Portrait of Dr Mohammad Hasan

Dr Mohammad Hasan

Senior Lecturer in Finance

About

Dr Mohammad Hasan joined the Accountancy and Finance subject group of Kent Business School in September 2009. He received his PhD from the Northeastern University, USA. He previously held Associate Professor post at the King Fahd University of Petroleum and Minerals (KFUPM), Saudi Arabia (2008-2009) and Senior Lecturer post at the Sheffield Hallam University (1996-2006).

Research interests

Financial economics, international finance, macro and monetary economics.
Dr Hasan is working with Professor Toufiq Choudhry of Southampton Management School on the ‘assessment of forecasting performance of time-varying hedge ratios of stock indices futures in selected emerging markets’, and with Dr Robert Gausden of Portsmouth Business School on ‘the effects of economic uncertainty on different forms of household expenditures’. 

Teaching

Dr Mohammad Hasan taught Finance modules in the undergraduate and postgraduate degree programmes. He is currently teaching International Money and Finance, and Financial Systems and Institutions in the MSc Finance suite and Principles of Finance in the Accounting and Finance undergraduate degree Programme.

Supervision

Past supervisees 

  • Omar Shaikh (School of Economics): Essays on Risk, Religion and Social Preferences

Professional

  • Fellow of the UK Higher Education Academy
  • Member of the American Economic Association. 

Publications

Showing 50 of 65 total publications in the Kent Academic Repository. View all publications.

