Imtiaz Sifat

Imtiaz Sifat
Radboud University | RU · Department of Economics

PhD
Speculation / commodities / futures / digital transformation / climate / macro-policy

About

78
Publications
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192
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Introduction
Imtiaz researches on topics connected to financial risk management, alternative investments, international finance, macroprudential policies, foreign exchange, market microstructure, and commodities. He maintains a web presence at www.sifat.asia.

Publications

Publications (78)
Article
Full-text available
Circuit breaker, an automated regulatory instrument employed to deter panic, temper volatility, and prevent crashes, is controversial in financial markets. Proponents claim it provides a propitious time-out when price-levels are stressed and persuades traders to make rational trading decisions. Opponents demur its potency, dubbing it a barrier to l...
Preprint
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This working paper investigates the effect of board cooption on the level of firms' climate risk. Using the sample of US firms from 2002 to 2008, we find that firms with a higher level of coopted directors face higher climate risk. The findings suggest that non-co-opted independent directors negatively influence a firm's climate risk, suggesting th...
Preprint
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This paper is among the first to investigate high-frequency herding tendencies among exchange traded funds (ETF) traders within the commodities asset class. Operating on 64 popularly traded and liquid ETFs spread across five sub-sectors from 2009 to 2021, we apply four different herding-detection models to capture traditional herding as well the ef...
Article
Purpose The purpose of this paper is to examine the effect of economic policy uncertainty (EPU) of China on investment opportunities in five ASEAN economies. Design/methodology/approach This paper employs advanced empirical approaches, such as Multivariate DCC-GARCH and Continuous Wavelet Transform (CWT) to test the research objective. The period...
Article
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In this paper, we conduct two investigations regarding funding liquidity risk in large emerging economies: Brazil, Russia, India, China, and South Africa — BRICS. In the first, we track the relevance of monetary policy decisions originating in developed economies for interbank funding liquidity risk in BRICS economies during crisis periods by apply...
Preprint
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We investigate comprehensively the utility of Twitter-based uncertainty sentiments for predicting realized performances of major financial market segments. We use signal processing techniques to deduce synchronizations and predictive information flow between economic and financial uncertainty sentiments expressed on Twitter and contemporaneous mark...
Article
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We examine the risk minimization utility of Islamic stock and Sukuk (bond) indices by studying their linkages against traditional global counterparts. We first employ an asymmetric power ARCH-based ADCC model on an extended dataset employed by Kenourgios et al. (2016). Our sample ranges from July 2007 to June 2021 covering the Global Financial Cris...
Preprint
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We construct synthetic spreads representing funding liquidity risk in BRICS economies and examine whether stress in the interbank and financial markets in the US is transmitted to BRICS markets BRICS during the Global Financial Crisis, European Sovereign Debt Crisis, and COVID-19 pandemic. We rely on daily data and time-varying-parameter models wit...
Preprint
Full-text available
We examine the risk minimization utility of Islamic stock and Sukuk (bond) indices by studying their linkages against traditional global counterparts. We first employ an asymmetric power ARCH-based ADCC model on an extended dataset employed by Kenourgios et al. (2016). Our sample ranges from July 2007 to June 2021 covering the Global Financial Cris...
Preprint
Full-text available
This working paper investigates whether the marital status of CEOs influences firms' managerial retention decisions. Our preliminary results generally show that single CEOs are more prone to dismissal than married counterparts irrespective of firm performance. These results challenge the conventional wisdom that CEO dismissal results largely from f...
Preprint
We contribute to financial literature by identifying economic uncertainties salient to the price dynamics of cryptocurrencies. To measure this relationship, we examine the common stochastic trends between cryptocurrencies and major text-based uncertainty indices-categorical and broad-from the US and major developed economies from 2015 to 2021. Resu...
Article
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This paper investigates the utility of corporate actions in predicting financial distress in the context of an emerging country: Malaysia. Recognising the dominance of historical accounting ratios in distress prediction models, we set out to test if employing more current information in the form of corporate action fares better. To this end, we...
Article
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We report new evidence that speculation in energy and precious metal futures are more prevalent in crisis periods and even more so during the COVID-19 pandemic. In contrast, agricultural futures attract more hedging pressure. Post-GFC patterns mirror the 1980s' recessions. Using quantile regression on a long-horizon sample we also find that specula...
