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2018 Journal Article Unraveling the financial contagion in European stock markets during financial crises: multi-timescale analysisDewandaru, Ginanjar, Masih, Rumi and Masih, Mansur (2018). Unraveling the financial contagion in European stock markets during financial crises: multi-timescale analysis. Emerging Markets Finance and Trade, 54 (4), 859-880. doi: 10.1080/1540496x.2016.1266614 |
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2017 Journal Article Regional spillovers across transitioning emerging and frontier equity markets: a multi-time scale wavelet analysisDewandaru, Ginanjar, Masih, Rumi and Masih, Mansur (2017). Regional spillovers across transitioning emerging and frontier equity markets: a multi-time scale wavelet analysis. The Quarterly Review of Economics and Finance, 65, 30-40. doi: 10.1016/j.econmod.2017.04.026 |
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2017 Journal Article The role of Islamic asset classes in the diversified portfolios: mean variance spanning testDewandaru, Ginanjar, Masih, Rumi, Bacha, Obiyathulla Ismath and Masih, A. Mansur M. (2017). The role of Islamic asset classes in the diversified portfolios: mean variance spanning test. Emerging Markets Review, 30, 66-95. doi: 10.1016/j.ememar.2016.09.002 |
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2016 Journal Article Contagion and interdependence across Asia-Pacific equity markets: An analysis based on multi-horizon discrete and continuous wavelet transformationsDewandaru, Ginanjar, Masih, Rumi and Masih, A. Mansur M. (2016). Contagion and interdependence across Asia-Pacific equity markets: An analysis based on multi-horizon discrete and continuous wavelet transformations. International Review of Economics and Finance, 43, 363-377. doi: 10.1016/j.iref.2016.01.002 |
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2016 Journal Article What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock marketsDewandaru, Ginanjar, Masih, Rumi and Masih, A. Mansur M. (2016). What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets. Economic Modelling, 52, 981-996. doi: 10.1016/j.econmod.2015.10.037 |
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2015 Journal Article Developing trading strategies based on fractal finance: an application of MF-DFA in the context of Islamic equitiesDewandaru, Ginanjar, Masih, Rumi, Bacha, Obiyathulla Ismath and Masih, A. Mansur M. (2015). Developing trading strategies based on fractal finance: an application of MF-DFA in the context of Islamic equities. Physica A: Statistical Mechanics and its Applications, 438, 223-235. doi: 10.1016/j.physa.2015.05.116 |
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2015 Journal Article Combining momentum, value, and quality for the Islamic equity portfolio: multi-style rotation strategies using augmented Black Litterman factor modelDewandaru, Ginanjar, Masih, Rumi, Bacha, Obiyathulla Ismath and Masih, A. Mansur M. (2015). Combining momentum, value, and quality for the Islamic equity portfolio: multi-style rotation strategies using augmented Black Litterman factor model. Pacific-Basin Finance Journal, 34, 205-232. doi: 10.1016/j.pacfin.2014.12.006 |
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2015 Journal Article Why is no financial crisis a dress rehearsal for the next? Exploring contagious heterogeneities across major Asian stock marketsDewandaru, Ginanjar, Masih, Rumi and Masih, A. Mansur M. (2015). Why is no financial crisis a dress rehearsal for the next? Exploring contagious heterogeneities across major Asian stock markets. Physica A: Statistical Mechanics and its Applications, 419, 241-259. doi: 10.1016/j.physa.2014.10.046 |
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2015 Journal Article Risk-return characteristics of Islamic equity indices: multi-timescales analysisDewandaru, Ginanjar, Bacha, Obiyathulla Ismath, Masih, A. Mansur M. and Masih, Rumi (2015). Risk-return characteristics of Islamic equity indices: multi-timescales analysis. Journal of Multinational Financial Management, 29, 115-138. doi: 10.1016/j.mulfin.2014.11.006 |
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2014 Journal Article Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysisDewandaru, Ginanjar, Rizvi, Syed Aun R., Masih, Rumi, Masih, Mansur and Alhabshi, Syed Othman (2014). Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis. Economic Systems, 38 (4), 553-571. doi: 10.1016/j.ecosys.2014.05.003 |