Article

  • Ahmed, R., Hasan, M. and Sultan, J. (2020). Meteor shower and global asset allocation. European Journal of Finance [Online]. Available at: https://doi.org/10.1080/1351847X.2020.1774406.
    Cross-market linkages allow transmission of shocks among markets. Previous measures of such spillovers are based on broader stock market indexes, which cannot identify the industries that are the principal drivers of spillovers and the industries that are most exposed to the spillovers. Using investable equity indexes, we show that basic materials, financials, industrials, technologies, and telecommunication equity sectors were the primary exporters of volatility from the U.S. and that the magnitude of the spillovers increased primarily during andpost-2008 financial crisis. There is evidence that Canada was most vulnerable to spillovers, while China’s exposure was the lowest among the countries in the sample. Based on the minimum variance portfolio optimization, we find that investing in foreign industries with low exposure to spillovers from the U.S. generates high Sharpe ratios for U.S. portfolio managers, especially during the financial crisis.
  • Hasan, M., Choudhry, T. and Zhang, Y. (2020). An Econometric Investigation of Hedging Performance of Stock Index Futures in Korea: Dynamic versus Static Hedging. International Journal of Banking Accounting and Finance [Online] 11:227-253. Available at: http://dx.doi.org/10.1504/IJBAAF.2020.10028050.
    Employing daily data of stock index and stock index futures, this paper empirically investigates the hedging effectiveness of time-varying hedge ratios of emerging futures markets using South Korea as a case. This paper employs eight variants of GARCH models to estimate the hedge ratios along with the conventional methods, and compares the hedging effectiveness of these estimated hedge ratios across model specifications using both within-sample and out-of-sample forecasting performances. In contrast to recent research findings, hedging performance based on a conventional OLS method outperforms the GARCH class models.
  • Gausden, R. and Hasan, M. (2020). Comparative Performances of Measures of Consumer and Economic Sentiment in Forecasting Consumption: A Multi-Country Analysis. Applied Economics [Online] 52:1088-1104. Available at: https://doi.org/10.1080/00036846.2019.1659489.
    This paper seeks to compare the capabilities of assorted measures of consumer and economic sentiment in predicting the growth of household expenditure. An analysis of quarterly data on five European countries shows that for none of these can the model which incorporates the EU’s headline consumer confidence indicator be deemed to be significantly inferior to any of its seven rivals. However, the rankings of the sentiment variables are seen to be influenced by: the proportion of total spending by households that is devoted to durable goods; and the nature of the behaviour of consumption over the forecast interval.
  • Alexandridis, A. and Hasan, M. (2019). Global financial crisis and multiscale systematic risk: Evidence from selected European stock markets. International Journal of Finance and Economics [Online]. Available at: https://dx.doi.org/10.1002/ijfe.1764.
    In this paper, we have investigated the impact of the global financial crisis on the multi-horizon nature of systematic risk and market risk using daily data of eight major European equity markets over the period of 2005-2018. The method is based on a wavelet multiscale approach within the framework of a capital asset pricing model. Empirical results demonstrate that beta coefficients have a multiscale tendency and betas tend to increase at higher scales (lower frequencies). In addition, the size of betas and R2s tend to increase during the crisis period compared with the pre-crisis period. The multiscale nature of the betas is consistent with the fact that stock market investors have different time horizons due to different trading strategies. Our results based on scale dependent value-at-risk (VaR) suggest that market risk tends to be more concentrated at lower time scales (higher frequencies) of the data. Moreover, the scale-by-scale estimates of VaR have increased almost three fold for every market during the crisis period compared with the pre-crisis period. Finally, our approach allows for accurately forecasting time-dependent betas and VaR.
  • Sultan, J., Alexandridis, A., Hasan, M. and Guo, X. (2019). Hedging Performance of Multiscale Hedge Ratios. Journal of Futures Markets [Online] 39:1613-1632. Available at: https://dx.doi.org/10.1002/fut.22047.
    In this study, the wavelet multiscale model is applied to selected assets to hedge time-dependent exposure of an agent with a preference for a certain hedging horizon. Based on the in-sample and out-of-sample portfolio variances, the wavelet-based GARCH model produces the lowest variances. From a utility standpoint, wavelet networks combined with GARCH have the highest utility. Finally, the wavelet GARCH model has the lowest minimum capital risk requirements (MCRR). Overall, the wavelet GARCH and wavelet networks offer improvements over traditional hedging models.
