Nader Virk

Nader Virk
Swansea University | SWAN · Accounting and Finance

D.Sc.
Senior Lecturer in Finance

About

34
Publications
3,572
Reads
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95
Citations
Additional affiliations
June 2013 - July 2015
Hanken School of Economics
Position
  • PostDoc Position

Publications

Publications (34)
Article
Full-text available
The evaluation for the specification errors of asset-pricing models is conducted using numerous characteristic portfolios for the Finnish stock market. The selection of the market is motivated by the atypical setting wherein few firms dominate the total market capitalization and small numbers of stocks are listed. We report diverging risk-returns t...
Article
Full-text available
Preferential modifications to the standard state and time separable power utility are studied for the Finnish equity and bond returns. The reported ambivalence of the high equity premium and low Sharpe ratio makes the Finnish market an important case study. The estimations of the Epstein and Zin (1991) recursive utility and the Campbell and Cochran...
Article
Full-text available
Deviations from the CAPM have generally been observed for the stock markets. One of many alternative approaches is using macro variables as systematic risks. We tested with a number of macro risks for the explanation of Finnish industry returns for a period from 1993:03 until 2008:07. The evidence suggests macro risks explain larger cross-sectional...
Article
Full-text available
The study provides a comprehensive review on the equity premium puzzle for Finnish stock market. The analysis indicates large risk aversion values for Finnish representative agent to justify the observed equity premium. The negative consumption growth implies a premium for lending in the equilibrium, atypical in reported international evidence. The...
Article
We examine the impact of religious agency on the performance of GCC Islamic banks. Our results show that a high proportion of prominent religious scholars on Shariah supervisory boards (SSB) improves financial performance. However, when a prominent Shariah scholar chairs the SSB there are negative performance effects. With the high concentration of...
Article
We capture two distinct investing preferences – hedging against aggregate liquidity risk or betting on it – in the cross-section of stock returns. A three-factor model underpinned by exposures to changes in market liquidity, isolating two alternating patterns, is developed. Our results can be summarized in the following ways: one, the improved perf...
Article
This study investigates the dependence structure between bitcoin (BTC) and five leading – leaving the US dollar out – conventional currencies by using Engle's (2002) DCC model. Results show a detachment between changes in BTC returns and fiat currencies. The weak association between conditional BTC volatility and its dynamic pairwise correlations w...
Article
Purpose The authors aim to assess whether herding in GCC stock markets is more responsive to global dynamics than its response to regional developments. To do so, they use the largest equity market in the region which is Saudi Arabia as the benchmark, and then they examine if herding crosses from this large regional market to the rest of equities i...
Article
The spillover risk and systemic risk of the troubled banking sectors of Greece, Ireland, Italy, Portugal and Spain (GIIPS) for the rest of the European and the US banking sector are investigated using the conditional value-at-risk (CoVaR) framework. Our results show that the CoVaR estimates are sensitive to the choice of static and dynamic parametr...
Article
We document that the variation in market liquidity is an important determinant of momentum crashes that is independent of other known explanations. This relationship is driven by the asymmetric large return sensitivity of short‐leg of momentum portfolio to changes in market liquidity that increases the tail risk of the momentum strategy in panic st...
Article
Full-text available
We investigate the influence of oil market volatility and hand‐picked OPEC meetings data on herding tendency in the Saudi equity market. Our results show the presence of significant herding behaviour in the Saudi market; surprisingly this herding behaviour is independent of oil market volatility. Importantly, we find herding on and around the OPEC...
Article
Full-text available
We analyze preferences of foreign institutional investors in the Chinese stock market in a sample that covers 2003 to 2014. We find that foreign investors changed their investment behavior during the sample period from generic patterns found in much of the world to China-specific patterns. The results suggest that foreign institutions learned to ad...
Article
The entrenchment effects of 20 prominent Shariah scholars show an increase in the agency costs for the Islamic banks in our study. This supports the notion that managers may provide concessions to external non-shareholding stakeholders to pursue their personal agendas.
Preprint
Full-text available
Integration patterns between five leading conventional currencies after the US dollar and Bitcoin boost the investment potential of the latter relative to its hedging potential. We document that conditional Bitcoin volatility does not influence its dynamic pairwise correlations whereas the change in volatility of conventional currencies do affect t...
Article
A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is presented. We argue alternating liquidity exposures depict two distinct investment preferences – hedging against aggregate liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show t...
Article
Full-text available
We document that the variation in market liquidity is an important determinant of momentum crashes that is independent of other known explanations surfaced on this topic. This relationship is driven by the asymmetric large return sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum stra...
Article
Full-text available
In this paper we use the DCC-MIDAS (Dynamic Conditional Correlation- Mixed Data Sampling) model to infer the association between oil and equities in five MENA countries between February 2006 and April 2017. The model indicates that higher oil returns tends to reduce the long-term risk of the Saudi market, but to increase it in other markets. The ri...
Article
We analyse the behaviour of returns of various zero-investment (ZI) strategies motivated by the well-reported return crashes witnessed for momentum anomaly in down market states (DMS). We find that momentum crashes during market downturns are not unique. Instead, our results show that an alternating return generating process is at work across ZI st...
Article
Full-text available
We analyse the integration patterns of seven leading European stock markets from 1990 to 2013 using daily data and mismatched monthly macroeconomic data. To study the mismatch of data frequencies we use the DCC-MIDAS (Dynamic Conditional Correlation Mixed Data Sampling) technique developed by Colacito, Engle and Ghysels (Journal of Econometrics, 20...
Article
We study the variations in the US momentum returns using shocks to contemporaneous and lagged market illiquidity. We assert that the momentum strategy is hedged against systematic illiquidity risk. The impact of systematic illiquidity risk on momentum profits is shown to be distinctive from the effect of supplying liquidity. Our results show that t...
Article
This paper presents a simplified single period asset-pricing model adjusted for liquidity and tests it for the Nordic markets. The detailed empirical evidence is presented from Finnish test case. Empirical testing of small yet developed markets is motivated by the increased relevance of the illiquidity effect for illiquid assets/markets. The main e...
Article
This paper presents a simplified single period asset-pricing model that adjusts for illiquidity and tests for the Finnish stock market. The empirical testing for a small yet developed market is motivated by the increased relevance of the illiquidity effect for illiquid assets/markets vastly reported in the literature. Our results support our hypoth...

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