Dr Ihsan Badshah

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Senior Lecturer

Email: ihsan.badshah@aut.ac.nz

ORCID: ORCID logo https://orcid.org/0000-0003-4069-1523

Links to relevant web pages:

Qualifications:

  • PhD in Finance, Hanken School of Economics
  • MSc in Computational Finance, Hanken School of Economics

Overview:

Dr. Ihsan Badshah is a Senior Lecturer in Finance at AUT University. He obtained his Ph.D. degree (with distinction) from Hanken School of Economics, Finland, his Ph.D. thesis is entitled “Modeling and Forecasting Implied Volatility: Implications for Trading, Pricing and Risk Management”. He also holds M.Sc. Computational Finance, MBA and B.Sc. Computer Science degrees.

Since joining AUT in 2010, he has been actively involved in research and teaching activities. Ihsan’s areas of research include empirical asset pricing, financial market integration, market microstructure, derivatives markets and emerging markets. He has published in the Journal of Futures Markets, International Review of Financial Analysis, International Review of Finance, Emerging Market Review, Emerging Markets Finance and Trade, International Financial Markets and Derivatives etc. He has been refereeing for the Journal of Futures Markets, International Journal of Money and Finance, International Review of Economics & Finance, International Review of Financial Analysis, Empirical Economics, Applied Economics, Journal of Financial Stability, and European Journal of Finance among others. He has presented in the leading international finance conferences around the globe such as FIRN, EFA, FMA, MFA, EFMA, AFBC, MFS, IFMA, VSBF, Global Finance, and the Nordic Finance Network etc.

Research interests:

Empirical Asset Pricing
Financial Market Integration
Market Microstructure
Derivatives Markets
Emerging Markets

Teaching summary:

Financial Modelling
Financial Modelling and Data Analysis
International Financial Management
Banking and Financial Markets
Research Methods in Finance

Fields of research:

  • Banking, Finance and Investment

Research outputs:

Journal articles

  • Badshah, I., Koerniadi, H., & Kolari, J. (2019). The Sarbanes‐Oxley act and informed trading in the options market: Evidence from share repurchase announcements. International Review of Finance. doi:10.1111/irfi.12281

  • Badshah, I., Bekiros, S., Lucey, B. M., & Uddin, G. S. (2018). Asymmetric linkages among the fear index and emerging market volatility indices. Emerging Markets Review. doi:10.1016/j.ememar.2018.03.002

  • Badshah, I. U. (2018). Volatility spillover from the fear index to developed and emerging markets. Emerging Markets Finance and Trade, 54(1). doi:10.1080/1540496X.2016.1220294

  • Badshah, I., Frijns, B., Knif, J., & Tourani Rad, A. (2016). Asymmetries of the intraday return-volatility relation. International Review of Financial Analysis, 48. doi:10.1016/j.irfa.2016.09.016

  • Badshah, I. U. (2015). The information content of the VDAX volatility index and backtesting daily value-at-risk models. International Journal of Financial Markets and Derivatives, 4(3-4). doi:10.1504/IJFMD.2015.073468

  • Badshah, I. U., Frijns, B., & Tourani-Rad, A. (2013). Contemporaneous spill-over among equity, gold, and exchange rate implied volatility indices. The Journal of Futures Markets, 33(6). doi:10.1002/fut.21600

  • Badshah, I. U. (2013). Quantile regression analysis of the asymmetric return-volatility relation. The Journal of Futures Markets, 33(3). doi:10.1002/fut.21551

  • Badshah, I. (2011). Return-volatility relationships: cross-country
    evidence. International Journal of Behavioural Accounting and Finance, 2(2). doi:10.1504/IJBAF.2011.042570

Conference contributions

  • Koerniadi, H., Badshah, I., & Kolari, J. (2018). The Sarbanes-Oxley Act and informed trading in the options market: Evidence from share repurchase announcements. In World Finance & Banking Symposium. Taichung. Retrieved from https://www.world-finance-conference.com/

  • Badshah, I., Koerniadi, H., & Kolari, J. (2018). Net buying pressure and informed trading in the options market: Evidence from earnings announcements. In The 14th Conference of Asia-Pacific Association of Derivatives. Busan.

  • Badshah, I., Koerniadi, H., & Kolari, J. (2017). Net buying pressure and informed trading in the options market: Evidence from earnings announcements. In 2017 Financial Research Network (FIRN) Annual Conference. Uluru. Retrieved from https://firn.org.au/annual-conference/past-conference-programs/

  • Badshah, I., Koerniadi, H., & Kolari, J. (2016). Testing the information-based trading hypothesis in the option market: Evidence from share repurchases. In 4th Indonesian Financial Management Association International Conference (IFMA 2016). Yogyakarta.

  • Badshah, I. (2016). Momentum and market correlation. In 4th Indonesian Financial Management Association (IFMA) International Conference. Yogyakarta. Retrieved from http://www.ifma-online.org/2016-conference/call-for-papers/

  • Badshah, I., Koerniadi, H., & Kolari, J. (2016). Testing the information-based trading hypothesis in the option market: Evidence from share repurchases. In 2016 Vietnam Symposium in Banking and Finance. Hanoi. Retrieved from https://vsbf.sciencesconf.org/resource/page/id/10

  • Badshah, I., Kolari, J. W., Liu, W., & Shin, S. (2016). Momentum and Market Correlation. In New Zealand Finance Colloguium 2016 (pp. 34 pages). Queenstown: New Zealand Finance Colloquium. Retrieved from http://www.nzfc.ac.nz/archives/2016/schedule/

  • Butt, H. A., Badshah, I., & Suleman, M. T. (2016). Illusory nature of pricing of illiquidity effect: The test case of Australian stock market. In 23rd Annual Conference of the Multinational Finance Society (pp. 1). Stockholm: Stockholm Business School. Retrieved from http://www.mfsociety.org/page.php?pageID=32

