Kabir Hasan - Academia.edu (original) (raw)

Papers by Kabir Hasan

Mr John Jago, formerly consultant maxillofacial surgeon at Dumfries and Galloway Hospitals, died ... more Mr John Jago, formerly consultant maxillofacial surgeon at Dumfries and Galloway Hospitals, died peacefully at a hospital in southwest France on 7 September 2018, following a short illness. John Christoper Jago was born in Lincolnshire, where he grew up and had his initial schooling and education before going to Leeds University Dental School. He graduated in 1965 BChD, LDS. After his initial oral surgical training at Leeds, John moved to London for further training. He worked as a registrar to Mr Fickling, first at St George's Hospital and later at Mount Vernon Hospital, a well respected maxillofacial unit. After he had completed his fellowship, John was promoted to a senior registrar post under Professor Sir Paul Bramley in Sheffield and, in 1975, he was appointed Consultant at Dumfries and Galloway Royal Infirmary. He retired in 2000, and moved to France permanently in 2001. John Jago was a much respected, dedicated surgeon, who managed his single-handed consultant post admirably for many years with the help of associate specialists. He also provided trauma cover for Carlisle Hospitals. He was an excellent clinician with vast experience and very logical thought processes, and was exceptionally polite, courteous, and helpful to his patients, colleagues, and all paramedical staff. It was an era when a single-handed consultant was expected to be on-call every day and week. John was very kind, calm, caring, and thoughtful in everything he said and did. He was fiercely loyal, and cared about the welfare of his juniors. I was fortunate to work under his guidance as a house officer in oral surgery at St George's (now the Lanesborough Hotel).

SSRN Electronic Journal, 2003

Average returns for small firm size portfolios tend to decrease during the week in January, with ... more Average returns for small firm size portfolios tend to decrease during the week in January, with Monday returns highest and Friday lowest. More striking are the results after controlling for Mondays and Fridays in the first and the last 3 weeks of January. Monday returns in this first week are significantly positive and inversely related to size. Monday returns are also significantly positive for the small firm size portfolio in the last 3 weeks of January. But returns on Friday are insignificantly different from zero after controlling for Fridays in the first week and the last three weeks of January. The first Monday in January is particularly critical to the reversal of the end-of-the-week effect at the turn-of-the-year, with abnormal demand for stocks following the first weekend of a new calendar year possibly responsible for this anomaly within an anomaly.

The Quarterly Review of Economics and Finance, 1993

Off-Balance Sheet (OBS) activities of large u.S. commercial banks have been growing rapidly in re... more Off-Balance Sheet (OBS) activities of large u.S. commercial banks have been growing rapidly in recent years. These activities represented 58% of total bank assets in 1984 and grew to 176% of total bank assets in 1988. Bank regulators are concerned that OBS activities increase bank risk, and proposed that some OBS activities be included in the calculation of a risk-based capital requirement. This paper investigates the impact of OBS activities on market measures of risk. specifically, this paper examines the risk-reducing diversification and risk-increasing effects of OBS activities by employing implied asset variances, in addition to, equity and systematic risks as proxies for market measures of bank risk. This research contends that asset variance is a better measure of risk for regulated banking industry. A Ronn-Verma (JF, 1986) option pricing methodology is employed to calculate implied asset variances. Systematic risk, equity risk and implied asset risk are regressed over various measures of OBS items and on balance measures of risk in a Pooled Cross-section and Time-series sample. The results indicate that OBS activities, in general, reduce total risk, but do not affect systematic risk. The explanatory powers of the models are improved significantly when implied asset variances, instead of equity variances, are used to proxy for total risk. Because regulators are concerned with total risk and probability of bank failure, the risk-reducing potential of OBS activities indicates that additional capital requirement of OBS activities will penalize large banks.