  • Choudhry, T., Hasan, M. and Zhang, Y. (2019). Forecasting the Daily Dynamic Hedge Ratios in Emerging European Stock Futures Markets: Evidence from GARCH models. International Journal of Banking Accounting and Finance [Online] 10:67-100. Available at: https://doi.org/10.1504/IJBAAF.2019.099316.
    This paper empirically estimates and forecasts the hedge ratios of three emerging European and one developed stock futures markets by means of seven different versions of GARCH model. The seven
    GARCH models applied are bivariate GARCH, GARCH-ECM, BEKK GARCH, GARCH-DCC, GARCH-X, GARCH-GJR and GARCH-JUMP. Daily data during January 2000-July 2014 from Greece, Hungary, Poland and the UK are applied. Forecast errors based on these four stock futures portfolio return forecasts (based on forecasted hedge ratios) are employed to evaluate out-of-sample forecasting ability of the seven GARCH models. The comparison is done by means of Model Confidence Set (MCS) and modified Diebold-Mariano tests. Forecasts are conducted over two nonoverlapping out-of-sample periods, a two-year period and a one-year period. MCS results indicate that the GARCH model provides the most accurate forecasts in five cases, while each of the GARCH-ECM, GARCH-X and GARCH-GJR models constitutes model confidence set in four cases at a reasonable confidence level. Models selection based on modified Diebold-Mariano tests further corroborate results of the MCS tests. Differences between the portfolio returns also indicate the high forecasting ability of GARCH-BEKK and GARCH-GJR models.
  • Gausden, R. and Hasan, M. (2018). An assessment of the contribution of consumer confidence towards household spending decisions using UK data. Applied Economics [Online] 50:1395-1411. Available at: http://dx.doi.org/10.1080/00036846.2017.1363859.
    The European Commission’s consumer confidence indicator (CCI) is assembled from responses to four questions about individual and general economic prospects which form part of the EU’s Consumer Survey. However, concerns may be raised about whether the four components should be constrained to exerting the same influence in a forecasting model of household consumption. Also, in this context, it would seem to be appropriate to permit a role to other information that is obtained from the EU survey. Consequently, in this article, different regression functions are specified in order to assess whether there is any gain to be achieved in predictive accuracy from adopting a more flexible approach towards using the data from the EU questionnaire. With an emphasis upon parsimony, an econometric analysis is performed in conjunction with UK quarterly data on household consumption expenditure. For two categories of spending, it is discovered that the quality of forecasts benefits from having undertaken disaggregation involving survey data beyond those which contribute towards the calculation of the CCI. Indeed, the respective consumption variables (relating to non-durable goods and durable goods excluding vehicles) are seen to be associated with relatively volatile behaviour over the forecast interval, 2008–2013.
  • Gausden, R. and Hasan, M. (2016). Would information on consumer confidence have helped to predict UK household expenditure during the recent economic crisis?. Applied Economics [Online] 48:1695-1709. Available at: https://doi.org/10.1080/00036846.2015.1105926.
    The objective is to investigate whether access to data on consumer confidence would have aided forecasts of the growth of the UK household expenditure over the recent period of economic crisis. A disaggregated study is performed on the basis that consideration is given not only to household spending in total but also expenditure on each of durable goods, semi-durable goods, nondurable goods and services. The empirical analysis demonstrates how modifications which are made to the harmonized indicator of the European Commission are able to enhance predictive accuracy. However, the benefit which is derived from consulting consumer survey data does not extend to an earlier interval over which the behaviour of consumer sentiment was far less volatile.
  • Hasan, M. (2015). The relationship between economic growth and exports in mainland China:evidence from the structural time series model. The Empirical Economics Letters 14:537-542.
    This paper re-examines the nature of time series relationship between economic growth and exports using structural time series modelling approach based on the quarterly data of mainland China over the period 1979 to 2006. Empirical result indicates a feedback relationship between exports growth and economic growth which validates the joint hypotheses of ‘export-led growth’ and ‘growth-led exports’.
  • Gausden, R. and Hasan, M. (2012). A Comparison of Consumer and Retail Trade Confidence Indicators for Predicting Household Expenditure in the U.K. Empirical Economics Letters [Online] 11:669-676. Available at: http://www.eel.my100megs.com/volume-11-number-7.htm.
