases are addressed by using two-stage least squares and generalized method of moments approaches. These approaches contribute mitigating endogeneity bias and biases associated with unobserved heterogeneity and simultaneity. Findings: The findings document that mandatory CSR expenditure has a negative impact on firms¿ stock returns which supports the ¿shareholders¿ expense¿ view. This result remain robust after controlling for endogeneity bias and the use of both standard and robust test statistics. The authors however observe that this result holds for the firms with actual CSR expenditure equal to the mandated amount but does not hold for the firms with actual CSR expenditure greater than the mandated amount. Therefore, the authors provide evidence that CSR expenditure¿s impact on stock returns depends on whether firms simply comply the regulation or voluntarily chose an amount of CSR expenditure above the mandated amount. Originality/value: The primary contribution is to present a valid and robust evidence of negative effect of mandated CSR spending on firms¿ stock returns when the mandatory CSR spending rule is already in place. This study contributes by examining the impact of mandated CSR spending on stock during post-implementation period (2015-2017), whereas other studies by Dharampala and Khanna (2018); Kapoor and Dhamija (2017); and Mukherjee et al. (2018) mainly examined the impact of legislation on Indian CSR. The authors use mandated actual CSR expenditure, whereas previous studies mostly focus on voluntary CSR proxied by CSR scores.

DOI 10.1108/MEDAR-10-2019-0591
Citations Scopus - 3
Co-authors Asit Bhatta
2020 Bhattacharyya A, Rahman ML, 'Values, gender and attitudes towards environmental policy: A study of future managers', Business Strategy and the Environment, 29 2514-2527 (2020) [C1]
DOI 10.1002/bse.2517
Citations Scopus - 2Web of Science - 2
Co-authors Asit Bhatta
2020 Rahman ML, Khan M, Vigne SA, Uddin GS, 'Equity return predictability, its determinants, and profitable trading strategies', JOURNAL OF FORECASTING, (2020) [C1]
DOI 10.1002/for.2712
Citations Web of Science - 1
2020 Ahmad W, Prakash R, Uddin GS, Chahal RJK, Rahman ML, Dutta A, 'On the intraday dynamics of oil price and exchange rate: What can we learn from China and India?', Energy Economics, 91 1-16 (2020) [C1]
DOI 10.1016/j.eneco.2020.104871
Citations Scopus - 1
2020 Shahzad SJH, Arreola-Hernandez J, Rahman ML, Uddin GS, Yahya M, 'Asymmetric interdependence between currency markets' volatilities across frequencies and time scales', International Journal of Finance and Economics, (2020)

© 2020 John Wiley & Sons, Ltd. We investigate the dynamics of interdependence between realized variances and realized semivariances of six major currencies across frequencie... [more]

© 2020 John Wiley & Sons, Ltd. We investigate the dynamics of interdependence between realized variances and realized semivariances of six major currencies across frequencies and time scales. The empirical results are derived, first, through constructing daily measures of realized variance and semivariance from a high frequency 5-min interval data, and second, by fitting wavelet squared coherence and wavelet cohesion measure with time-varying weights. The realized volatilities of the currencies and their cross-currency influences are found to increase during the global financial crisis. The realized volatilities of the Euro, Swiss Franc, and British Pound are closely synchronized over the short-term horizon. However, over the long-run, the Euro, Swiss Franc, and Japanese Yen lead the realized volatilities of the British Pound, Australian Dollar, and Canadian Dollar. The synchronization structure of positive and negative realized volatilities indicates asymmetric dependence among the currencies across time horizons. We further observe strong positive (negative) cohesion among the realized volatilities over the medium- and long-term horizons. Finally, significant counter cyclical comovements among the currencies are observed over the medium- and long-term horizons. These findings have important implications for foreign exchange portfolio managers.

DOI 10.1002/ijfe.1915
2020 Shahzad SJH, Rahman ML, Lucey BM, Uddin GS, 'Re-examining the real option characteristics of gold for gold mining companies', Resources Policy, (2020)

© 2020 Elsevier Ltd This paper re-examines the static and time-varying asymmetries in quantile-specific relationship between gold returns and gold mining companies' stock ret... [more]

© 2020 Elsevier Ltd This paper re-examines the static and time-varying asymmetries in quantile-specific relationship between gold returns and gold mining companies' stock returns. In doing so, we use novel cross-quantilogram approach that is built on quantiles of both distributions and control for the effect of crude oil price changes, overall stock market movements, stock market volatility and economic policy uncertainty. We find that the gold returns negatively predict the gold stock returns around the median quantile. Whereas the gold returns positively depend on the gold mining companies¿ stock returns in the low and high quantiles. We therefore, support for an embedded real option in gold for gold mining companies which is time-varying and occurs in very short-run. This finding is useful for devising portfolio allocation and diversification strategies.

