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Associate Professor M.Humayun Kabir staff profile picture

Contact details +6469517059

Associate Professor M.Humayun Kabir BSocSc, MSocSc, PhD

Associate Professor

Doctoral Supervisor
School of Economics and Finance

Professional

Contact details

  • Location: 2.03, Business South
    Campus: Turitea

Qualifications

  • Bachelor of Social Sciences - University of Dhaka (1991)
  • Master of Social Science - University of Dhaka (1993)
  • Doctor of Philosophy - University of New Orleans (2004)

Certifications and Registrations

  • Licence, Supervisor, 淘料视频

Research Expertise

Research Interests

Investment, Risk management, Derivatives, Financial Institutions, Asset pricing

Area of Expertise

Field of research codes
Banking, Finance and Investment (150200): Banking, Finance and Investment not elsewhere classified (150299): Commerce, Management, Tourism And Services (150000): Finance (150201): Financial Econometrics (150202): Financial Institutions (incl. Banking) (150203): Investment and Risk Management (150205)

Research Outputs

Journal

Mozumder, S., Frijns, B., Talukdar, B., & Kabir, MH. (2024). On practitioners closed-form GARCH option pricing. International Review of Financial Analysis. 94
[Journal article]Authored by: Kabir, M.
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Mozumder, S., Hassan, MK., & Kabir, MH. (2024). An evaluation of the adequacy of Lévy and extreme value tail risk estimates. Financial Innovation. 10(1)
[Journal article]Authored by: Kabir, M.
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Mozumder, S., Talukdar, B., Kabir, MH., & Li, B. (2024). Non-linear volatility with normal inverse Gaussian innovations: ad-hoc analytic option pricing. Review of Quantitative Finance and Accounting. 62(1), 97-133
[Journal article]Authored by: Kabir, M.
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Pok, WF., Kabir, MH., & Young, M. (2023). Media content, sentiment and emerging market futures returns. Applied Economics. 55(7), 724-749
[Journal article]Authored by: Kabir, M., Young, M.
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Hafeez, B., Li, X., Kabir, MH., & Tripe, D. (2022). Measuring bank risk: Forward-looking z-score. International Review of Financial Analysis. 80
[Journal article]Authored by: Kabir, M.
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Hafeez, B., Kabir, MH., & Wongchoti, U. (2022). Are retail investors really passive? Shareholder activism in the digital age. Journal of Business Finance and Accounting. 49(3-4), 423-460
[Journal article]Authored by: Kabir, M., Wongchoti, U.
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9
Pok, WF., Humayun Kabir, M., & Young, M. (2022). Investor sentiment and mean-variance relation: Evidence from emerging futures markets. Finance Research Letters. 46
[Journal article]Authored by: Kabir, M., Young, M.
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U-Din, S., Tripe, D., & Kabir, MH. (2022). Bank size, competition, and efficiency: a post-GFC assessment of Australia and New Zealand. New Zealand Economic Papers. 56(2), 195-217
[Journal article]Authored by: Kabir, M.
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Mozumder, S., Kabir, MH., Dempsey, M., & Choudhry, T. (2020). Risk management under time varying volatility and Pareto-stable distributions. Applied Economics Letters. 27(3), 161-167
[Journal article]Authored by: Kabir, M.
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Mozumder, S., Kabir, MH., & Dempsey, M. (2018). Pricing and hedging options with GARCH-stable proxy volatilities. Applied Economics. 50(56), 6034-6046
[Journal article]Authored by: Kabir, M.
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Humayun Kabir, M., & Shakur, S. (2018). Regime-dependent herding behavior in Asian and Latin American stock markets. Pacific Basin Finance Journal. 47, 60-78
