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Imlak Shaikh

Bio: Imlak Shaikh is an academic researcher from Management Development Institute. The author has contributed to research in topics: Implied volatility & Volatility (finance). The author has an hindex of 11, co-authored 44 publications receiving 261 citations. Previous affiliations of Imlak Shaikh include Indian Institute of Technology Bombay & Indian Institutes of Technology.

Papers published on a yearly basis

Papers
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Journal ArticleDOI
TL;DR: In this article, the effects of the COVID-19 pandemic on the energy markets in terms of energy stock indexes, energy futures, ETFs, and implied volatility indexes are investigated.
Abstract: This article aims to uncover the effects of the COVID-19 pandemic on the energy markets in terms of energy stock indexes, energy futures, ETFs, and implied volatility indexes. We model the volatility of energy markets and demonstrate the effects of various phases of the pandemic outbreak (COVID-19) on the energy market. COVID-19-induced uncertainty indicators like the growth of the infection, economic policy uncertainty (EPU), and infectious diseases market volatility (IDsMV) have shown pronounced effects on energy markets’ historical volatility. The volatility of energy ETFs–stocks appears to be more resilient in line with S&P 500 energy stocks. WTI crude oil market has shown an unprecedented overreaction amid pandemic outbreaks and traded with an extreme volatility level. The investors’ sentiment in the energy market was factually higher on the tail events, indicating that fearful investors rushed toward put options and paid an excess premium to protect from unparalleled risk in the energy market.

45 citations

Journal ArticleDOI
TL;DR: In this article, the effects of policy uncertainty on Bitcoin returns with economic policy uncertainty (EPU) in the US, the UK, Japan, China, and Hong Kong were analyzed and the robust estimations from the quantile regression and Markov regime-switching model showed that Bitcoin returns are affected by EPU.

40 citations

Journal ArticleDOI
TL;DR: In this paper, the authors examined implied volatility as the investor fear gauge or/and forward-looking expectation of future stock market volatility within emerging markets setting-India VIX, and found that expected volatility is being unbiased estimate of the actual return volatility.

32 citations

Journal ArticleDOI
01 Jan 2021
TL;DR: In this paper, the authors examined the 12 most common sentiment factors in investment decisions and found that investment decisions are subject to investor sentiment and may affect the pricing of various asset classes.
Abstract: Behavioural finance literature explains that investment decisions are subject to ‘investor sentiment’ and, consequently, may affect the pricing of various asset classes. Our study examines the 12 m...

27 citations

Journal ArticleDOI
TL;DR: The U.S. presidential election is one of the global political events that have the profound effects on the Global Financial Markets (GFMs). as discussed by the authors examined Stock, FX and VIX markets under the U. S. presidential elections 2016.

24 citations


Cited by
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Journal ArticleDOI
TL;DR: In this article, a computer program for modelling financial time series is presented, based on the Random Walk Hypothesis, which is used to forecast trends in prices in futures markets.
Abstract: Features of Financial Returns Modelling Price Volatility Forecasting Standard Deviations The Accuracy of Autocorrelation Estimates Testing the Random Walk Hypothesis Forecasting Trends in Prices Evidence Against the Efficiency of Futures Markets Valuing Options Appendix: A Computer Program for Modelling Financial Time Series.

1,115 citations

Posted Content
TL;DR: In this paper, the authors discuss the commonly used methods for testing option pricing models, including the Black-Scholes, constant elasticity of variance, stochastic volatility, and jump-diffusion models.
Abstract: This paper discusses the commonly used methods for testing option pricing models, including the Black-Scholes, constant elasticity of variance, stochastic volatility, and jump-diffusion models. Since options are derivative assets, the central empirical issue is whether the distributions implicit in option prices are consistent with the time series properties of the underlying asset prices. Three relevant aspects of consistency are discussed, corresponding to whether time series-based inferences and option prices agree with respect to volatility, changes in volatility, and higher moments. The paper surveys the extensive empirical literature on stock options, options on stock indexes and stock index futures, and options on currencies and currency futures.

233 citations

Journal ArticleDOI
TL;DR: In this article, a global fear index (GFI) for the COVID-19 pandemic was constructed to support economic, financial, and policy analyses in this area, and two main innovations were proposed.
Abstract: This paper offers two main innovations. First, we construct a global fear index (GFI) for the COVID-19 pandemic to support economic, financial, and policy analyses in this area. Second, we demonstr...

170 citations

Journal ArticleDOI
13 Aug 2020
TL;DR: In this article, the authors examined the role of uncertainty due to infectious diseases in predicting energy market volatility using the new dataset on Equity Market Volatility-Infectious Diseases (EMV-ID).
Abstract: Motivated by the COVID-19 pandemic, we examine the role of uncertainty due to infectious diseases in predicting energy market volatility using the new dataset on Equity Market Volatility-Infectious Diseases (EMV-ID). We find that the new measure of market uncertainty is a good predictor of energy market volatility in both in-sample and out-of-sample tests. These results have implications for portfolio diversification strategies, which we set aside for future research.

127 citations

01 Jul 2003
TL;DR: In this article, the authors summarized the effects of deregulation of restrictions on bank entry and expansion on the real economy and found that following state-level deregulation of bank branching, state economic growth accelerated.
Abstract: This paper summarizes the effects of deregulation of restrictions on bank entry and expansion on the real economy. The evidence suggests that following state-level deregulation of restrictions on branching, state economic growth accelerated. This better growth performance was especially pronounced in the entrepreneurial sector. In addition to faster growth, macroeconomic stability improved with interstate deregulation that allowed that banking system to integrate across state lines. This deregulation reduced the sensitivity of state economies to shocks to their own banks’ capital.

122 citations