Dr Ariful Hoque
PhD in Finance, Curtin; B.Sc. Engg, BUET

My blended experiences (Finance, Information Technology and Engineering) stimulate me to multidisciplinary research. My interest areas of study (alphabetically) include, but are not limited to, Data Analytics, Derivatives, Financial Engineering, Fintech and Market Micro Structure. I have published numerous research articles in the Australians Business Deans Council (ABDC), and Excellence in Research for Australia (ERA) ranked international journals. I am also a reviewer of the following ABDC-ranked journals.

• Tourism Management (ABDC-A*)
• Pacific-Basin Finance Journal (ABDC-A)
• Accounting and Finance (ABDC-A)
• Energy Policy (ABDC-A)
• European Journal of Finance (ABDC-A)
• Emerging Markets Finance and Trade (ABDC-B)
• Australasian Accounting Business and Finance Journal (ABDC-B)
• Australian Economic Paper (ABDC-B)

I have been working on the following research projects:

• Project-1 title: Intraday implied volatility analysis for pricing European currency options
• Project-2 title: Analysing the performance of Islamic and conventional stock portfolios: Evidence from the Malaysia stock exchange
• Project-3 title: Does the expected margin matter for short options trading? Evidence from stock options on FAANG (Facebook, Apple, Amazon, Netflix, Google)
• Project-4 title: Analysing the Shanghai index options market efficiency using transaction cost adjusted put-call parity
• Project-5 title: Is there a correlation between tuition fees and university ranking? Evidence from Florida college ranking
• Project-6 title: Factors affecting the performance of P2P online lending platform: An empirical study based on 106 P2P platforms
• Project-7 title: Currency price fluctuation in Chinese digital money market: An empirical analysis using Granger causality test and variance decomposition method

Awards:

• Achievement of Publication in an A*/A Journal, Murdoch Business School
• Excellence in Service, Murdoch Business School
• Best 14th Asia Research Conference Paper Award
• Best International Conference for Bankers and Academics Paper Award
• Supported Researchers Award, School of Commerce, University of South Australia

Grants:

• Le, T. N. Q., and Hoque, A., Australian Mathematical Science Institute ($23,000). Project title: Pedagogical study of options education tools: Statistical methods and analysis
• Le, T. N. Q., and Hoque, A., Australian Mathematical Science Institute ($20,000). Project title: A Formulaic approach to the use of derivatives in financial markets.
• Hoque, A., and Hassan, K., Murdoch Business School Small Research Grant  ($3,5000). Project title: News, temperature and stock return: Do all stocks respond equally around the year?
• Hoque, A., Murdoch Business School Research Seed Money ($6,000). Project title: Components of option vega: A corporate finance perspective.
• Hoque, A., University of South Australia Divisional Research Grant ($3,221). Project title: Efficient pricing of currency options using realised volatility.
• Krishnamurti, C., and Hoque, A., University of Southern Queensland Research Scholarships Scheme ($6,100). Project title: Optimal design for an Australian CO2 emission rights options market.

The 8th Annual Conference of Asia-Pacific Association of Derivatives (Sponsored by South Korea Stock Exchange)

Paper Title: Pricing Currency Options with Intra-Daily Implied Volatility

Professional Memberships:

• International Association for Quantitative Finance (IAQF)
• Accounting and Finance Association of Australia and New Zealand (AFAANZ)
• Global Science and Technology Forum (GSTF)

[1] PhD thesis title: Essays on the Effects of Cost of Equity Crowdfunding:
International Evidence.

[12] PhD thesis title: Chief Executive Officer and Corporate Financial Decisions

[3] PhD thesis title: The impact of fintech on sustainable development.

[4] PhD thesis title: Environmental Governance Reporting Quality and Earnings Quality in China

[5] PhD thesis title: Verbal Discourse and Key Audit Matters: An Australian Study

[6] Master (Research) thesis title: Analysing Implied Volatility Smirk to Predict the US Stock Market Crash During the Global Financial Crisis (GFC)

[7] PhD thesis title (2021):  Analysing currency options market downturn during global financial crisis (2007-2010)

[8] PhD thesis title (2020): Analysing intraday implied volatility for pricing currency options

[9] Master (Research) thesis title (2019):  Analysing the performance of Islamic and conventional stock portfolios: Evidence from the Malaysia stock exchange

[10] PhD thesis title (2019):  Management control systems and financial conditions: A study of municipal organizations in a developing country

[11] PhD thesis title (2015): Investment Performance of Jakarta Islamic Index (JII) Stocks

[12] PhD thesis title (2014): Voluntary Disclosure of Greenhouse Gas Emissions, Corporate Governance and Earnings Management: Australian Evidence

Books:

• Jeff Madura, Ariful Hoque and Chandrasekhar Krisnamurti, (2017), ‘International Financial Management’ First Edition, Cengage Learning Australia, ISBN: 978-0-170-38613-5 (https://cengage.com.au/product/title/international-financial-management/isbn/9780170386135)
• Ariful Hoque, (2010), ‘Essays in Foreign Currency Options Markets’, VDM Verlag Dr. Muller, Germany, ISBN: 978-3-639-29957-1 (https://www.amazon.com/s/ref=nb_sb_noss?url=search-alias%3Daps&field-keywords=ISBN%3A+978-3-639-29957-1)

2019 Australian Business Dean Council (ABDC) Ranked Journal Publications:

• Hassan, K., Hoque, A., Wali, M., and Gasbarro, D., (2020), Islamic stocks, conventional stocks and crude oil: Directional colatility spillover analysis in BRICS, Energy Economics, forthcoming. (ABDC-A*)
• Hassan, K., Hoque, A., Gasbarro, D., and Wong, W. k., (2020), Are Islamic stocks immune from financial crises? Evidence from contagion tests, International Review of Economics and Finance, forthcoming. (ABDC-A)
• Saci, F., Jasimuddin, S. M., and Hoque, A., (2020), Does corporate culture matter to earnings management? Evidence from Chinese time-honored brand firms. Structural Breaks and Energy Consumption in the Gulf Cooperation Council Countries: Are random Shocks transitory or Permanent? Australian Economic Papers, forthcoming. (ABDC-B)
• Hoque, A., Le, T. N. Q., and Hassan, K., (2020), Does currency smirk predict foreign exchange return? Investment Management and Financial Innovations, 17(3), 219-230. (ABDC-B)
• Hassan, K., Hoque, A., and Gasbarro, D., (2019), Separating BRIC using Islamic Stocks and Crude Oil: Dynamic Conditional Correlation and Volatility Spillover Analysis, Energy Economics, 80, 950-969. (ABDC-A*)
• Osman, M., Gachino, G., and Hoque, A., (2018), Structural Breaks and Energy Consumption in the Gulf Cooperation Council Countries: Are random Shocks transitory or Permanent?, Australian Economic Papers, 57(4), 446-445. (ABDC-B)
• Hassan, K., Hoque, A., Gasbarro, D., (2017), Sovereign Default Risk Linkage: Implication for Portfolio Diversification, Pacific-Basin Finance Journal, 41, 1-16. (ABDC-A)
• Osman, M., Gachino, G., and Hoque, A., (2016), Electricity Consumption and Economic Growth in the GCC Countries: Panel Data Analysis, Energy Policy, 98, 318-327. (ABDC-A)
• Osman, M., Hoque, A., and Hassan, K., (2016), Business Cycle Asymmetries and Nonlinearity in UAE Macroeconomic Time Series, Australian Economic Papers, 55(4), 476-490. (ABDC-B)
• Hassan, K., Hoque, A., and Rao, A., (2015), Revisiting the Link Between Stock Prices and Goods Prices in OECD Countries, Australian Economic Papers, 54(3), 135-150. (ABDC-B)
• Hoque, A., and Kalev, P., (2015), Pricing Currency Options with Intra-Daily Implied Volatility, Australasian Accounting Business and Finance Journal, 9(1), 43-56. (ABDC-B)
• Hoque, A., and Banerjee, R., (2014), The Stationarity of South Asian Real Exchange Rates Allowing for Structural Break, Australasian Accounting Business and Finance Journal, 8(3), 45-54. (ABDC-B)
• Boolaky, P. K., Krishnamurti, C., and Hoque, A., (2013), Determinants of the Strength of Auditing and Reporting Standards: A Cross-Country Study, Australasian Accounting Business and Finance Journal, 7(4), 17- 36. (ABDC-B)
• Hoque, A., and Krishnamurti, C., (2013), A Proposed Solution For The Chicken-Egg Dilemma In Pricing Currency Options, Australasian Accounting Business and Finance Journal, 7(2), 71-86. (ABDC-B)
• Hoque, A., and Krishnamurti, C., (2012), Modeling Moneyness Volatility in Measuring Exchange Rate Volatility, International Journal of Managerial Finance, 8(4), 365-380. (ABDC-A)
• Krishnamurti, C., and Hoque, A., (2011), “Efficiency of European Emissions Markets: Lessons and Implications”, Energy Policy, 39, 6575-6582. (ABDC-A)
• Hoque, A., (2010), World Currency Options Market Efficiency, Banks and Bank Systems, 5, 117-122. (ABDC-C)
• Hoque, A., Chan, F., and Manzur, M., (2009), Modelling Volatility in Foreign Currency Option Pricing, Multinational Finance Journal, 13, 181-200. (ABDC-B
• Hoque, A., Chan, F., and Manzur, M., (2008), Efficiency of the Foreign Currency Options Market, Global Finance Journal, 19, 157-170. (ABDC-A)