    The objective of this paper is to compare the usefulness of two confidence indicators for the purpose of predicting spending by households in the UK. Concern is with six different types of consumption expenditure. In contrast to earlier studies, conclusions are founded upon a post-sample, as well as a within-sample, analysis. The fundamental result which is obtained is that the GfK measure of consumer confidence generally outperforms the European Commission’s indicator of confidence within the retail sector.
  • Hasan, M. (2011). Seasonal Cointegration and Long-run Neutrality of Money in the USA. Economic Notes 40:93-105.
    Using the notion of seasonal co-integration and a monetarist model, this paper re-examines the long-run monetary neutrality hypothesis, based on the seasonally unadjusted quarterly data of the US over the period 1959Q1 to 2004Q4. The results indicate that money is cointegrated with price at all possible frequencies while real output is cointegrated with price only at an annual frequency. The cointegration between money and price at the zero frequency, and noncointegration between real output and money at all possible frequencies, suggests that money affects nominal but not real variables in the long-run.
  • Hasan, M. (2010). Modeling the Dynamics of Money Income from a Vector Correction Model. Journal of Developing Areas [Online] 43:233-253. Available at: http://dx.doi.org/10.1353/jda.0.0067.
    The purpose of this paper is to re-examine the empirical relationship among alternative monetary aggregates (M1 and M2), output, prices, interest rates and exchange rates in India. The results of a five-variate vector error correction model are indicative of a bi-directional causality between each of the monetary aggregates and prices. Our findings of a feedback relationship make each of the monetary aggregates a poor intermediate target and informational variable. Moreover, contrary to most recent research in this area, the results are supportive of the real business-cycle view and the Keynesian monetary accommodation hypothesis rather than the monetarists’ theory of the business cycle.
  • Hasan, M. (2010). The long-run relationship between population and per capita income growth in China. Journal of Policy Modeling [Online] 32:355-372. Available at: http://dx.doi.org/10.1016/j.jpolmod.2009.09.005.
    This paper examines the nature of stationarity, cointegration properties and Granger causality on the relationship between population and per capita income in mainland China in a multivariate vector autoregressive model. This study finds the evidence of a common stochastic trend between population and per capita income which is indicative of long-run relationship between these two variables. Empirical results also indicate that a negative long-run causal relationship is flowing from per capita income to population. The short-run relationship between population growth and per capita income growth is at variance across model specifications. The neoclassical growth model reveals that population growth positively contributes to per capita income growth while the modified endogenous growth model shows a negative relationship between these two variables. Moreover, both neoclassical and endogenous growth models indicate that per capita income growth tends to lower the population growth. The long-run relationship is consistent with Becker's view that as income grows, families tend to prefer quality rather than quantity of children.
  • Hasan, M. (2009). Financial Innovations and the Interest Elasticity of Money Demand in the United Kingdom, 1963–2009. International Journal of Business and Economics 8:225-242.
    This paper empirically examines the relationship between financial innovations and interest elasticity of money demand in the UK. Contrary to most research work in this area, the results indicate that financial innovations and other deregulatory changes in financial market conditions after the 1980s have raised the interest elasticity of money demand, and this appears to support the Gurley-Shaw hypothesis. The evidence calls into question the relative efficacy of a monetary targeting approach in the conduct of monetary policy.
  • Hasan, M. (2008). Stock returns, inflation and interest rates in the United Kingdom. European Journal of Finance [Online] 14:687-699. Available at: http://dx.doi.org/10.1080/13518470802042211.
    The Fisherian theory of interest asserts that a fully perceived change in inflation would be reflected in nominal interest rates and stock returns in the same direction in the long run. This paper examines the Fisherian hypothesis of asset returns using alternative techniques of linear regression, and vector error correction models to examine the nature of the relationship between stock returns and inflation in the UK. Consistent with the Fisherian hypothesis, empirical evidence in the linear regression model suggests a positive and statistically significant relationship between stock returns and inflation, which regards common stock as a good hedge against inflation. The results based on the unit root and cointegration tests indicate a long-run reliable relationship between price levels, share prices, and interest rates which could be interpreted as the long-run determinants of stock returns. The findings also suggest a bidirectional relationship between stock returns and inflation. The evidence of a significant Fisher effect is robust across model specifications.