[Journal article]Authored by: Kabir, M., Shakur, S.
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Mozumder, S., Kabir, MH., & Dempsey, M. (2017). Do coherent risk measures identify assets risk profiles similarly? Evidence from international futures markets. Investment Management and Financial Innovations. 14(3), 361-380
[Journal article]Authored by: Kabir, M.
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Humayun Kabir, M. (2018). Did Investors Herd during the Financial Crisis? Evidence from the US Financial Industry. International Review of Finance. 18(1), 59-90
[Journal article]Authored by: Kabir, M.
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Huang, P., Kabir, MH., & Zhang, Y. (2017). Does Corporate Derivative Use Reduce Stock Price Exposure? Evidence From UK Firms. Quarterly Review of Economics and Finance. 65, 128-136
[Journal article]Authored by: Kabir, M.
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Shi, S., & Kabir, MH. (2018). Catch Animal Spirits in Auction: Evidence from New Zealand Property Market. Real Estate Economics. 46(1), 59-84
[Journal article]Authored by: Kabir, M.
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Kabir, MH., Huang, P., & Yan, Z. (2017). Does corporate derivative use reduce stock price exposure? Evidence from UK firms. Quarterly Review of Economics and Finance. , 1-9 Retrieved from http://dx.doi.org/10.1016/j.qref.2017.02.004
[Journal article]Authored by: Kabir, M.
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Mozumder, S., Dempsey, M., & Kabir, MH. (2017). Back-testing extreme value and Lévy value-at-risk models: Evidence from international futures markets. Journal of Risk Finance. 18(1), 88-118
[Journal article]Authored by: Kabir, M.
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1
Mozumder, S., Dempsey, M., Kabir, MH., & Choudhry, T. (2016). An improved framework for approximating option prices with application to option portfolio hedging. Economic Modelling. 59, 285-296
[Journal article]Authored by: Kabir, M.
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Kabir, MH., & Shakur, S. (2014). Nonlinear decomposition analysis of risk aversion and stock-holding behaviour of US households. Applied Financial Economics. 24(7), 495-503
[Journal article]Authored by: Kabir, M., Shakur, S.
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Kabir, MH., Shakur, S., & Liu, J. (2011). Risk aversion and stockholding behavior of U.S. households. International Research Journal of Finance and Economics. 81, 116-126
[Journal article]Authored by: Kabir, M., Shakur, S.
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3
Kabir, MH., Hassan, MK., & Maroney, N. (2011). International diversification with American Depository Receipts (ADRs). Pacific Basin Finance Journal. 19(1), 98-114
[Journal article]Authored by: Kabir, M.
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Humayun Kabir, M., & Kabir Hassan, M. (2009). Russian financial crisis, US financial stock returns and the IMF. Applied Financial Economics. 19(5), 409-426
[Journal article]Authored by: Kabir, M.
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Kabir, MH., & Hassan, MK. (2009). Russian financial crisis, US financial stock returns and the IMF. Applied Financial Economics. 19, 409-426
[Journal article]Authored by: Kabir, M.
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Kabir, MH., & Hassan, MK. (2005). The near-collapse of LTCM, US financial stock returns, and the fed. Journal of Banking and Finance. 29(2), 441-460
[Journal article]Authored by: Kabir, M.
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Book

Kabir, MH., & Hassan, MK. (2011). The Russian Financial Crisis, U.S. Financial Stock Returns, and the International Monetary Fund. In Financial Contagion: The Viral Threat to the Wealth of Nations. (pp. 137 - 145).
[Chapter]Authored by: Kabir, M.