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2011 Journal Article Oil price volatility and stock price fluctuations in an emerging market: evidence from South KoreaMasih, Rumi, Peters, Sanjay and De Mello, Lurion (2011). Oil price volatility and stock price fluctuations in an emerging market: evidence from South Korea. Energy Economics, 33 (5), 975-986. doi: 10.1016/j.eneco.2011.03.015 |
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2011 Journal Article Is the finance led growth hypothesis robust to alternative measures of financial development?Masih, Rumi and Khan, Suhair F. (2011). Is the finance led growth hypothesis robust to alternative measures of financial development?. Applied Financial Economics, 21 (10), 601-623. doi: 10.1080/09603107.2010.534065 |
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2010 Journal Article A multivariate cointegrated modelling approach in testing temporal causality between energy consumption, real income and prices with an application to two Asian LDCsMasih, Abul M. M. and Masih, Rumi (2010). A multivariate cointegrated modelling approach in testing temporal causality between energy consumption, real income and prices with an application to two Asian LDCs. Applied Economics, 30 (10), 1287-1298. doi: 10.1080/000368498324904 |
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2010 Journal Article A revisitation of the savings-growth nexus in MexicoMasih, Rumi and Peters, Sanjay (2010). A revisitation of the savings-growth nexus in Mexico. Economics Letters, 107 (3), 318-320. doi: 10.1016/j.econlet.2010.02.001 |
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2010 Journal Article Model uncertainty and asset return predictability: an application of Bayesian model averagingMasih, Rumi, Masih, A. Mansur M. and Mie, Kilian (2010). Model uncertainty and asset return predictability: an application of Bayesian model averaging. Applied Economics, 42 (15), 1963-1972. doi: 10.1080/00036840701736214 |
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2008 Journal Article Intra-market price discovery in an emerging stock market: vector fractionally-integrated error correction model and Toda-Yamamoto level VAR approachesMasih, A. Mansur M. and Masih, Rumi (2008). Intra-market price discovery in an emerging stock market: vector fractionally-integrated error correction model and Toda-Yamamoto level VAR approaches. Asian Journal of Business and Accounting, 1 (1), 93-112. |
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2006 Journal Article Futures trading volume as a determinant of prices in different momentum phasesHodgson, Allan, Masih, A. Mansur M. and Masih, Rumi (2006). Futures trading volume as a determinant of prices in different momentum phases. International Review of Financial Analysis, 15 (1), 68-85. doi: 10.1016/j.irfa.2004.10.014 |
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2004 Journal Article Fractional cointegration, low frequency dynamics and long-run purchasing power parity: an analysis of the Australian dollar over its recent floatMasih, A. Mansur. M. and Masih, Rumi (2004). Fractional cointegration, low frequency dynamics and long-run purchasing power parity: an analysis of the Australian dollar over its recent float. Applied Economics, 36 (6), 593-605. doi: 10.1080/0003684042000217634 |
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2004 Journal Article Common stochastic trends and the dynamic linkages driving european stock markets: evidence from pre- and post-october 1987 crash erasMasih, Rumi and Masih, A. Mansur M. (2004). Common stochastic trends and the dynamic linkages driving european stock markets: evidence from pre- and post-october 1987 crash eras. The European Journal of Finance, 10 (1), 81-104. doi: 10.1080/13518470110040591 |
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2003 Journal Article Price discovery between informationally linked markets during different trading phasesHodgson, Allan, Masih, Abul and Masih, Rumi (2003). Price discovery between informationally linked markets during different trading phases. Journal of Financial Research, 26 (1), 77-95. doi: 10.1111/1475-6803.00046 |