Multinational Finance Journal, 2005

The objective of the paper is to investigate whether the stock price reactions of commercial bank... more The objective of the paper is to investigate whether the stock price reactions of commercial banks to monetary policy actions are dependent on the state of the economy. The results indicate that monetary policy actions have asymmetric effects on the returns of commercial banks across different monetary policy and business environments. The asymmetric effects can primarily be attributed to the asymmetric effects of monetary policy on discount rates across different monetary and business environments. We also observe that the impact of monetary policy on the returns of commercial banks is affected by bank-specific characteristics. Bank size, leverage and profitability play an important role in explaining the cross-sectional variation in bank returns as a result of monetary policy changes. We find that cross-sectional bank-specific characteristics affect the bank returns asymmetrically as a result of monetary policy changes across different business conditions. The results suggest that the effectiveness of monetary policy depends on the states of the economy (JEL: E52, E58, G14, G21).

PurposeThe growing demand for alternative investment vehicle which adheres to shari'a pri... more PurposeThe growing demand for alternative investment vehicle which adheres to shari'a principles has prompted other measures to boost the Islamic capital market. Unit trust funds in Malaysia have been growing exponentially and their existence signifies the extent of development in the Malaysian financial market. For foreign and domestic investors who have low risk tolerance and wish to diversify, unit trust funds offer the opportunity to invest. The increasing relevance of unit trust funds as an investment instrument has driven us to analyze the fund's performance. This paper addresses these issues.Design/methodology/approachThe paper examines the comparative performance of Malaysian unit trust funds vis‐à‐vis their non‐Islamic counterparts using a variety of measures, such as Sharpe, Treynor, Jenson and Fama's selectivity, net selectivity and diversification. The paper also examines the persistence of performance using Carhart's four‐factor pricing models. Lastly, the paper employs an analysis of cointegration to examine how the Islamic unit trust funds are related in long term with their non‐Islamic counterparts, as well as their respective market portfolios.FindingsThe paper finds no convincing performance differences between Islamic and non‐Islamic Malaysian unit trust funds. Controlling performance for style differences, the paper finds that non‐Islamic unit trust funds in Malaysia are value‐focused while Islamic unit trust funds are small cap oriented. In addition, similar reward to risk and diversification benefits exist only between Islamic and non‐Islamic Malaysian unit trust funds.Research limitations/implicationsThe Worldscope data are used to construct four‐factor models as opposed to Malaysian‐based data – given that Malaysia is an open economy that attracts global investors. Also, US T‐Bill rate is used rather than Malaysian risk‐free rate because no other securities are as riskless as US Treasury Bills.Practical implicationsThe paper observes a significant long‐term relationship between Islamic unit trust funds portfolio and non‐Islamic unit trust funds portfolio. The implication here suggests that investors in Malaysian unit trust funds will most likely benefit from international diversification of financial risks. They do not, however, stand a good chance to gain from portfolio diversification in the local unit trust funds market.Originality/valueThe study contributes to the existing Islamic investment literature by pursuing an empirical analysis on the performance of both Islamic and non‐Islamic Malaysian unit trust funds by using more recent data and further investigating the long‐run relationship between Islamic and non‐Islamic unit trust funds.

Studies in Economics and Finance, 2010

PurposeThe purpose of this paper is to examine the existence of rational speculative bubbles in t... more PurposeThe purpose of this paper is to examine the existence of rational speculative bubbles in the Middle East and North African (MENA) stock markets.Design/methodology/approachTo complement shortcomings of the traditional bubble tests, such as unit root tests and cointegration tests, mainly relying on expectations of future steams of dividends, the authors employ fractional integration tests and duration dependence tests.FindingsDespite recent extreme fluctuations of MENA stock markets, fractional integration tests built on autoregressive fractionally integrated moving average models do not support the possibility of bubbles in the MENA stock markets. Similarly, duration dependence tests based on nonparametric Nelson‐Aalen hazard functions not only reject the existence of bubbles but also support equality of hazard functions between domestic and the US‐based investors without regard to the rapid financial liberalization and integration in the MENA stock markets.Originality/valueTh...

