Jahangir Sultan

Jahangir Sultan is the Edward F. Gibbons Research Professor of Finance, Executive Founding Director, The Hughey Center for Financial Services. Research interests include international finance, international investment, financial liberalization in emerging economies, and time-series modeling. Has articles published or forthcoming in the Journal of Financial and Quantitative Analysis, Journal of International Money and Finance, Journal of Financial Research, Journal of Financial Engineering, Journal of Business Finance and Accounting, Journal of Applied Financial Economics, Real Estate Review, Journal of Futures Markets, Open Economies Review, Pacific-Basin Capital Markets Research, Review of Research in Banking and Finance, Binational Fulbright Working Paper Series, the Chicago Board of Trade Working Paper Series, and Columbia University Working Paper Series. Has received awards and grants from the Chicago Board of Trade (CBOT), Binational Fulbright Commission, Bentley College, Columbia University, and the Asian Development Bank. Previously taught at Texas A&M University.

Education

• W. P. Carey School of Business – Arizona State University - Ph.D, Economics 1982 - 1986
• Western Illinois University - MS, Economics 1979 - 1980
• Eureka College - BS, Economics and Business 1977 - 1979

Teaching Interests

• International financial management;
• International investment;
• Fixed income;
• Securities trading;
• Corporate finance

Research Interests

• Cryptocurrencies
• Political risk
• Fintech
• Foreign exchange exposure management, hedging, modeling volatility, and risk management issues; Corporate governance; Socially responsible investing-carbon trading;
• Risk management/Derivatives;
• Portfolio management; mutual funds
• Effects of terrorism on financial markets

Consulting/Practice Interests

• Setting up on-campus trading rooms;
• Estimating volatility /GARCH;
• Portfolio optimization;
• Trading strategies;
• Hedge fund analytic;
• Large international infrastructure projects

Awards and Honors

• 2009, Best Paper Award for "Portfolio Diversification during Financial Crisis: An Analysis of Islamic Asset Allocation Strategy," with Maher Milly. Presented at the World Economic and Business Conference in Istanbul, August 12-14, 2009.
• 2008, "Options on Fed Funds Futures and Interest Rate Volatility," winner of the Best Paper Award at the Eighth International Business Research Conference, UAE, March 27-28, 2008. Presented by the World Business Institute, Victoria, Australia.
• 2007, Gibbons Professorship in Finance
• 1999, Bentley College Scholar of the Year
• 1995, Recipient of a travel award from the Federal Reserve Bank of Atlanta, to present at the Conference on "Derivatives and Systemic Risk", Washington, D.C., April 20, 1995.
• 1994, Bentley College Rauch Grant
• 1994, Chicago Board of Trade Educational Research Foundation ($10,000) for conducting research on interest rate swaps. Project Title: "Interest Rate Swaps and Futures Market Volatility." 1994.
• 1993, Rauch Faculty Enrichment Fund ($4500), 1993 for developing an innovative course in currency trading. Currently studying the possibility of developing a currency trading room.
• 1992, Fellowship ($2000) from The Binational Fulbright Commission in Cairo, Egypt to attend the Fulbright Symposium- Europe '92 and its Implications for Industrialized and Industrializing Economies, Cairo, Egypt, January 5-7, 1992.
• 1991, Bentley College Fellowship ($2000) to attend The European Community: 1992 and Beyond in Belgium, France, and Luxembourg. June 22-July 6, 1991.
• 1991, Recipient of a grant ($6000) from the Center for the Study of Futures Markets at Columbia University for "Foreign E change Futures and Time Varying Hedge Ratios" with Ken Kroner.
• 1990, Recipient of a travel award ($1500) from the Asian Development Bank and the Thailand Securities and E change to present "E change Rate Volatility and Time Varying Hedge Ratios," at the Second Annual Pacific-Basin Finance Conference in Bangkok, Thailand: June 3-6, 1990.