  • Sultan, J. and Hasan, M. (2008). The effectiveness of dynamic hedging: evidence from selected European stock index futures. European Journal of Finance [Online] 14:469-488. Available at: http://dx.doi.org/10.1080/13518470801890685.
    This paper estimates time-varying optimal hedge ratios (OHRs) using a bivariate generalized autoregressive conditional heteroscedastic(GARCH) error correction model. The GARCH specification accounts for timevarying distribution in asset returns while the error correction term preserves short-run deviations between two fundamentally linked assets. Using stock index and stock index futures from four European countries, we compare the hedging effectiveness of the GARCH error correction model with alternative hedging models that hold the OHR constant. Overall, in three out of four cases, the GARCH error correction model is shown to offer superior risk reduction compared with the competing models. Finally, we also estimate the OHRs using the GARCH-X model, which allows the error correction term to be a determinant of the time-varying volatility. The GARCH-X model performs similar to the GARCH error correction model. The results presented in this paper have important insights into the risk management of financial assets when returns distribution changes over time.
  • Choudhry, T. and Hasan, M. (2008). Exchange rate regime and demand for reserves: Evidence from Kenya, Mexico and Philippines. Open Economies Review [Online] 19:167-181. Available at: http://dx.doi.org/10.1007/s11079-007-9023-y.
    This paper empirically investigates the demand for international reserves (and foreign exchange reserves) during fixed and floating exchange rates periods in three developing countries: Kenya, Mexico and Philippines. Based on theoretical models, three factors are identified as important for the demand of international reserves and foreign reserves: average propensity to import, volume of imports and variability of reserves. The paper employs the cointegration methodology and error correction method to investigate the relationships. Cointegration tests results indicate a reliable long-run stationary relationship between the international reserves (and foreign exchange reserves) and the stated explanatory variables across countries and sub-periods of fixed and clean float. The error correction results indicate causality from the explanatory variables to the reserves during both the short and long run. This is true during both the fixed and the floating periods
  • Islam, M. and Hasan, M. (2007). The Macroeconomic Effects of Government Debt on Capital Formation in the United States: An Empirical Investigation. Manchester School [Online] 75:598-616. Available at: http://dx.doi.org/10.1111/j.1467-9957.2007.01032.x.
    In this paper we empirically examine the effects of government debt on interest rate, price, output and capital formation in the USA during the post-war period. Using co-integration methodology supplemented with variance decompositions and impulse response functions, the study found a long-run equilibrium as well as a strong feedback relationship between real debt and real capital formation. The results also indicate that public debt increases inflation with adverse effects on capital formation and real output which broadly support the views of 'monetarists', and partially of the neo-Ricardian economists.
  • Hasan, M. (2006). Equilibrium and efficiency of exchange rates in a silver-based monetary system - the cases of India and Iran. Economics Letters [Online] 93:318-322. Available at: http://dx.doi.org/10.1016/j.econlet.2006.05.022.
    This paper examines the issue of equilibrium and efficiency of exchange rates in a silver-based monetary system during nineteenth century India and Iran. The results based on co-integration tests indicate a reliable long-run relationship between the metallic value and the exchange value of currencies in a silver-based monetary standard. Our results also validate the necessary and sufficient conditions of the efficient market hypothesis.
  • Islam, M. and Hasan, M. (2006). The Monetary Model of the Dollar-Yen Exchange Rate Determination: A Cointegration Approach. International Journal of Business and Economics 5:129-145.
    This paper validates the monetary model in the determination of the dollar-yen
    exchange rate by applying cointegration methodology. Estimation results indicate a
    stationary relationship between the dollar-yen exchange rate and monetary models, with
    long-term causality flowing from monetary variables to the dollar-yen exchange rate. The
    forecasting performance of the monetary model based on the error-correction model
    outperforms random walk models.
