Mudassar HasanUniversity of Lahore | UOL · Lahore Business School
Mudassar Hasan
Doctor of Philosophy
About
44
Publications
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Introduction
Publications
Publications (44)
This study investigates the influence of family ownership and family control on firm performance while considering the moderating effect of gender diversity. Utilising a dataset of 226 nonfinancial firms listed on Pakistan Stock Exchange spanning from 2008 to 2019, the paper employs the Generalized Method of Moments (GMM) estimation to test the pro...
Using 10 significant cryptocurrencies, we construct emotional spillovers and provide inferences about the transmission of fear and greed shocks. The results show intense emotional bonding signifying a high level of cryptocurrency interdependence through the sentiment channel of crypto traders and investors. The amplitude of idiosyncratic (own) conn...
We test whether an effective board affects firm value (FV) in Pakistan and whether stock liquidity (LIQ) mediates this relationship. To test this conjecture, we introduce an effective board index (EBI) using board size, board independence, board diversity and CEO duality. By employing the fixed effect model, we find that an effective board reduces...
This study investigates the diversification properties of precious metals for African stock markets. We report that gold offers the strongest safe haven and hedging potential for African equity markets. Our quantile-coherency analysis indicates a low safe haven ability of precious metals in the long-run. Palladium provides both safe haven and hedge...
Oil shocks demonstrate an effective economic event in the face of several unprecedented financial challenges. The current study endeavors to investigate the nexus between oil shocks and agriculture commodities with portfolio implications. Building on the novel techniques of time- and frequency spillovers and portfolio analysis, we unlocked the pote...
Geopolitical risk (GPR) tends to cascade from one country to another. Understanding GPR transmission is important to devising risk management strategies for institutional investors and corporate managers, and national security policies for governments. In this paper, we measure and explain cross-country transmission of GPR. Our sample covers 19 cou...
![Figure 1: Full sample network using D.Y. [12] a) Without Thresholding](profile/Sitara-Karim/publication/358609402/figure/fig1/AS:1124779092393985@1645179641568/Full-sample-network-using-DY-12-a-Without-Thresholding_Q320.jpg)
![Figure 2: Full sample network using B.K. [18] -Short-term](profile/Sitara-Karim/publication/358609402/figure/fig2/AS:1124779092381698@1645179641627/Full-sample-network-using-BK-18-Short-term_Q320.jpg)
This study presents fresh insights into the connectedness of oil shocks and agriculture commodities spanning January 1, 2006 to October 30, 2020. We employed the methodology developed by Ready (2018), which splits the oil price into demand and supply shocks. Further, we used the connectedness approach of Diebold and Yilmaz (2012) and Barunik and Kr...
We examine the dynamics of liquidity connectedness in the cryptocurrency market. We use the connectedness models of Diebold and Yilmaz (Int J Forecast 28(1):57–66, 2012) and Baruník and Křehlík (J Financ Econom 16(2):271–296, 2018) on a sample of six major cryptocurrencies, namely, Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH), Ripple (XRP), Monero...
This paper examines the safe-haven and hedging potential of oil and gold against industrial metals and agricultural commodities using a novel approach of quantile-on-quantile regression (QQR). For empirical analysis, we use the data on these commodities from January 2000 to December 2018, which further splits up into two sub-periods based on the gl...
Using 5-minute data, we capture higher-moment connectedness among three dominant cryptocurrencies. We find a moderate realized-volatility connectedness wherein Bitcoin and Litecoin (Ripple and Binance Coin) emerge as the leading spillover receivers (transmitters). A robust realized-skewness connectedness is found between Bitcoin, Ethereum and Litec...
Against the backdrop of the exponentially growing trend in green finance investments and the calls for green recovery in the post-COVID world, this study presents the time-frequency connectedness between green and conventional financial markets by using the spillover models of Diebold and Yilmaz (2012) and Baruník and Křehlík (2018). Covering a sam...
The extant literature examines the impact of US uncertainty on international stock markets without paying much attention to the inherent spillovers between the US and the stock markets. This study investigates the role of US uncertainty in driving global stock market spillover from the US. To this end, we consider a wide range of stock markets arou...
