Research - Shafiqur Rahman
Selected Recent Activity
Refereed Publications
"The Dynamics of Security Trades, Quote Revisions, and Market Depths for Actively Traded Stocks," coauthored with Chandrasekhar Krishnamurti and Alice C. Lee, Review of Quantitative Finance and Accounting, Volume 25, No. 2, September 2006, 91-124.
"Intraday Trading Volume and Return Volatility of the DJIA Stocks: A Note," coauthored with Ali F. Darrat and Maosen Zhong, Journal of Banking and Finance, October 2003, Vol. 27, No. 10, pp. 2035-2043.
"Option Implied Moments - An Application to Nikkei 225 Futures Options," coauthored with Kian Ping Ang and Kok Hui Tan, Review of Pacific Basin Financial Markets and Policies, Volume 5, No. 3, September 2002, 301-320.
"Intraday Return Volatility Process: Evidence from NASDAQ Stocks," coauthored with Kian Ping Ang, Review of Quantitative Finance and Accounting, Volume 19, No. 2, 2002, 155-180.
"On the Role of Futures Trading in Spot Market Fluctuations: Perpetrator of Volatility or Victim of Regret?" coauthored with Ali F. Darrat and Maosen Zhong, Journal of Financial Research, Fall 2002, Vol. 25, No. 3.
"The Introduction of Derivatives on the Dow Jones Industrial Average and Their Impact on the Volatility of Component Stocks," Journal of Futures Markets, July 2001.
"An Empirical Examination of Risk-Return Relationship using Alternative Asset Pricing Models," coauthored with T. Daniel Coggin and C.F. Lee, Review of Quantitative Finance and Accounting, Volume 11, July 1998.
"Has Index Futures Trading Caused Stock Market Volatility?" coauthored with Ali F. Darrat, Journal of Futures Markets, August 1995.
"Relative Mean-Variance Efficiency of a Given Portfolio: An Application to Mutual Fund Performance," Quarterly Review of Economics and Finance, Spring 1994.
"The Investment Performance of US Equity Pension Fund Managers: An Empirical Investigation," coauthored with Frank J. Fabozzi and T. Daniel Coggin, Journal of Finance, July 1993.
"A Cross-sectional Analysis of Mutual Funds' Market Timing and Security Selection Skill," coauthored with C.F. Lee, Carl Chen, and Anthony Chan, Journal of Business Finance and Accounting, September 1992.
"New Evidence on Timing and Security Selection Skill of Mutual Fund Managers," coauthored with C.F. Lee, Journal of Portfolio Management, Winter 1991.
"Government Regulation and Security Returns: A Study of Trade Sanction," The International Journal of Finance, Spring 1991.
"Errors-in-Variables, Functional Form and Mutual Fund Returns," coauthored with C.F. Lee and Frank J. Fabozzi, Quarterly Review of Economics and Business, Winter 1991.
"The Impacts of Market Power and Capital-Labor Ratio on Systematic Risk: A Cobb-Douglas Approach," coauthored with C. F. Lee and Thomas Liaw, Journal of Economics and Business, August 1990