  • Hasan, M. (2006). The prices of silver and exchange rates in a metallic monetary system - the cases of India and Iran. Empirical Economics [Online] 31:195-206. Available at: http://dx.doi.org/10.1007/s00181-005-0037-2.
    Using the notion of co-integration theory and a vector error correction modelling approach, this paper examines in retrospect the long-run relationship between the exchange rate of silver-based currencies and the intrinsic value of silver in India and Iran in a bivariate model. The results based on unit root and co-integration tests indicate a reliable long-run relationship between the price of silver and the exchange rate of silver-based currencies. Our findings also suggest a bidirectional relationship between the price of silver and exchange rate of pound per rupee in the case of India and a feedback relationship between the intrinsic value of qiran and the exchange rate of pound per qiran in the case of Iran.
  • Hasan, M. (2006). A century of Purchasing Power Parity: evidence from Canada and Australia. Applied Financial Economics [Online] 16:145-156. Available at: http://dx.doi.org/10.1080/09603100500390091.
    This study empirically examines the Purchasing Power Parity hypothesis using more than a century span of annual data of Australia, Canada and Britain and a battery of unit root tests. The study finds support for the validity of the Purchasing Power Parity hypothesis in the long-run within the framework of both linear and non-linear cointegration tests. The error correction models indicate that it takes four to five years for the short-run deviations from PPP to revert back to the long-run equilibrium. The results also indicate a non-linear mean reversion behaviour in the case of Canada. Overall, the evidence of support for the PPP hypothesis is robust across specifications and testing procedures.
  • Hasan, M. (2006). An empirical investigation to determine the long-run relationship between population growth and per capita income in Bangladesh. Journal of Bangladesh Studies 7:16-26.
  • Hasan, M. (2005). Business cycles, mortgage rates and housing starts in the United Kingdom - an empirical analysis. Briefing Notes in Economics:1-13.
  • Hasan, M. (2005). The information content of M0 in the United Kingdom. Applied Economics Letters [Online] 12:711-717. Available at: http://dx.doi.org/10.1080/13504850500243904.
    This paper examines the empirical characteristics of target–goal relationships between M0 on the one hand, and output, prices, interest rates and the current account balance on the other hand, in terms of a good intermediate target and informational variable. The results of a five-variate vector error correction model are indicative of feedback relationships between M0 and output, prices and output, and prices and M0, which is consistent with the Keynesian ‘monetary accommodation' hypothesis. The finding of a reverse causality from output, prices and interest rates to M0 suggests that M0 may not serve well as a good intermediate target and informational variable of British monetary policy. The evidence therefore suggests the reduced effectiveness of monetary targeting strategy as a stabilization tool.
  • Hasan, M. (2005). An alternative approach in investigating lead-lag relationships between stock and stock index futures markets - comment. Applied Financial Economics Letters [Online] 1:125-130. Available at: http://dx.doi.org/10.1080/17446540500047296.
    This study re-examines and reinterprets the empirical results of Brooks et al. (1999) which investigated the lead-lag relationship between stock indices and stock index futures markets. Contrary to the contention of Brooks et al. that the stock index futures market leads the stock market, it is found that their linear Granger causality tests exhibit overwhelming evidence of a contemporaneous relationship and a bidirectional relationship between spot and futures returns. The interpretation of the empirical evidence of Brooks et al., although different from theirs, is equally supportive of the theoretical predictions of the cost-of-carry model and the efficient market hypothesis.
  • Hasan, M. (2004). On the validity of the random walk hypothesis applied to the Dhaka stock exchange. International Journal of Theoretical and Applied Finance [Online] 7:1069-1085. Available at: http://dx.doi.org/10.1142/S0219024904002797.
    This paper employs a battery of statistical tests to examine the random walk variant of the weak-form efficient market hypothesis (EMH) using the daily data of the Dhaka Stock Exchange, the major equity market of Bangladesh, over a period of January 1990 to December 2000. The test results, however, are at variance across testing procedures and sub-periods. Results based on the random walk model and unit root tests show that the null hypothesis of randomness cannot be rejected and stock prices have a significant random walk or permanent component. Our analysis of autocorrelation functions indicates mean-reversion behavior of stock returns in most cases albeit with stock returns exhibiting some memory and predictable components during the bubble and post-speculation periods. The evaluation of the EGARCH-M model suggests significant asymmetric and leverage effects during the sub-period of speculative bubbles of 1996–1997. The BDS test indicates evidence of nonlinear long-term dependence during the pre-speculation period, while during the speculation and post-speculation periods the null hypothesis of nonlinear independence was not rejected. Overall, based on this evidence we do not categorically claim that the Dhaka Stock Exchange is weak-form efficient. However, these findings underscore the predictive significance and relevance of the random walk hypothesis as a generalized theory in explaining movements of share prices.