Conference

Kabir, M., Tripe, D., Hafeez, B., & Li, X.Time鈥憊arying bank risk: Forward鈥� looking z鈥憇core. . University of Waikato, Tauranga, New Zealand
[Conference Paper]Authored by: Kabir, M.
Kabir, M., Hafeez, B., & Wongchoti, U.Are retail investors really passive? Shareholder activism in the digital age. Paper presented at the meeting of Journal of Business Finance and Accounting. Gies School of Business, University of Illinois (virtual)
[Conference Paper]Authored by: Kabir, M., Wongchoti, U.
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Kabir, MH., Tripe, D., Hafeez, B., & Li, X.Time鈥憊arying bank risk: Forward鈥憀ooking z鈥憇core. . Lille University 鈥� School of Management, France
[Conference Paper]Authored by: Kabir, M.
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Kabir, M., Hafeez, B., & Wongchoti, U.Are retail investors really passive? Shareholder activism in the digital age. . New York, USA
[Conference Paper]Authored by: Kabir, M., Wongchoti, U.
Kabir, M., Wongchoti, U., & Hafeez, B.Are retail investors really passive? Shareholder activism in the digital age. . Monash Business School, Australia
[Conference Paper]Authored by: Kabir, M., Wongchoti, U.

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Kabir, M., Wongchoti, U., & Hafeez, B.Are retail investors really passive? Shareholder activism in the digital age. . Shangri鈥慙a Hotel, Sydney, Australia
[Conference Paper]Authored by: Kabir, M., Wongchoti, U.
Kabir, M., Wongchoti, U., & Hafeez, B. (2019). Are retail investors really passive? Shareholder activism in the digital age. Australian Banking and Finance Conference Proceedings.
[Conference Paper in Published Proceedings]Authored by: Kabir, M., Wongchoti, U.
Huang, P., Kabir, MH., & Zhang, Y.(2007). Does derivative use reduce stock price exposure? Evidence from UK firms. . Toronto, ON
[Conference Paper]Authored by: Kabir, M.
Kabir, MH. (2017, December). Ad-hoc analytic option pricing under nonlinear GARCH with NIG Lévy innovations. Presented at Auckland Finance Meeting. Queenstown, New Zealand.
[Conference Oral Presentation]Authored by: Kabir, M.
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Mozumder, S., Kabir, MH., & Demsey, M.Ad-hoc analytic option pricing under nonlinear GARCH with NIG Lévy innovations. . Queenstown, New Zealand
[Conference Paper]Authored by: Kabir, M.
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Mozumder, Sharif, ., Dempsey, Michael, ., Kabir, MH., & Choudhury, Taufiq, . (2016, June). Option portfolio hedging: A study with average multi-stock-knot hedge ratios. Presented at Vietnam International Conference in Finance. Danang City, Vietnam.
[Conference Oral Presentation]Authored by: Kabir, M.
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Sharif, Mazumder, ., Dempsey, Michael, ., Kabir, MH., & Choudhry, Taufiq, .Option portfolio hedging: A study with average multi-stock-knot hedge ratios. Paper presented at the meeting of https://vicif.sciencesconf.org/data/pages/VICIF2016_Proceedings.pdf. Danang City, Vietman
[Conference Paper]Authored by: Kabir, M.
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Pok, Wei Fong, ., Young, Martin, ., & Kabir, MH. (2012). A cross-country analysis of the role of media content in explaining the index futures market behavior. In . Financial Management Association, USA (Ed.) Financial Management Association. : Financial Management Association, USA
[Conference Paper in Published Proceedings]Authored by: Kabir, M., Young, M.
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Kabir, MH., Young, MR., & Pok, Wei Fong, .(2012). A cross-country analysis of the role of media content in explaining the index futures market behaviour. . Atlanta, United States of America
[Conference Paper]Authored by: Kabir, M., Young, M.
Kabir, MH.(2009). International diversification with American depository receipts (ADRs). . Xiamen, China
[Conference Paper]Authored by: Kabir, M.
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Huang, P., Kabir, M., & Zhang, Y.(2008). Does derivatives use reduce stock price exposure? Evidence from UK firms. . Grapevine, TX, United States
[Conference Paper]Authored by: Kabir, M.
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Huang, P., Kabir, M., & Zhang, Y. (2008, October). Does derivatives use reduce stock price exposure? Evidence from UK firms. Presented at 2008 Financial Management Association Annual Meeting. Grapevine, TX, United States.
[Conference Oral Presentation]Authored by: Kabir, M.
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Huang, P., Kabir, MH., & Zhang, Y. (2008). Does derivatives use reduce stock price exposure? Evidence from UK firms. Proceedings of the Financial Management Association Annual Meeting. (pp. 1 - 23).
[Conference Paper in Published Proceedings]Authored by: Kabir, M.
Huang, P., Kabir, MH., & Zhang, Y.(2007). Does derivative use reduce stock price exposure? Evidence from UK firms. . Toronto, ON
[Conference Paper]Authored by: Kabir, M.
Kabir, KH., Maroney, NC., & Hassan, MK. (2005). International diversification with American Depository Receipts (ADRs). The 16th Asian Finance Association Conference. (pp. 1 - 31). Kuala Lumpur, Malaysia
[Conference Paper in Published Proceedings]Authored by: Kabir, M.
Kabir, KH., Maroney, NC., & Hassan, MK. (2005, October). International diversification with American depository receipts (ADRs). Presented at Financial Management Association Annual Meeting. Chicago, IL.
[Conference Oral Presentation]Authored by: Kabir, M.
Kabir, KH., Maroney, NC., & Hassan, MK. (2005, July). International diversification with American depository receipts (ADRs). Presented at The 16th Asian Finance Association Conference. Kuala Lumpur, Malaysia.
[Conference Oral Presentation]Authored by: Kabir, M.
Kabir, KH., & Hassan, MK. (2002). The near-collapse of LTCM, US financial stock returns, and the Fed. Financial Management Association International Annual Meeting. (pp. unpaged). Tampa, FL
[Conference Paper in Published Proceedings]Authored by: Kabir, M.

