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Professor Rumi Masih
Professor

Rumi Masih

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Overview

Background

Rumi Masih’s experience in the financial industry extends almost 30 years. He is an Industry Professor of Finance at the University of Queensland Business School in Australia and also serves as Chief Investment Officer and a Partner at Leinster Capital, London, U.K., and a Partner and Director of Infrastructure Financing at Infrencia SL in Barcelona, Spain. He was most recently head of the private equity fund business incorporating infrastructure and renewable power funds across Asia for ARCH Emerging Market Partners, U.K. Prior to this, he was Senior Investment Advisor in the investment department at the Saudi Arabian Monetary Authority (SAMA). He has held senior executive management and strategy positions at the Bank of New York Mellon, JP Morgan Asset Management, and over a decade at Goldman Sachs. As part of his industry achievements, Rumi was part of the team that was ranked first in emerging markets currency strategy by the Institutional Investor in 1998, 1999, and 2000 and was ranked second in the Extel Broker Survey by European equity clients in 2004. Rumi was most recently awarded the 2023 Outstanding Industry Leadership Award at More Conferences, Las Vegas, USA.

Prior to joining Goldman Sachs in 1997, Rumi worked in several government research departments in Australia for over a decade. He holds a Bachelor of Economics degree from the Australian National University, an M.Phil. in economics /econometrics, and a Ph.D. in Financial Econometrics from the University of Cambridge, UK. He has published widely with over 90 papers in peer-reviewed journals predominantly in areas of macroeconomics and empirical finance. In 1998, Rumi was admitted as a fellow to the Financial Management Association, and the Royal Statistical Society. He has been the recipient of several ‘best paper’ prizes at internationally reputed annual finance conferences sponsored by the Chicago Stock Exchange, Financial Management Association, and the South Western Finance Association, respectively.

His research interests span a broad area across industry and investment policy, including portfolio and investment management, asset allocation, risk management, and empirical finance. A specific focus of his work has addressed how causal factors impact decision-making in investment management and asset price fluctuations that impact global capital market changes.

Availability

Professor Rumi Masih is:
Available for supervision

Qualifications

  • Bachelor, Australian National University
  • Masters (Coursework), University of Cambridge
  • Doctor of Philosophy, University of Cambridge

Research interests

  • Empirical finance; financial econometrics; econometrics; investment management; portfolio management; investment banking

    Methods and techniques in applied finance and investment management with focus on developing solutions to address key issues in capital markets; asset allocation and capital formulation and attribution.

Works

Search Professor Rumi Masih’s works on UQ eSpace

67 works between 1993 and 2018

1 - 20 of 67 works

2018

Journal Article

Unraveling the financial contagion in European stock markets during financial crises: multi-timescale analysis

Dewandaru, 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

Unraveling the financial contagion in European stock markets during financial crises: multi-timescale analysis

2017

Journal Article

Regional spillovers across transitioning emerging and frontier equity markets: a multi-time scale wavelet analysis

Dewandaru, 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

Regional spillovers across transitioning emerging and frontier equity markets: a multi-time scale wavelet analysis

2017

Journal Article

The role of Islamic asset classes in the diversified portfolios: mean variance spanning test

Dewandaru, 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

The role of Islamic asset classes in the diversified portfolios: mean variance spanning test

2016

Journal Article

Contagion and interdependence across Asia-Pacific equity markets: An analysis based on multi-horizon discrete and continuous wavelet transformations

Dewandaru, 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

Contagion and interdependence across Asia-Pacific equity markets: An analysis based on multi-horizon discrete and continuous wavelet transformations

2016

Journal Article

What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets

Dewandaru, 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

What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets

2015

Journal Article

Developing trading strategies based on fractal finance: an application of MF-DFA in the context of Islamic equities

Dewandaru, 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

Developing trading strategies based on fractal finance: an application of MF-DFA in the context of Islamic equities

2015

Journal Article

Combining momentum, value, and quality for the Islamic equity portfolio: multi-style rotation strategies using augmented Black Litterman factor model

Dewandaru, 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

Combining momentum, value, and quality for the Islamic equity portfolio: multi-style rotation strategies using augmented Black Litterman factor model

2015

Journal Article

Risk-return characteristics of Islamic equity indices: multi-timescales analysis

Dewandaru, 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

Risk-return characteristics of Islamic equity indices: multi-timescales analysis

2015

Journal Article

Why is no financial crisis a dress rehearsal for the next? Exploring contagious heterogeneities across major Asian stock markets

Dewandaru, 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

Why is no financial crisis a dress rehearsal for the next? Exploring contagious heterogeneities across major Asian stock markets

2014

Journal Article

Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis

Dewandaru, 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

Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis

2011

Journal Article

Oil price volatility and stock price fluctuations in an emerging market: evidence from South Korea

Masih, 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

Oil price volatility and stock price fluctuations in an emerging market: evidence from South Korea

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

Is the finance led growth hypothesis robust to alternative measures of financial development?

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 LDCs

Masih, 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

A multivariate cointegrated modelling approach in testing temporal causality between energy consumption, real income and prices with an application to two Asian LDCs

2010

Journal Article

A revisitation of the savings-growth nexus in Mexico

Masih, 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

A revisitation of the savings-growth nexus in Mexico

2010

Journal Article

Model uncertainty and asset return predictability: an application of Bayesian model averaging

Masih, 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

Model uncertainty and asset return predictability: an application of Bayesian model averaging

2008

Journal Article

Intra-market price discovery in an emerging stock market: vector fractionally-integrated error correction model and Toda-Yamamoto level VAR approaches

Masih, 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.

Intra-market price discovery in an emerging stock market: vector fractionally-integrated error correction model and Toda-Yamamoto level VAR approaches

2006

Journal Article

Futures trading volume as a determinant of prices in different momentum phases

Hodgson, 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

Futures trading volume as a determinant of prices in different momentum phases

2004

Journal Article

Fractional cointegration, low frequency dynamics and long-run purchasing power parity: an analysis of the Australian dollar over its recent float

Masih, 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

Fractional cointegration, low frequency dynamics and long-run purchasing power parity: an analysis of the Australian dollar over its recent float

2004

Journal Article

Common stochastic trends and the dynamic linkages driving european stock markets: evidence from pre- and post-october 1987 crash eras

Masih, 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

Common stochastic trends and the dynamic linkages driving european stock markets: evidence from pre- and post-october 1987 crash eras

2003

Journal Article

Price discovery between informationally linked markets during different trading phases

Hodgson, 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

Price discovery between informationally linked markets during different trading phases

Supervision

Availability

Professor Rumi Masih is:
Available for supervision

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Available projects

  • Econometric Applications in the Testing of Causation Using Non-Linear, Neural Network Methods

Supervision history

Current supervision

Media

Enquiries

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