Publications

Journal Articles

• Li, T., Nan, W., Sultan, J., , . (2023). Internal Relevance between Analysts' Forecasts and Target Prices - Informativeness and Investment Value. Journal of Applied Financial Economics. Forthcoming.
• Mensi, W., Sultan, J., Nekhili, R. (2022). Cryptocurrency liquidity during the Russia-Ukraine war: The Case of Bitcoin and Ethereum. Journal of Risk Finance. 24. Forthcoming.
• Frydenberg, M. E., Sultan, J., VanderClock, W. B. (2022). [PDF] from ed.gov Interacting with Bloomberg Terminal from an Information Technology Perspective. ISCAP, (20) 3 27-35. (Link)
• Nekhili, R., Sultan, J. (2021). “Hedging Bitcoin with Conventional Assets”. . Borsa Istanbul Review.
• Ahmed, R., Hasan, M., Sultan, J. (2020). Meteor Showers and Global Asset Allocation. European Journal of Finance.
• Nekhil, R., Sultan, J. (2020). Jump Driven Risk Model Performance in Cryptocurrency Market. International Journal of Financial Studies, (8 ) 2 1-18.
• Sultan, J., Alexandritis, A., Hasan, M., Sultan, J. (2019). Hedging Performance of Multiscale Hedge Ratios. Journal of Futures Markets, (39) 12 20.
• Sultan, J. (2018). Are Individuals More Likely to Misappropriate During Economic Recessions or Expansions? An Examination of the Relative Impact of Pressure and Opportunity. Journal of Forensic & Investigative Accounting/National Association of Certified Valuators and Analysts. (Link)
• Bhatt, V., Shah, S., Sultan, J. (2014). Faith Based Investing: A Comparison among Islamic, SRI, and Conventional Investing.. Harvard Law School, ILSP, Islamic Finance Project (2013).
• Bhatt, V., Sultan, J. (2013). Leverage Risk, Financial Crisis, and Stock Returns: A Comparison among Islamic, Conventional, and Socially Responsible Stocks. Islamic Economic Studies, (20) 1 87-143.
• Sultan, J. (2012). Options on Fed Funds Futures and Interest Rate Volatility.” Forthcoming, Journal of Futures Markets.. Journal of Futures Markets, (25) 330-359.
• Gulley, O. D., Sultan, J. (2011). Economics, Politics, and the Federal Funds Markets: Does the Fed Play Politics?. Applied Financial Economics, (21) 14 1005-1019.
• Sultan, J., Hasan, M. S. (2008). The Effectiveness of Dynamic Hedging: Evidence from Selcted European Stock Index Futures. European Journal of Finance.
• Sultan, J. (2005). Information Content of the Fed Funds Rates. Journal of Futures Markets, (25) 8 753-774.
• Gulley, O. D., Sultan, J. (2003). Financial Market Reaction to Monetary Policy. Applied Financial Economics, (13) 199-209.
• Gulley, O. D., Sultan, J. (2003). The Link Between Monetary Policy and Stock and Bond Markets: Evidence from the Federal Funds Futures Contract. with David Gulley. Applied Financial Economics, (13) 2003 199-209.
• Gulley, O. D., Sultan, J. (1998). Consumer Confidence Announcements: Do They Matter?. Applied Financial Economics, (8) 155-166.
• Fletcher Brown, D., Sultan, J. (1997). Cross Currency Swap Rates and Deviations from Interest Rate Parity. Journal of Financial Engineering, (6) 47-69.
• Balogh, C., Sultan, J. (1997). Investing in Foreign Real Estate: A Primer. Real Estate Review, (27) Spring 73-81.
• Hogan, K., Kroner, K., Sultan, J. (1997). Program Trading, Non-Program Program Trading and Market Volatility. Journal of Futures Markets, (17) October 733-757.
• Shastri, K., Sultan, J., Tandon, K. (1996). The Impact of the Listing of Options in the Foreign Exchange Market. Journal of International Money and Finance, (15) February 37-64.
• Sultan, J. (1995). Stock Market Reaction to German Reunification. Journal of Business Finance and Accounting, (22) September 831-844.
• Chowdhury, M., Kroner, K., Sultan, J. (1995). Volatility Spillover from Interest Rate Swaps. Journal of Financial Engineering, (4) 157-186.
• Hogan, K., Sultan, J. (1994). Foreign Exchange Market Reaction to the U.S.-Canada Free Trade Agreement. Journal of Financial Research, (26) Winter 530-550.
• Fletcher Brown, D., Sultan, J. (1994). The Impact of Regulatory News and Discount Rate Changes on the Time Varying Volatility of Interest Rate Swap Spreads. Journal of Financial Engineering, (3) September/December 229-252.
• Sultan, J. (1994). Trade Deficit Announcements and Exchange Rate Volatility: Evidence from the Spot and Futures Markets. Journal of Futures Markets, (14) June 379-404.
• Kroner, K., Sultan, J. (1993). Time Varying Distributions and Dynamic Hedging with Foreign Currency Futures. Journal of Financial and Quantitative Analysis, (28) December 535-551.
• Kroner, K., Sultan, J. (1991). Exchange Rate Volatility and Time Varying Hedge Ratios. Pacific-Basin Capital Markets Research, (2) 397-412.
• Melvin, M., Sultan, J. (1990). South African Political Unrest, Oil Prices and The Time Varying Risk Premium in the Gold Futures Market. Journal of Futures Markets, (10) 2 103-111.
• Melvin, M., Sultan, J. (1990). The Choice of an Invoicing Currency in International Trade and the Balance of Trade Impact of Currency Depreciation. Open Economies Review, (1) 251-268.
• Sultan, J. (1987). Prediction of Corporate Bankruptcy: A Comparison Between LOGIT and Multiple Discriminant Techniques. Review of Research in Banking and Finance, (3) Fall 29-38.
• Fletcher Brown, D., Buono, A. F., Frederick, R. E., Hall, G. J., Sultan, J. (). A Longitudinal Study of Ethics Education: Establishing the Baseline. Journal of Academic Ethics.

Book Chapters

• Gulley, O. D., Sultan, J. (2009). The Effects of Global Terrorism on Risk Premium: Evidence from Stock Markets In Mathew Morgan, (Eds.) . new York: Palgrave Mcmillan
• Sultan, J. (2009). Carbon Emissions Trading In Partha Ghosh, (Eds.) Green Economy (ed. Partha Ghosh, Boston Pledge), Boston.. Boston, MA: Boston Pledge
• Sultan, J. (2006). Modeling Correlation Risk In Michael Ong, (Eds.) Risk Management: A Modern Perspective. 273-291. Burlington, MA: Academic Press