This study draws a comparison between the Global Financial Crisis (GFC) and the COVID-19 pandemic crisis to assess the safe-haven potential of Islamic stocks for G7 stock markets. We employ the cross-quantilogram framework of Han et al., which considers the non-linearity in the relationship, and thus captures the correlation between the Islamic and...
We examine linkages between the time‐frequency dynamics of fear (VIX) connectedness across global stock markets and alternative asset markets. To this end, we utilize Diebold and Yilmaz, International Journal of Forecasting, 2012, 28, 57–66; Diebold and Yilmaz, Journal of Econometrics, 2014, 182, 119–134; and Baruník and Křehlík, Journal of Financi...
We examine the hedge and safe-haven properties of conventional currencies for four cryptocurrencies — Bitcoin, Ethereum, Ripple, and Litecoin. We extend the Baur and McDermott (2010) framework, where the safe-haven role is examined against reverse explosiveness in cryptocurrency prices. Our results suggest that the Japanese yen is the most consiste...
This study investigates the integration of environmental, social, and governance (ESG) equity indices with conventional indices in Brazil, Russia, India, China, and South Africa (BRICS) individually and across all BRICS countries to better understand regional economic cooperation. Accordingly, we look at daily returns from 13 July 2013 to 28 Februa...
In this study, we examine the asymmetric short- and long-run spillover among commodities using realized variances and realized semivariances calculated through 5-min trading data of commodity futures. In doing so, we apply time and frequency domain generalized error variance decomposition approaches and build a network of commodity connectedness. O...
This study examines the connectedness of the electricity sector in Asia by employing the connectedness models of Diebold and Yilmaz (2012) and Barunik and Krehlik (2018). Our sample includes the following Asian countries: China, Hong Kong, India, Japan, Malaysia, Pakistan, Philippines, South Korea, Thailand, and Vietnam. Our full sample analysis re...
A bulk of literature suggests that geopolitical events such as terrorist attacks dampen tourism demand. However, there is little research on whether this effect helps predict the return of the tourism equity sector. We provide country-level evidence on whether local and global geopolitical risk (GPR) predicts the first and second moments of tourism...
The implied volatility index is a forward-looking indicator of fear among stock market participants. We examine the extent to which the connectedness of fear among global stock markets is driven by the crosscountry connectedness of economic policy uncertainty (EPU). We use data on stock market fear and EPU indices for 13 countries, which spans from...
This study investigates the relationship between financial development (FD) and energy consumption (ENC) in the top 20 energy-consuming countries by relying upon quarterly observations from 1970 to 2016. Our sample and the USA. We employ two unique techniques, namely the Quantile-on-Quantile (QQ) framework introduced by Sim and Zhou (2015) and the...
This paper provides evidence on the likelihood of formal finance usage among innovative small and medium enterprises (SMEs) operating in ASEAN countries. To this end, the SMEs are classified into four categories, namely non-innovators and product, process, and product-and-process innovator SMEs. Subsequently, a propensity score weighting (PSW) anal...
We compare the hedging, safe-haven, and diversification potential of gold and Bitcoin for different investment styles and industry portfolios in the United States. We find that gold is at least a weak hedge for the style and industry portfolios except for utilities, energy, and telecom. The hedging potential of gold is comparatively higher for larg...
In this paper, we introduce a weekly index of economic policy uncertainty (EPU) for New Zealand and examine the return and volatility spillovers from New Zealand (local) and US (foreign) EPU on aggregate (NZSE) and sectoral indices of New Zealand stock market. The multivariate VAR (1)-BEKK-GARCH model is employed for this purpose. Overall, our find...
We investigate whether the global financial crisis (GFC) changed the tail and frequency interdependence between BRICS stock markets and two strategic commodities (oil and gold). To that end, we employ two novel approaches namely the quantile on quantile (QQR) regression and the quantile coherency (QC). The QQR approach reveals that while the positi...