Article
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Employing high-dimensional stochastic-volatility commonality tests on crypto-assets against a basket of global investor sentiment proxies, we report new evidence that the cryptocurrency market is decoupled from global sentiments. Our approach's novelty resides in employment of appropriate sources of risk and uncertainty and two comprehensive indice...
Article
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This paper examines the informational content of Implied Volatility (IV) for 493 Malaysian and 945 Thai structured call warrants from 2014 to 2015. Unlike a regular warrant (issued by the firm) and attached to bonds, loan stocks, or preferred stocks as sweeteners, a structured warrant is issued by a third party. Structured warrant is a prevalent ex...
Article
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We contribute to behavioral finance literature by demonstrating the relative superiority of a dynamic regime-sensitive approach in unraveling herding phenomenon. Employing daily data in Bursa Malaysia from 1995 to 2016, we first apply two orthodox techniques: cross-sectional standard deviation of returns (CSSD) model of Christie and Huang (2005) an...
Preprint
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Trading greenhouse gas emissions is gaining importance as a means to combat the hazards of climate change. In her pursuit of a lower carbon footprint in the economy, Malaysia, a middle-income country, has undertaken a multi-pronged approach of schemes and actions. Key among them is the Clean Development Scheme (CDM), which has been operational for...
Article
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This paper examines the information content of implied volatility of structured call warrants in the Singapore Stock Exchange. The study is among the first to examine the implied volatility of equity options (structured call warrants) outside the United States. Using a daily dataset for 252 trading days between August 1, 2014 and July 31, 2015, we...
Preprint
We show that the resilient stock market performance in the US, UK, and Canada amid heightened COVID-19 pandemic uncertainties do not constitute an anomaly. Rather, when one accounts for money supply expansion and immediate liquidity injection facilitated through the monetary policy channel, the market reactions align with theory. Our conclusions st...
Preprint
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We report new evidence that the cryptocurrency market behaves as an independent asset class based on high-dimensional stochastic-volatility commonality tests against a basket of global investor sentiment proxies. Our approach's novelty resides in employment of appropriate sources of risk and uncertainty and two comprehensive indices (CRIX and VCRIX...
Article
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This paper briefly overviews several challenging dimensions pertaining to cryptocurrencies with respect to their valuation, legitimacy, design, consensual acceptance and market-based stylized facts with a view to understanding whether this new asset class indeed has the potential to become an alternative, or a replacement, to traditional fiat curre...
Article
Full-text available
Purpose–This study aims to investigate the effects of capital control and external debts after the 1997financial crisis. Design/methodology/approach–Using system estimation approach, the authors estimate a panel data-based econometric model for data on Malaysia, Thailand, Indonesia, the Philippines and South Korea from 1990 to 2017. Findings–The...
Article
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Purpose This study aims to investigate the effects of capital control and external debts after the 1997 financial crisis. Design/methodology/approach Using system estimation approach, the authors estimate a panel data-based econometric model for data on Malaysia, Thailand, Indonesia, the Philippines and South Korea from 1990 to 2017. Findings The...
Article
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This article utilizes high-frequency 15-s intraday data from September 2017 through to August 2018 to investigate price leadership dynamics between Kuala Lumpur index futures (FKLI) and its underlying spot market: FTSE Bursa Malay-sia Kuala Lumpur Composite Index (FBM KLCI) in Bursa Malaysia. Harnessing the explanatory powers of Wavelet analysis, w...
Article
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Proponents of circuit breakers justify the practice citing its utility in placating stressed markets, persuading agents to reflect on available information, and to trade rationally. Opponents counter by calling it an infringement on laissez-faire price discovery process citing the lack of conclusive evidence of their effectiveness in market crises....
Article
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Purpose This paper is the first comprehensive investigation of the shipping industry's efficiency in five countries from the ASEAN region: Malaysia, Singapore, the Philippines, Thailand and Vietnam. Design/methodology/approach Employing Data Envelopment Analysis and Stochastic Frontier Analysis, this paper compares efficiency dynamics of 45 intern...
Article
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This paper investigates the predictive ability of web search behavior in connection with stock market returns and trading volume in five emerging economies in the ASEAN region using econo-metric and signal-processing techniques. More specifically, we use Vector Error Correction Model in conjunction with Wavelet analysis and find consistently low pr...