  • Hasan, M. (2004). Univariate time series behaviour of the real exchange rate: evidence from colonial India. Economics Letters [Online] 84:75-80. Available at: http://dx.doi.org/10.1016/j.econlet.2003.12.012.
    This paper empirically examines the long-run behaviour of the real exchange rate in colonial India between the British pound and the Indian rupee using a battery of unit root tests. The unit root tests based on the KPSS test, the GPH fractional integration test, and the non-linear KSS test indicate that the real exchange rate series is stationary and mean-reverting, which tends to support the validity of the purchasing power parity (PPP) hypothesis in the long run.
  • Hasan, M. (2002). Concessional foreign capital inflows and domestic savings across countries: Dependency hypothesis re-visited. Journal of Economic Studies [Online] 29:388-422. Available at: http://dx.doi.org/10.1108/01443580210448844.
    Using the notions of unit root, cointegration theory and Granger-Akaike’s synthesis of modelling strategy, this paper examines the nature of stationarities, cointegration properties and Granger causal relationship between domestic savings and aid based on a sample of 27 developing countries. The KPSS unit root test results indicate that variables of interest in a trivariate vector autoregressive system such as aid inflows, domestic savings and income exhibit a dissimilar trend in the majority of countries, with the exceptions of Bolivia and Korea. The cointegration test results based on the Johansen and Juselius testing procedure found evidence of cointegration among the variables, domestic savings, aid and income in Bolivia and Korea. However, the presence and direction of causality between aid inflows and domestic savings are mixed across countries. Whilst the findings are indicative of a causal independence in a majority of the cases, little support is attached to either Griffin’s dependency hypothesis or Papaneck’s reverse causality hypothesis.
  • Hasan, M. (2002). The long-run relationship between population and per capita income in Bangladesh. Bangladesh Development Studies 28:65-84.
  • Hasan, M. and Taghavi, M. (2002). Residential investment, macroeconomic activity and financial deregulation in the UK: an empirical investigation. Journal of Economics and Business [Online] 54:447-462. Available at: http://dx.doi.org/10.1016/S0148-6195(02)00093-0.
    This paper empirically examines the relationship between UK macroeconomic variables and residential investment over the period 1968Q1 to 1999Q1. The impact of macroeconomic variables are evaluated by computing both historical decompositions (HDCs) and variance decompositions (VDCs) in a six-variable VAR model. The VDC results suggest fiscal policy variable exerts a modest and significant impact on residential expenditures, monetary policy variables appear to have larger and perceptible influences on residential expenditures in the long run. The HDC findings, on the other hand, indicate that money stock marginally lowers the MSE of base projection of residential investment over the pre-deregulation period. Nevertheless, the explanatory power of money is shown to evaporate during the post-deregulation period. Thus, our findings strongly confirm that the deregulatory measures of 1980s have significantly altered the nature and strength of causal linkages between residential investment and macroeconomic variables.
  • Hasan, M. (2001). The behaviour of the currency-deposit ratio in mainland China. Applied Financial Economics [Online] 11:659-668. Available at: http://dx.doi.org/10.1080/096031001753266948.
    This paper investigates the behaviour of the currency-deposit ratio in mainland China in the light of three theoretically identified factors: income growth, interest rate movements and inflationary expectations. It was found that the unprecedented decline in the currency-deposit ratio is unambiguously determined by a secular growth in income, whilst the role of interest rates and inflationary expectations is at variance across specifications and sample period. However, the observed variation of the currency-deposit ratio attributed primarily to income and secondarily to interest rates make the money multiplier endogenous.
  • Hasan, M. (2001). Is there a long run relationship between population growth and living standards? The case of India - a re-examination. Indian Economic Journal 48:27-34.