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Other

Kabir, MH. (2017, December). Ad-hoc Analytic Option Pricing under Nonlinear GARCH with NIG Lévy Innovations. In Auckland Finance Meeting.
[Oral Presentation]Authored by: Kabir, M.
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Kabir, MH. (2013, November). Herding behaviour during global financial crisis: Evidence from US financial industry. In Department Seminar. : http://econfin.massey.ac.nz/school/documents/seminarseries/manawatu/Herding%20Behaviour%20during%20Global%20Financial%20Crisis.docx.
[Oral Presentation]Authored by: Kabir, M.
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Kabir, MH., & Shakur, S. (2011, November). Non-linear decomposition analysis of risk aversion and U.S. stock market participation. In Departmental Seminar. Presented at Departmental Seminar.
[Oral Presentation]Authored by: Kabir, M., Shakur, S.Edited by: Kabir, M.
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Teaching and Supervision

Contact Supervisor

Summary of Doctoral Supervision

Position Current Completed
Main Supervisor 0 1
Co-supervisor 3 2

Current Doctoral Supervision

Co-supervisor of:

  • Nobinkhor Kundu - Doctor of Philosophy
    Challenges to agricultural productivity and trade: global and regional issues on environmental change, political regime, and uncertainties
  • Jie Liu - Doctor of Philosophy
    Climate change (air pollution) and environmental protection policies and firms鈥� behaviours: Evidence from China
  • Hai Hong Trinh - Doctor of Philosophy
    The Financial Impacts of Climate Risk

Completed Doctoral Supervision

Main Supervisor of:

  • 2021 - Bilal Raja - Doctor of Philosophy
    Emerging Aspects of Shareholder Activism

Co-supervisor of:

  • 2020 - Salah U-Din - Doctor of Philosophy
    Impact of the Global Financial Crisis 2008 on Bank Efficiency: An Experience of the Anglo-Saxon Countries
  • 2015 - Wei Fong Pok - Doctor of Philosophy
    The Role of Media Content in Explaining the Index Futures Market Behaviour

Media and Links

Media

  • 10 Aug 2017 - Newspaper
    New Zealand Herald cited research paper
    New Zealand Herald (August 10, 2017): published a story titles "Auckland property prices could soar in a year or two" based on research publication 鈥滳atch Animal Spir鈥� its in Auction: Evidence from Ne

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