  • Hurwitz, C., Mishra, S., Daigler, R. T., & Badshah, I. (2015). Examining information leadership in the volatility complex as trading time changes: Comparing VIX ETFs to VIX Futures. In 55th Annual Meeting of the Southern Finance Association (SFA) 2015. Florida: Southern Finance Association, USA. Retrieved from http://www.southernfinance.org/

  • Badshah, I., Kolari, J. W., & Shin, S. -O. (2015). Momentum and market correlation. In Auckland Finance Meeting 2015. Auckland. Retrieved from https://acfr.aut.ac.nz/

  • Badshah, I., Frijns, B., Knif, J., & Tourani-Rad, A. (2014). Asymmetries of the intraday return-volatility relation. In 2014 Conference on High Frequency Data and Derivatives Markets. Auckland. Retrieved from http://www.acfr.aut.ac.nz/

  • Badshah, I., Frijns, B., Knif, J., & Tourani-Rad, A. (2014). An intraday analysis of the return-volatility relation: A quantile regression approach. In Midwest Finance Association (MFA) 63rd Annual Meeting. Florida. Retrieved from https://www.midwestfinance.org/MeetingArchives.html

  • Badshah, I. (2013). The information content of the VDAX volatility index and backtesting daily
    value-at-risk models. In 49th Eastern Finance Association Annual Meetings. Florida. Retrieved from http://etnpconferences.net/efa/efa2013/User/Program.php

  • Tourani-Rad, A., Badshah, I., & Frijns, B. (2012). Contemporaneous Spill-Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices. In APAD 2012 The 8th Conference of Asia‐Pacific Association of Derivatives. Busan. Retrieved from http://www.kafo.or.kr/eng/s22.php

  • Badshah, I., Frijns, B., & Tourani-Rad, A. (2012). Contemporaneous spill-over among equity, gold, and
    exchange rate implied volatility indices. In 25th Australasian Finance and Banking Conference 2012 (pp. 1-33). Sydney: Australian School of Business, Institute of Global Finance. doi:10.2139/ssrn.2130312

  • Badshah, I. (2010). Quantile Regression Analysis of Asymmetric Return-Volatility Relation. In SEVENTEENTH ANNUAL CONFERENCE MULTINATIONAL FINANCE SOCIETY. Barcelona. Retrieved from http://mfs.rutgers.edu/MFC/MFC17/MC10_Booklet_2010-06-21.pdf

  • Badshah, I. (2010). Quantile Regression Analysis of Asymmetric Return-Volatility Relation. In European Financial Management Association (EFMA. Aarhus.

  • Badshah, I. (2010). Asymmetric Return-Volatility Relation, Volatility Transmission and Implied Volatility Indices. In The Financial Management Association (FMA) International Conference. Turin.

  • Badshah, I. (2009). Asymmetric Return-Volatility Relation, Volatility Transmission and Implied Volatility Indexes. In SIXTEENTH ANNUAL CONFERENCE MULTINATIONAL FINANCE SOCIETY. Crete. Retrieved from http://mfs.rutgers.edu/MFC/MFC16/MC09_Booklet_2009-06-22.pdf

  • Badshah, I. (2008). Modeling the Dynamics of Implied Volatility Surfaces. In European Financial Management Association (EFMA. Athens.

  • Badshah, I. (2008). Modeling Risk Factors Driving the EUR, USD, and GBP Swaption Volatilities. In Graduate School of Finance (GSF) Winter Research Workshop. Vaasa.

  • Badshah, I. (2007). Modeling the Dynamics of Implied Volatility Surfaces. In 14th Annual Global Finance Conference. Melbourne, Victoria. Retrieved from http://www.glofin.org/conference/pastconf

Theses

  • Badshah, I. (2010). Modeling and Forecasting Implied Volatility: Implications for Trading, Pricing, and Risk Management. (Hanken School of Economics, Finland).

Oral presentations

  • Badshah, I. (2018). Net buying pressure and informed trading in the options market: Evidence from earnings announcements. Auckland, NZ.

  • Badshah, I. (2010). Quantile Regression Analysis of Asymmetric Return-Volatility Relation. Auckland, New Zealand.

  • Badshah, I. (2010). Quantile Regression Analysis of Asymmetric Return-Volatility Relation. Barcelona, Spain.

  • Badshah, I. (2009). Asymmetric Return-Volatility Relation, Volatility Transmission and Implied Volatility Indices. Crete, Greece.

  • Badshah, I. (2009). Asymmetric Return-Volatility Relation, Volatility Transmission and Implied Volatility Indices. Copenhagen, Denmark.

  • Badshah, I. (2009). Asymmetric Return-Volatility Relation, Volatility Transmission and Implied Volatility Indices. Lund, Sweden.

  • Badshah, I. (2009). The Information Content of VDAX Volatility Index and Backtesting Daily Value-at-Risk Models. Vaasa, Finland.

Working paper/discussions

  • Koerniadi, H., Badshah, I., & Kolari, J. (2016). Testing the information-based trading hypothesis in the option market: Evidence from share repurchases..

  • Koerniadi, H., Badshah, I., & Kolari, J. (2016). Testing the information-based trading hypothesis in the option market: Evidence from share repurchases.

  • Badshah, I., & Wang, P. (2015). Risk-return relationship in US equity market: Evidence from Markov regime-switching model.

  • Butt, H., Badshah, I., & Suleman, M. (2015). Illusory nature of pricing of illiquidity risk: The test case of Australian stock market. Retrieved from http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2645681

  • Badshah, I. (2015). Volatility spillover from the fear index to developed and emerging markets.