The volatility spillover is defined as the transmission of instability from market to market. It occurs when the volatility price change in one market causes a lagged impact on volatility price in another market above the local effects of market. In this study the garchmodels are used to examine the possibility of volatility transmission between th...
The volatility spillover is defined as the transmission of instability from market to market. It occurs when the volatility price change in one market causes a lagged impact on volatility price in another market above the local effects of market. In this study the garchmodels are used to examine the possibility of volatility transmission between th...
This study aims to evaluate the success of moving averages (MA) trading rules for portfolios sorted based on their volatility of their returns in post financial liberalization era in Pakistan stock Exchange (PSE). We provide evidence of excessive returns for volatility sorted decile portfolios over passive portfolios with exception of maximum volat...
Business tourism has brought significant benefits to New Zealand’s tourism industry and economy. This study aims to provide a better understanding of the impact of economic uncertainty on New Zealand’s business tourism. The panel data gravity model and the maximally correlated portfolio are used to investigate the impacts of economic policy uncerta...
The study has been conducted to explore the relationship between financial leverage and financial performance. The study also involves macroeconomic perspective by involving few macro variables like interest rate. It has been conducted on the nonfinancial sector of Pakistan including all nonfinancial companies listed at Karachi Stock Exchange (KSE)...
This paper investigates the relationship between dividend payout ratio and profitability of a firm. For this, two main sectors of Pakistan are selected, energy and textile. We employed the date of 2004–2015. We employed the logarithmic regression analysis. The results of logarithmic regression show that there is a negative impact of dividend payout...
This study explores the determinants of cross-country economic policy uncertainty (EPU) spillovers. We find that bilateral factors such as trade and common language play a highly significant role in explaining the magnitude of EPU spillovers. Furthermore, the magnitude of EPU spillovers is higher for countries having higher vulnerability in terms o...
Predicting stock returns, despite being complicated, has always been of interest to investors, financial analysts, academicians and policy makers. The finance theory, broadly, follows two approaches, namely fundamental and technical analyzes, in order to forecast future prices. Fundamental analysis uses variables related to intrinsic properties of...
This study aims to evaluate the success of moving averages (MA) trading rules for portfolios sorted based on their volatility of their returns in post financial liberalization era in Pakistan stock Exchange (PSE). We provide evidence of excessive returns for volatility sorted decile portfolios over passive portfolios with exception of maximum volat...
This study examines the role of corporate governance on the non-performing loans of the banking sector of Pakistan. The study also examines how the government type either democratic government or dictator government influence the banking industry in nonperforming loans context. This study sample includes all types of banks i-e State owned banks, Pr...
The study aims at the investigation of the relationship between the volatility of exchange rate and imports, exports and trade deficit of Pakistan while making a comparison between three consecutive decades (1980 through 2010). This comparison is intended to account for the political influence of democratic and non-democratic regimes on exchange ra...
This study sets out to investigate the influence of perceived value, customer expectation, corporate image and perceived service quality on the customer satisfaction particularly in Pakistan telecommunication industry. To test the conceptual framework, multiple regression has been used to analyze the data collected from 450 respondents of Pakistan...
This paper investigates the relationship between dividend payout ratio and profitability of a firm. For this, two main sectors of Pakistan are selected, energy and textile. The study covers a time span of 1996-2008. Firm performance is measured by earning per share (EPS) and return on assets (ROA). The results of logarithmic regression show that no...
Economic reforms are inevitable for the development of an economy like Pakistan. During the last two decades, Pakistan has passed through phenomenal economic changes and reforms. In the 1990’s, we had seen privatisation plans initiated by the government as a major economic reform. Similarly, to demonstrate the seriousness of the government in encou...
Questions
Question (1)
Recently, we conducted a survey among SMEs in the Tees Valley region of England, in which we experienced a considerably low response rate from SME managers, supervisors, and owners. This was despite the fact that the topic was not sensitive and no personally identifiable information was collected from SMSs. This motivates us to look for ways to improve SME response rate, and hence this question?
I know the response rate may vary depending on several factors, including the research topic, time, medium etc. But still I would like to invite colleagues to contribute further and help us build a better understanding around this issue.
Thankin in advance!