The Service Industries Journal, 2002

... Dr M. Kabir Hassan is in the Department of Economics and Finance, University of New Orleans, ... more ... Dr M. Kabir Hassan is in the Department of Economics and Finance, University of New Orleans, New ... We follow Hassan [1992] and Hassan, Karels and Peterson [1994], among others, and use the ... where Rit = Bank i, at time t, Rmt = Market Return at time t, βm,it = Systematic ...

Review of Middle East Economics and Finance, 2004

This paper examines the stability, predictability, volatility, time varying risk premiums and per... more This paper examines the stability, predictability, volatility, time varying risk premiums and persistence of shocks to volatility in the ten Middle Eastern and African (ME&amp;A) emerging stock markets. Although the majority of ME&amp;A markets only recently gained emerging status, one finds that five out ...

Pacific-Basin Finance Journal, 2004

Risk averse US investors with safety-first objectives in portfolio optimization hold small weight... more Risk averse US investors with safety-first objectives in portfolio optimization hold small weights (maximum 10%) in emerging markets when constructing portfolios of the Standard and Poor's 500 (SP), and the Emerging Markets Composite Global (CG), Asia (AS) and Latin American (LA) indexes, respectively. The Composite Global and Asia weights are even smaller than their minimum variance weights. Yet, these optimal safety-first portfolios are dominant in terms of risk and return over the global minimum or higher variance portfolios. In contrast, safety-first optimization for Latin America is hardly different from the minimum variance and not clearly dominant over other meanvariance portfolios. Overall, safety-first limits portfolio losses associated with infrequent catastrophic events and otherwise optimize performance.

Managerial Finance, 2007

PurposeThe purpose of this paper is to empirically examine the market efficiency, asymmetric effe... more PurposeThe purpose of this paper is to empirically examine the market efficiency, asymmetric effect and time varying risk–return relationship for daily stock return of Amman Stock Exchange (ASE).Design/methodology/approachThe Box–Jenkins selection model is used to determine the stochastic process of equity returns; the exponential generalized autogressive conditional heteroscedesticity (EGARCH) and threshhold autoregressive conditional heteroscedasticity in mean are utilized to measure the persistent of volatility, risk–return relationship and volatility magnitude to bad and good news.FindingsThe univariate statistics show negative skewness, excess kurtosis and deviation from normality for the ASE index. The results show that stock return follows an ARMA (1, 1) stochastic process with significant serial correlation, implying stock market inefficiency. The results also show significant positive relationship between equity return and risk in the ASE, which is consistent with the portf...

Managerial Finance, 1996

This study examines the stock market reactions to an involuntary adjustment to loan‐loss reserves... more This study examines the stock market reactions to an involuntary adjustment to loan‐loss reserves by the write‐downs of Argentinean loans by major banks with Argentinean loan exposure. This event has escaped investigation in the empirical literature of the LDC debt crisis. A seemingly unrelated regression study, rather than a Brown and Warner (1980) event study, is employed to investigate two pairs of hypotheses, namely the new‐information vs. information‐leakage hypothesis and the rational‐pricing vs. investor‐contagion hypothesis, using daily stock market data. Sample banks are grouped into three portfolios (highly exposed multinational banks, mildly exposed regional wholesale banks and unexposed or nominally exposed regional consumer banks) to test the investor‐contagion effect. The results indicate that the stock market adjusts quickly to new information, thereby providing evidence of semi‐strong‐form market efficiency. Unlike previous research, this research finds strong eviden...

Journal of Multinational Financial Management, 2002

The relation between various ownership types and performance measures for 1036 firms in China is ... more The relation between various ownership types and performance measures for 1036 firms in China is examined. State owned enterprises (SOE) are consistently less profitable than mixed enterprises (ME), collective owned enterprises (COE), joint ventures (JV), and foreign owned enterprises (FOE). The SOEs and FOEs are also less productive than MEs, COEs and JVs. The surprisingly low productivity for FOEs may result from the learning curve for international investors doing business in China. Owned by local governments, COEs are more profitable and productive than the central government owned SOEs, possibly because of closer monitoring and harder budget constraints, and better employees and management. The performance of MEs, mostly newly privatized firms, is weaker when related to assets, possibly due to the anomaly that capital investments following their public offerings are not yet on line. The coexistence of economies of scale and over-employment is also evident among Chinese enterprises.