DOI 10.1016/j.resourpol.2020.101890
2019 Kim JH, Rahman ML, Shamsuddin A, 'Can energy prices predict stock returns? An extreme bounds analysis', ENERGY ECONOMICS, 81 822-834 (2019) [C1]
DOI 10.1016/j.eneco.2019.05.029
Citations Scopus - 3Web of Science - 2
Co-authors Abul Shamsuddin
2019 Bhattacharyya A, Wright S, Rahman ML, 'Is better banking performance associated with financial inclusion and mandated CSR expenditure in a developing country?', ACCOUNTING AND FINANCE, (2019)
DOI 10.1111/acfi.12560
Citations Scopus - 3Web of Science - 1
Co-authors Asit Bhatta, Sue Wright
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]

© 2019 Elsevier Inc. Predictive models of stock returns are often criticized for generating spurious predictability, unstable predictive relationship, and poor out-of-sample forec... [more]

© 2019 Elsevier Inc. 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.

DOI 10.1016/j.iref.2019.04.010
Citations Scopus - 2
Co-authors Doowon Lee, Abul Shamsuddin
2019 Bhattacharyya A, Rahman L, 'Mandatory CSR Expenditure and Firm Performance.', Journal of Contemporary Accounting and Economics., 15 1-17 (2019) [C1]
DOI 10.1016/j.jcae.2019.100163
Citations Scopus - 10Web of Science - 5
Co-authors Asit Bhatta
2019 Uddin GS, Rahman ML, Hedström A, Ahmed A, 'Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes', Energy Economics, 80 743-759 (2019) [C1]

© 2019 Elsevier B.V. We study the cross-quantile dependence of renewable energy (RE) stock returns on aggregate stock returns, changes in oil and gold prices, and exchange rates. ... [more]

© 2019 Elsevier B.V. We study the cross-quantile dependence of renewable energy (RE) stock returns on aggregate stock returns, changes in oil and gold prices, and exchange rates. Applying a recently developed cross-quantilogram approach, we provide two novel findings. First, although prior studies show that RE stock returns have a positive dependence on changes in oil prices and in the aggregate stock index, we find that the relationship is not symmetric across quantiles and that this asymmetry is higher in longer lags. Second, while the extant literature provides evidence that exchange rates and gold returns exert a positive influence on aggregate stock returns, we report that this positive influence on RE stock returns is observed only during extreme market conditions. These results are robust, (i) even after controlling for economic policy and equity market uncertainties, as well as (ii) in both a time-static full sample and recursive subsamples.

DOI 10.1016/j.eneco.2019.02.014
Citations Scopus - 10Web of Science - 10
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]
DOI 10.1016/j.pacfin.2019.03.003
Co-authors Abul Shamsuddin
2018 Uddin GS, Rahman ML, Shahzad SJH, Rehman MU, 'Supply and demand driven oil price changes and their non-linear impact on precious metal returns: A Markov regime switching approach', Energy Economics, 73 108-121 (2018) [C1]

© 2018 Elsevier B.V. This paper examines the nonlinear effect of oil price shocks on precious metal returns using Markov regime switching regression. We use Ready's (2018) ap... [more]

© 2018 Elsevier B.V. This paper examines the nonlinear effect of oil price shocks on precious metal returns using Markov regime switching regression. We use Ready's (2018) approach to decompose oil price changes into supply, demand, and risk driven shocks. Results indicate a significant positive impact of demand and supply shocks and a negative impact of risk shocks on precious metal returns. Although we find evidence of switching between low and high volatility regimes, we do not find strong regime effect on supply or demand shocks' contemporaneous relationship with precious metal returns. However, risk shocks' influence on precious metal returns is strongly regime dependent. These results generally hold for different distributional specification of error terms.