Book section

  • Hasan, M. and Choudhry, T. (2013). On the Effectiveness of Dynamic Stock Index Portfolio Hedging. In: Batten, J. A., MacKay, P. and Wagner, N. eds. Advances in Financial Risk Management: Corporates, Intermediaries and Portfolios. Basingstoke: Palgrave Macmillan, pp. 364-390.
  • Hasan, M. (2008). An empirical investigation the long-run relationship between population growth and per capita income in Bangladesh. In: Andaleeb, S. S. ed. The Bangladesh Economy: Diagnoses Prescriptions, Selection from the Journal of Bangladesh Studies. University Press Limited, Dhaka.
  • Hasan, M. (2007). The dynamic relationship between fertility rate and its proximate determinants in Bangladesh. In: Islam, M. and Andaleeb, S. S. eds. Development Issues of Bangladesh Vol III - Quality of Life and Human Development. University Press Limited, Dhaka, pp. 253-267.

Conference or workshop item

  • Alexandridis, A., Hasan, M. and Sultan, J. (2017). The behaviour of multi-horizon hedge ratios. In: World Finance Conference.
  • Hasan, M. and Choudhry, T. (2016). An econometric investigation of hedging performance of stock index futures in Korea: dynamic versus static hedging. In: International Conference on Accounting, Finance and Financial Institutions.
  • Choudhry, T., Hasan, M. and Zhang, Y. (2016). Forecasting the daily dynamic hedge ratios in European emerging stock futures markets: evidence from GARCH model. In: Portsmouth-Fordham Conference on Banking & Finance.
  • Alexandridis, A. and Hasan, M. (2016). Global Financial Crisis and Multiscale Systematic Risk: Evidence from Selected European Markets. In: Financial Econometrics and Empirical Asset Pricing Conference.
  • Alexandridis, A. and Hasan, M. (2015). Analysing the Multiscale Systematic Risk During the Global Financial Crisis: Evidence from Selected European Stock Markets. In: 14th Hellenic Finance and Accounting Association.
    In this paper, we have investigated the impact of the global financial crisis on the multi-horizon nature of systematic risk and market risk using daily data of eight major European equity markets over the period of 2005-2012. The method is based on a wavelet multiscale approach within the framework of a capital asset pricing model. The sample covers pre-crisis, crisis and post-crisis periods with varying experiences and regimes. First we investigate for possible contagion effects of the U.S. crisis to the European stock markets and then we perform a local analysis of each European stock market separately. Empirical results demonstrate that beta coefficients have a multiscale tendency in sample countries and betas tend to increase at higher scale (lower frequencies) for the whole period. However, the size of betas and R2s tend to increase during the crisis period compared to the pre-crisis period. The multiscale nature of the betas is consistent with the fact that stock market investors have different time horizons due to different trading strategies. Our results based on scale dependent value at risk (VaR) suggest that market risk tends to be more concentrated at lower time scale (higher frequencies) of the data. Moreover, the scale-by-scale estimates of VaR have increased almost three fold for every market during the crisis period compared to the pre-crisis period. Finally, we have presented an approach for accurately forecasting time-dependent betas and VaR using wavelet networks.
  • Alexandridis, A. and Hasan, M. (2013). Global Financial Crisis and Multyscale Systematic Risk: Evidence from Selected European Markets. In: The Impact of Global Financial Crisis: On Banks, Financial Markets and Institutions in Europe.
  • Gausden, R. and Hasan, M. (2013). The usefulness of an indicator of consumer confidence for the purpose of predicting household consumption expenditures in the UK. In: The 45th Annual Money Macro and Finance Conference.
  • Hasan, M. (2012). Forecasting dynamic hedge ratios and the Value at Risk using GARCH models: evidence from SP 500 FTSE 100 and NIKKEI 225. In: The 2nd International Conference of the Financial Engineering and Banking Society on the ‘Recent Development in Financial Markets and Banking’.
  • Choudhry, T. and Hasan, M. (2011). Forecasting the daily dynamic hedge ratios in emerging stock futures markets: evidence from the GARCH models. In: Annual Meeting of the European Financial Management Association.
  • Hasan, M. and Choudhry, T. (2011). The effectiveness of dynamic hedging: evidence from emerging markets stock futures. In: 18th Annual Meeting of the Multinational Finance Society.
  • Sultan, J. and Hasan, M. (2006). The effectiveness of dynamic hedging: evidence from selected European stock futures. In: 13th International Conference - Forecasting Financial Markets: Advances for Exchange Rates, Interest Rates and Asset Management.
  • Hasan, M. and Islam, M. (2004). The monetary approach to the determination of the dollar-yen exchange rates: a cointegration analysis. In: Eastern Economic Association Annual Conference.
  • Hasan, M. (2003). The long run relationship between population growth and per capita income in mainland China. In: Bangladesh Institute of Development Studies Seminar.

Monograph

  • Hasan, M. and Islam, M. (2002). The Effects of the U.S. Public Debt on Key Macroeconomic Variables. Office of the Inspector General of the US Treasury.
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