Journal of Business Finance & Accounting, 2005

The Gramm-Leach-Bliley Act (GLBA) of 1999 marks the end of Depression era regulations like the Gl... more The Gramm-Leach-Bliley Act (GLBA) of 1999 marks the end of Depression era regulations like the Glass-Steagall Act of 1933 and Bank Holding Company Act of 1956. These acts have restricted banks from securities and insurance underwriting business. This paper examines the impact of the GLBA on the banking industry. We find that the banking industry has a welfare gain from

Journal of Business Finance & Accounting, 2008

Using the Stochastic Frontier Approach (SFA), this study investigates the cost and profit efficie... more Using the Stochastic Frontier Approach (SFA), this study investigates the cost and profit efficiency effects of bank mergers on the US banking industry. We also use the nonparametric technique of Data Envelopment Analysis (DEA) to evaluate the production structure of merged and non-merged banks. The empirical results indicate that mergers have improved the cost and profit efficiencies of banks. Further, evidence shows that merged banks have lower costs than non-merged banks because they are using the most efficient technology available (technical efficiency) as well as a cost minimizing input mix (allocative efficiency). The results suggest that there is an economic rational for future mergers in the banking industry. Finally, mergers may allow the banking industry to take advantage of the opportunities created by improved technology.

International Journal of Social Economics, 1997

Examines critically the Grameen Bank (GB) experience in Bangladesh in order to understand the ess... more Examines critically the Grameen Bank (GB) experience in Bangladesh in order to understand the essential elements of its operations. Reports that this unique financial institution developed the important factors needed to help the poor and that GB has replaced physical collateral requirements with group responsibility. States that by organizing poor people into groups, it has created the social and financial conditions enabling them to receive loans; it has demonstrated that the poor are bankable, capable of making good business decisions in utilizing their loans and repaying them on time. Explains that GB showed the possibility to develop a viable and self‐reliant credit programme for the poor. Concludes that the GB approach also proves that financial intermediation is a viable device to fight poverty, and an excellent vehicle for community development.

Financial Management, 2003

Journal of Economic Cooperation, 2000

This paper attempts to provide a synopsis of Bangladesh trade with the South Asian Association fo... more This paper attempts to provide a synopsis of Bangladesh trade with the South Asian Association for Regional Cooperation (SAARC) countries and of its policies regarding bilateral and global trade. The common structure of the economies and the same intensive price competitiveness could lead to a great deal of formal trade between Bangladesh and the SAARC countries, but this potential is yet to be realised. Bangladesh suffers from a huge trade deficit with India. This paper will lay special emphasis on the trade relations with India and the proposed South Asian Growth Quadrangle consisting of seven northeastern states of India, Bangladesh, Nepal and Bhutan. It will examine the impact of GDP and of the exchange rate and its variability on the export and import growth of Bangladesh. It will also examine the trade policies of Bangladesh with special reference to both nominal and effective tariff levels, and non-tariff barriers that hinder the growth of Bangladesh global trade with its neighbouring countries.

Economic Systems, 2003

With globalization, an understanding of country risk (political risk (PR), financial risk (FR), a... more With globalization, an understanding of country risk (political risk (PR), financial risk (FR), and economic risk (ER)) and its impact on stock market return volatility and predictability is important for evaluating direct investment and country selection decisions in globally and regionally ...

Applied Financial Economics, 2005

... Samer AM Al-Rjouba, Oscar Varelab,* and M. Kabir Hassanb,c aDepartment of Banking and Finance... more ... Samer AM Al-Rjouba, Oscar Varelab,* and M. Kabir Hassanb,c aDepartment of Banking and Finance, Hashemite University, Zarqa, 13133, Jordan bDepartment of ... À Rft is the premium of market stock returns over the appro-priate time period Treasury bills rate, because t as the ...