2018 Excellence in Research for Australia (ERA) ranked Journal Publications

• Hassan, K., Hoque, A., and Osman, M., (2019), Is Long Rate Decoupling from short Rate? Revisiting Expectation Hypothesis of Australian Term Structure of Interest Rate, Journal of Developing Areas, 53(3), 77- 91.
• Alam, A.B.M. M., Alam, M., and Hoque, A., (2019), Spending Pressure, Revenue Capacity and Financial Condition in Municipal Organisations: an Empirical Study, Journal of Developing Areas, 53 (1), 243-256.
• Hoque, A., Kämmer, R., and Meyer-Bullerdiek, F. (2018), Portfolio insurance strategies in a low interest rate environment: A simulation based study, Journal of Finance and Investment Analysis, 7 (3), 11-35.
• Alam, A.B.M. M., Alam, M., and Hoque, A., (2017), Measuring Financial Condition of Urban Local Government: A Study of Municipalies in Bangladesh, Journal of Developing Areas, 51, 71-84.
• Hassan, K., Hoque, A., and Rao, A., (2016), Sustainability of Malaysian Current Account Balance: Evidence from ARDL Bounds Test Approach, Journal of Developing Areas, 50(5), 13-23.
• Hassan, K., Rao, A., and Hoque, A., (2016), Current Account Sustainability in Middle East and Africa (MEA) Countries: Evidence from Panel Data, Journal of Developing Areas, 50(6), 291-304.
• Hassan, K., Hoque, A., and Rao, A., (2015), Sustainability of Current Account Balance in ASEAN: Evidence from a Panel Error Correction Model, Journal of Developing Areas, 49(6), 189-204.
• Hassan, K., Hoque, A., and Koku, P. S., (2015), Purchasing Power Parity in the SAARC Region: Evidence from Unit Root Test with Cross-sectional Dependence, The Journal of Developing Areas, 49(5), 129-137.
• Hoque, A., (2012), The Effects of the European Sovereign Debt Crisis on Major Currency Markets,” International Research Journal of Finance and Economics, Issue 101, 75-80.
• Hoque, A., (2011), Transaction Cost Discovery by Decomposition of the Error Term: A Bootstrapping Approach, The International Journal of Business and Finance Research, 5(1), 113-121.
• Hoque, A., Manzur, M., and Poitras, G.,(2010), Influence of Transaction Costs on Foreign Exchange Option Contracts: Intra-Daily Tests, International Journal of Banking and Finance, 7(2), 1-18.
• Hoque, A., (2010), Econometric Modelling for Transaction Cost-Adjusted Put-Call Parity: Evidence from the Currency Options Market, International Research Journal of Finance and Economics, Issue 43, 119-127.

Refereed Conference Presentations/Proceedings:

• Rakhi, S., Houqe, A., and Hassan, K., (2018), Analysing the Performance of Malaysian Islamic and Conventional Stock Portfolios, Global Conference on Islamic Economics and Finance, Kuala Lumpur, Malaysia.
• Huda, Z., Houqe, A., Hassan, K., and Gasbarro, D., (2018), Analysis of Major Currency Options Market Efficiency Using Intra-Daily Ultra-High Frequency Data for Pre-GFC, GFC and Post-GFC Period, Annual London Business Research Conference, London, UK.
• Velayutham, E., Krishnamurti, C., and Hoque, A., (2017), The Role of Voluntary Corporate Governance Mechanisms on Environmental Risk Disclosure: Australian Evidence, 8th Conference on Financial Markets and Corporate Governance, Wellington, New Zealand.
• Le, T.N.Q., Hoque, A., Gasbarro, D., and Hassan, K. (2016). Essays on the Major Currency Options Pricing: A survey of the theoretical literature, ECU Business Doctoral and Emerging Scholars Colloquium, Edith Cowan University, Perth, Australia.
• Hassan, K., and Hoque, A., (2016), Is Long Rate Decoupling from Short Rate? Revisiting Expectation Hypothesis of Australian Term Structure of Interest Rate, 14th Asian Business Research Conference, Dhaka, Bangladesh.
• Osman, M., Hoque, A., and Hassan, K., (2016), Business Cycle Asymmetries and Nonlinearity in UAE Macroeconomic Time Series, International Conference on Asia-Pacific Economic and Financial Development, Ho Chi Minh city, Vietnam.
• Alam, A. B. M. M., Alam, M., and Hoque, A., (2016), Measuring Financial Condition of Urban Local Government: A Study of Municipalities in Bangladesh, International Conference for Bankers and Academics, Dhaka, Bangladesh.
• Hassan, K., Rao, A., and Hoque, A., (2016), Current Account Sustainability in Middle East and Africa (MEA) countries: Evidence from Panel Data, Australia-Middle East Conference on Business and Social Sciences, Dubai, United Arab Emirates.
• Hassan, K., and Hoque, A., (2015), Sustainability of Malaysian Current Account Balance: Evidence from ARDL Bounds Tests Approach, Australian Academy of Business and Social Sciences Conference, Kuala Lumpur, Malaysia.
• Hoque, A., Hassan, K., Gasbarro, D., and Krishnamurti, C., (2015), Does Currency Smirk Predict Foreign Exchange Return?, International Congress on Banking, Economics, Finance, and Business, Fukuoka, Japan.
• Hassan, K., and Hoque, A., and Rao, A., (2015), Sustainability of Current Account Balance in ASEAN Countries: Evidence from Panel Error Correction Model, Australasian Conference on Business and Social Science, Sydney.
• Hassan, K., Hoque, A., and Koku, P. S., (2014), Purchasing Power Parity in the SAARC region: Evidence from Panel Unit Root Test with Cross Sectional Dependence, Australasian Conference on Business and Social Science, Malaysia.
• Velayutham, E., Krishnamurti, C., and Hoque, A, (2014), The Role of Voluntary Corporate Governance Mechanism on Environmental Risk Disclosure: Australian Evidence, 5th Financial Markets and Corporate Governance Conference, Brisbane, Australia.
• Hoque, A., Hassan, K., and Krishnamurti, C., (2014), Covered Interest Parity and the European Sovereign Debt Crisis, 21st Annual Conference of the Multinational Finance Society, Prague, Czech Republic.
• Hoque, A., and Koku, P. S., (2013), The Carbon Tax in Australia and its Likely Effects, Proceedings of Congress on Economy, Finance and Business, Bangkok, Thailand.
• Velayutham, E., Krishnamurti, C., and Hoque, A., (2013), Internal Corporate Governance, Environmental Committee and Environmental Risks Information: Australian Evidence, Proceedings of World Business and Social Science Research Conference, Bangkok, Thailand.
• Hoque, A., and Hassan, K., (2013), Modelling of a Single Currency for Australia and New Zealand, Proceedings (published by CRC/Balkema Taylor & Francis) of International Congress on Interdisciplinary Business and Social Science, Jakarta, Indonesia.
• Hoque, A., (2013), Efficiency of the Currency Options Market During The Global Financial Crisis, Proceedings of 3rdInternational Conference on Accounting and Finance, Bangkok, Thailand.
• Hoque, A., (2012), Asia-Pacific Currency Options Pricing Analysis, Proceedings (published by Procedia Social and Behavioral Sciences Journal, ELSEVIER) of International Congress on Interdisciplinary Business and Social Science, Jakarta, Indonesia.
• Hoque, A., Banerjee, R., (2012), Does Purchasing Power Parity Hold for Garment Export-Oriented Developing Countries? Proceedings (published by Procedia Social and Behavioral Sciences Journal, ELSEVIER) of International Congress on Interdisciplinary Business and Social Science, Jakarta, Indonesia.
• Hoque, A., (2012), Modeling Intra-Daily Implied Volatility in Forecasting Options Price, Proceedings of 16thInternational Business Research Conference, Dubai, United Arab Emirates.
• Hoque, A., and Kalev, P., (2012), “Pricing Currency Options with Intra-Daily Implied Volatility, 8th Annual Conference of Asia-Pacific Association of Derivatives, Busan, Korea.
• Hoque, A., and Krishnamurti, C., (2011), Modeling Moneyness Volatility in Measuring Exchange Rate Volatility, Proceedings of 2011 IEEE Symposium on Computational Intelligence for Financial Engineering & Economics, Paris, France.
• Hoque, A., and Krishnamurti, C., (2011), A Minted Panacea for the Chicken-Egg Dilemma in Pricing Currency Options, Proceedings of 2nd International Conference on Financial Theory and Engineering, Shanghai, China.
• Manzur, M., Hoque, A., and Poitras, G., (2010), Currency Option Pricing and Realized Volatility, Proceedings of 17th Annual Conference of the Multinational Finance Society, Barcelona, Spain.
• Hoque, A., Manzur, M., Poitras, G., (2010), Put-Call Parity, Transactions Costs and PHLX Currency Options: Intra-Daily Tests, Proceedings of 59th Midwest Finance Association Annual Conference, Las Vegas, United States of America.
• Hoque, A., (2008), “Modelling Exchange Rate Return Behavior for Pricing Currency Options, Proceedings of The 2008 International Conference on Business Intelligence and Financial Engineering, Changsha, China.
• Hoque, A., (2007), “Alternative Volatility Models for Pricing European Currency Options,” 20th Australasian Finance & Banking Conference, Sydney, Australia.
• Hoque, A., Chan, F., and Manzur, M., (2006), “Volatility Model of the Foreign Currency Options Market,” 13th Annual Conference of the Multinational Finance Society, Edinburgh, United Kingdom.