Article
We report new evidence that speculation in energy and precious metal futures are more prevalent in crisis periods and even more so during the COVID-19 pandemic. In contrast, agricultural futures attract more hedging pressure. Post-GFC patterns mirror the 1980s’ recessions. Using quantile regression on a long-horizon sample we also find that specula...
Article
Full-text available
Purpose This paper sets out to investigate whether the four members of the common monetary area (CMA) regime experience similar inflation-unemployment dynamics as explained by the Phillips Curve phenomenon. Design/methodology/approach This study uses a combination of seemingly unrelated regression (SUR) and Copula based marginal regression techniq...
Conference Paper
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This paper reports findings on an important under-explored phenomenon in empirical finance literature: the evolution of persistence risk in stock and foreign exchange markets. Utilizing monthly data from 1994 to 2019 of four countries, I examine time-varying persistence in returns and stochastic volatility of real effective exchange rate and select...
Preprint
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This paper reports findings on multiple important phenomena in capital flow literature: internal and external shock transmission to foreign direct investment and foreign portfolio investment. Operating on Turkey as a case study, I disaggregate quarterly gross capital inflows (FDI and FPI) and examine their time-varying responses to shocks in advanc...
Article
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The panic wrought by the 1997 Asian financial crisis spurred different mitigative measures. Some states assented to IMF bailout and restructuring, while others enforced capital control. Since then, despite intense academic and regulatory scrutiny of the nuances of the recession, empiric focus on recovery trajectory of affected countries centred chi...
Article
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This paper investigates lead-lag relationship between heavyweight cryptocurrencies Bitcoin and Ethereum. Traditional studies of information flow between markets preponderate on cash vs. futures, whereby researchers are interested in the stabilizing impact of futures on spot markets. While interest in the same relationship in the nascent cryptocurre...
Article
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Empirical works testing randomness of stock prices are abundant. Such findings, however, can be challenged if time-series datasets examined are subjected to price limits, which, ex vi termini, enforce bounded movements. This paper examines the random walk hypothesis for Malaysian equity market under three price limit regimes from January 1994 to Se...
Article
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Purpose Despite regulatory claims of straitening volatility and preventing crashes, evidences on circuit breakers' ability to achieve so are nonconclusive. While previous scholars studies general performances of circuit breakers, the authors examine whether Malaysian price limits aggravate volatility, impede price discovery, and interfere with trad...
Article
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The authors investigate contango and backwardation formations and seasonality traits in Malaysia over 22 years spanning 1995 to 2017. Employing graphical observations and statistical tests, contango and backwardation traits appear through market expectations, seasonality, cost of carry model predictions, and index volatility. Unit root, cointegrati...
Article
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Price limits have skirted controversy since inception. Regulators claim limits curb volatility, allay stressed markets, and encourage reflection on information to trade rationally. Opponents contend saying limits delay the inevitable by postponing volatility, deferring equilibrium price discovery, and obtrude investors' trading plans. While these u...
Article
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Purpose The purpose of this paper is to investigate the drivers of the behaviour intention to use the Silver-Backed Mobile Payment System (SBMPS) among the residents of Kattankudy, Sri Lanka. Design/methodology/approach Based on technology adoption model theory, a conceptual framework was devised, which was later tested via structural equation mod...
Article
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Malaysia and South Korea, successful graduates of Asian Financial Crisis, employed different paths to recovery via Capital Control and IMF bail-out respectively. This paper tracks recovery trajectories of the two nations via orthodox and emergent growth indicators: GDP and GPI. We report unemployment, open-trade, fixed capital accumulation, and pri...
Article
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The adequacy of legal and regulatory framework relating to nuclear energy in Bangladesh has sparked many questions since the government took the formal decision to establish a nuclear power plant at Rooppur. Consequently, the government has taken some measures to make a comprehensive and robust framework to ensure safe and secure nuclear energy pro...
Article
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Purpose Magnet effect entails a hypothesis in market microstructure entailing a systemic likelihood of prices being sucked toward the theoretical threshold. The purpose of this paper is to investigate the existence of magnet effect in Bursa Malaysia via overnight returns. Design/methodology/approach This study investigates the existence of magne...