DOI 10.1016/j.eneco.2018.05.024
Citations Scopus - 29Web of Science - 22
2018 Labidi C, Rahman ML, Hedström A, Uddin GS, Bekiros S, 'Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis', International Review of Financial Analysis, 59 179-211 (2018) [C1]

© 2018 This paper examines the cross-quantile dependence between developed and emerging market stock returns and investigates its time-varying characteristics, using recursive sam... [more]

© 2018 This paper examines the cross-quantile dependence between developed and emerging market stock returns and investigates its time-varying characteristics, using recursive sample estimations. The results based on cross-quantilogram approach reveal a heterogeneous quantile relation for the USA, UK, German, and Japanese stock returns to those of the emerging markets. Systematic risk generally does not explain the cross-country dependence structure, since it remains essentially unchanged when controlling for financial, geopolitical, and economic uncertainties. Moreover, the cross-quantile correlation changes over time, especially in the low and high quantiles, indicating that it is prone to jumps and discontinuities, even in a seemingly stable dependence structure. These results are important for institutional investors and market observers.

DOI 10.1016/j.irfa.2018.08.005
Citations Scopus - 4Web of Science - 3
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]
DOI 10.1016/j.iref.2016.12.004
Citations Scopus - 5Web of Science - 4
Co-authors Abul Shamsuddin, Doowon Lee
Show 14 more journal articles

Conference (3 outputs)

Year Citation Altmetrics Link
2019 Uddin GS, Rahman ML, Hedström A, Sjo B, 'Systemic risk in the Scandinavian Banking sector', Stockholm School of Economics (2019)
2018 Rahman ML, Al Mamun M, 'Love the President: Approval Rating and Stock Return', La Trobe University (2018)
2018 Rahman ML, Al Mamun M, 'Portfolio returns and investor sentiment: Do market states matter?', Queen Mary University of London (2018)
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Grants and Funding

Summary

Number of grants 4
Total funding $20,000

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


20201 grants / $5,000

New Staff Grant 2020-2021$5,000

Funding body: Newcastle Business School | University of Newcastle | Australia

Funding body Newcastle Business School | University of Newcastle | Australia
Scheme New Staff Grant
Role Lead
Funding Start 2020
Funding Finish 2021
GNo
Type Of Funding Internal
Category INTE
UON N

20192 grants / $8,000

Newcastle Business School Research Grant$5,000

Funding body: Newcastle Business School The University of Newcastle

Funding body Newcastle Business School The University of Newcastle
Project Team

Md Lutfur Rahman

Scheme Newcastle Business School Research Grant
Role Lead
Funding Start 2019
Funding Finish 2019
GNo
Type Of Funding Internal
Category INTE
UON N

Newcastle Business School Teaching Grant$3,000

Funding body: Newcastle Business School The University of Newcastle

Funding body Newcastle Business School The University of Newcastle
Scheme Newcastle Business School Teaching Grant
Role Lead
Funding Start 2019
Funding Finish 2019
GNo
Type Of Funding Internal
Category INTE
UON N

20101 grants / $7,000

Investment Climate Research Grant$7,000

Funding body: Investment Climate Research Unit

Funding body Investment Climate Research Unit
Scheme Investment Climate Research Grant
Role Investigator
Funding Start 2010
Funding Finish 2010
GNo
Type Of Funding International - Competitive
Category 3IFA
UON N
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Research Supervision

Number of supervisions

Completed0
Current4

Current Supervision

Commenced Level of Study Research Title Program Supervisor Type
2020 PhD Valuing Renewable Energy PhD (Accounting & Finance), College of Human and Social Futures, The University of Newcastle Co-Supervisor
2020 PhD Context Aware Unified Health Institutional Knowledge Services: An Information Systems Architecture to Improve Clinicians Research in Evidence-Based Practice PhD (Management), College of Human and Social Futures, The University of Newcastle Co-Supervisor
2020 PhD Generating Consumer Intelligence from Unstructured Text: An Analytical Framework for Modelling the Diffusion of Latent Topical Content PhD (Management), College of Human and Social Futures, The University of Newcastle Co-Supervisor
2015 PhD Interactions of Managers and Employees when Facing various Bribery and Corruption Threats: An Empirical Analysis from the Oil and Gas Industry in Africa and the Middle East PhD (Accounting & Finance), College of Human and Social Futures, The University of Newcastle Principal Supervisor
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Dr Md Lutfur Rahman

Position

Senior Lecturer
Newcastle Business School
College of Human and Social Futures

Contact Details

Email mdlutfur.rahman@newcastle.edu.au
Mobile 0470669788

Office

Room .
Building New Space
Location Newcastle City

,
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