Papers by Taufiq Choudhry
Pacific-basin Finance Journal, 2005
... changes reaching 20% in the case of Korea and about 29% in the case of Indonesia ... Based on... more ... changes reaching 20% in the case of Korea and about 29% in the case of Indonesia ... Based on Kaminsky and Schmukler (1999), study stock price movements during the crisis were triggered by ... Table 1 presents the details on the 10 Malaysian firms and the 10 Taiwanese firms. ...
Social Science Research Network, 2004
This paper examines the pattern of interaction among Asian exchange rates, and how the pattern ch... more This paper examines the pattern of interaction among Asian exchange rates, and how the pattern changed before and during/after the Asian financial crisis of 1997-98. The empirical tests are conducted using daily nominal exchanges rates based on the US dollar and the Japanese yen from several Far East countries and Australia during pre crisis period (1990-1997) and during/after crisis period (1997-2002). The empirical tests are conducted using Johansen multivariate cointegration method and band spectrum regressions. Results from both tests indicate substantial changes in the interaction and relationships between the Far East exchange rates before and after the crisis. Results from the band spectrum regressions indicate the increase in the domination of the US dollar in the region after the crisis.
Journal of Economic Studies, Jan 9, 2023
International Journal of Banking, Accounting and Finance, 2020
The Manchester School, Jul 17, 2023
European Journal of Operational Research, May 1, 2023
Since the introduction of financial derivatives markets in developed countries during the 1970s a... more Since the introduction of financial derivatives markets in developed countries during the 1970s and 1980s, and the later development in emerging markets during the 1990s, there has been much interest over the last three decades towards the modeling and forecasting of the optimal hedge ratios (OHR) and alternative hedging strategies applied to the commodity and financial futures.1 It is now well known that derivatives markets perform useful functions of price discovery, hedging, speculation and risk-sharing (see Working, 1953; Johnson, 1960; Silber, 1985 and Fortune, 1989). Hedgers use these markets as a means to avoid the market risk associated with adverse price change in the related cash markets. Speculators take positions in derivative instruments in the hope that subsequent price movements will generate profits. Overall, investors are given the choice of altering their asset portfolios between cash and derivatives markets.
Applied Financial Economics, Jun 1, 2000
... Further, as indicated by Connolly (1989) and de Jong et al. ... accumulates at a constant rat... more ... Further, as indicated by Connolly (1989) and de Jong et al. ... accumulates at a constant rate over calendar time, then the variance of returns over the period from the Friday close to Monday close should be three times the variance from the Monday close to the Tuesday close. ...
International Journal of Banking, Accounting and Finance, 2019
Social Science Research Network, 2003
This paper studies the role of economic policy uncertainty (EPU) on US trade. It contributes to t... more This paper studies the role of economic policy uncertainty (EPU) on US trade. It contributes to the literature by analyzing the asymmetric impact of policy uncertainty on the US trade with Canada, China, Germany, Japan and the United Kingdom from December 1989 to December 2017. Results suggest that there is a negative relationship between the EPU and the US trade flows. Further, US trade responds more sensitively to a rise in uncertainty compared to an equal negative shock, confirming the asymmetric hypothesis both in the short run and the long run. Comparing the respective uncertainty indices, US EPU has a significantly greater impact on the trade relative to the EPU of its trading partners. These findings have both demand and supply side implications – i.e. increase in the economic policy uncertainty can reduce the aggregate consumption significantly. Also, due to uncertain profit margins, businesses can choose to delay long-term investment projects and inventory levels resulting ...
The International Journal of Human Resource Management, 2021
This study empirically investigates the myopic behavior of the stock market toward firms' human c... more This study empirically investigates the myopic behavior of the stock market toward firms' human capital resource investment, paying particular attention to two key proxies: human resource expenditure and the firm value added allocated to the employees. Focusing on human capital resource investment decisions' alignment with near versus longer-term emphasis by investors, we examine firms listed in the Financial Times Stock Exchange (FTSE) 100 over a five-year period using an established accounting-based valuation model. Our results show that human capital investment discourse leads to overweighting of the forecasted longer-term earnings in the apportionment of share price constituents, suggesting that investors consider investment in employees to generate more return in the longer-term. Additionally, our findings prove that investors respond to firm level human capital resource as an investment generating more return in the longer-term. This emphasises the importance of communicating human capital resource investment information that accurately reflects the firm value creation via employees in external financial reporting.
This paper examines the pattern of interaction among Asian exchange rates, and how the pattern ch... more This paper examines the pattern of interaction among Asian exchange rates, and how the pattern changed before and during/after the Asian financial crisis of 1997-98. The empirical tests are conducted using daily nominal exchanges rates based on the US dollar and the Japanese yen from several Far East countries and Australia during pre crisis period (1990-1997) and during/after crisis period (1997-2002). The empirical tests are conducted using Johansen multivariate cointegration method and band spectrum regressions. Results from both tests indicate substantial changes in the interaction and relationships between the Far East exchange rates before and after the crisis. Results from the band spectrum regressions indicate the increase in the domination of the US dollar in the region after the crisis.
This paper studies the role of economic policy uncertainty on the US trade with Canada, China, Ge... more This paper studies the role of economic policy uncertainty on the US trade with Canada, China, Germany, Japan and the United Kingdom. This paper contributes to the literature by analysing the asymmetric impact of policy uncertainty on the US trade from December 1989 to December 2016. Results suggest that there is a negative relationship between the economic policy uncertainty and the US trade flows. Further, US trade responds more sensitively to rise in the uncertainty as compared to an equal negative shock, confirming the asymmetric hypothesis both in the short and long run. Comparing the respective uncertainty indices, US EPU has a significantly greater impact on the trade relative to the EPU of its trading partners. These findings have both demand and supply side implications i.e. increase in the economic policy uncertainty can reduce the aggregate consumption significant as well as due to uncertain profit margins, businesses can choose to delay long term investment projects and ...
International Journal of Forecasting, 2022
Applied Economics Letters, 2019
Risk measures based on Gaussian return distributions are simple but inaccurate while such measure... more Risk measures based on Gaussian return distributions are simple but inaccurate while such measures based on alternative methodologies are known to be more precise but complex. In this context, practitioners seem biased towards simplicity and tend to choose the inaccurate Gaussian measures, leading to unsuspected losses in the event of a negative episode. This paper proposes a change to the conventional VaR approach that promises a markedly improved performance while maintaining simplicity.
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Papers by Taufiq Choudhry