Conference Paper
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The implied volatility for Singapore's structured call warrants is a biased and inefficient predictor of future realized volatility. However, the implied volatility does contain some information on realized volatility. Six subsamples from at-the-money and in-the-money groups pass the proposition that implied volatility has more explanatory power th...
Conference Paper
The traditional theory of economics—and, by extension, business schools—stems from assumptions of a rational man: homo economicus. This man, representative of the average citizen, has been—for centuries—presumed to be narrowly self-interested and a utility maximizer. Multidisciplinary research rooted in psychology in the 1980s and 1990s began to ch...
Article
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Academic efforts in concocting a plausible alternative to fiat regime often staggers given inherent constrictions of Islamic jurisprudence and economic technicalities. Despite passionate advocacy of Muslim scholars, the campaign for gold dinar and silver dirham runs into allegations of being simplistic, anachronistic, regressive, unnecessary, and s...
Article
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Maqasid of Shari'ah is a millennium old theory on the higher objectives of Islamic divine law. As the discipline of Islamic economics and finance grew in politico-economic importance in the past three decades, a cathartic trend has emerged among Muslim experts to realign economic and financial practices with not merely the minimum legal requirement...
Article
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Purpose The purpose of this paper is to provide a critical, historical, and legal account and analysis of how money, an inexorable lubricant of all economies, evolved from metallic origins to acceptance in paper form in Muslim traditions. Design/methodology/approach This paper underlines flaws, points of objections, corollaries and counter-points...
Article
Full-text available
Utilizing an experimental Non-linear ARDL technique (NARDL), this paper tests an ex-ante hypothesized side-effect of financial market circuit breakers called the magnet effect. The hypothesis states that, in large price swing scenarios, circuit breakers (limits or halts), by their very existence, invite trading activities towards themselves in a wa...
Article
Full-text available
This paper aims to provide a comparative discussion on silence as a misrepresentation in contractual obligations between common law and Islamic law. The objective of this paper is to – from a legal pluralism point of view – highlight the contrasts between the two traditions and provide recommendations for best practices to achieve fairness and equi...
Preprint
Full-text available
Purpose Money plays an indispensable role in vitalizing economic activities of a country. This occurs not merely through facilitating exchange but also through serving as a basic survival tool as unit of account and store of value. Design/methodology/approach This paper underlines such flaws, points of objections, corollaries and counter-points,...
Conference Paper
Full-text available
Since the late 1980s it has become a common practice worldwide-especially in frontier markets-to impose price limits on stock prices, effectively stunting its intraday growth or decline beyond a certain bracket. Ostensibly, its purport is to prevent investor overreaction, regulatory control of market micro-structure, prevention of crash, and to smo...
Preprint
Full-text available
Utilizing an experimental Non-linear ARDL technique (NARDL), this paper tests an ex-ante hypothesized side-effect of financial market circuit breakers called the magnet effect. The hypothesis states that, in large price swing scenarios, circuit breakers (limits or halts), by their very existence, invite trading activities towards themselves in a wa...
Article
Full-text available
Purpose – This paper aims to delve in an aspect of monetary economics, addressing its Islamic wing in general and dinar advocates in particular. Design/methodology/approach – The paper argues that calls to reinstitution of dinar currencies are not only anachronistic and unnecessary but also counter-productive and potentially un-Islamic. Findings –...
Conference Paper
This paper examines the influence wielded by social media buzz on stock market performances of selected stocks from several ASEAN stock exchanges. The advent of social media has changed the dynamics of information propagation and utilization in stock markets. Though information asymmetry still persists, current literature has only recently caught u...
Article
Full-text available
For most scholars, the concept of selling short, where financial assets are sold without prior possession or ownership, transgresses Islamic principles. However, the Shariah Advisory Council of the Securities Commission of Malaysia (SAC) went against the majority by permitting short selling in 2006. Conventional finance points out that short sellin...
Article
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Order imbalance is one of the indicators used by traders to assess the excess of buy or sell orders for a security traded on an exchange. Order imbalance data are made transparent to market participants so as to enhance the quality of the opening and closing auction in the exchange. While order imbalance can result from escalating volatility of sec...

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