Rumi Masih’s experience in the financial industry extends almost 30 years. He is an Industry Professor of Finance at the University of Queensland Business School in Australia and also serves as Chief Investment Officer and a Partner at Leinster Capital, London, U.K., and a Partner and Director of Infrastructure Financing at Infrencia SL in Barcelona, Spain. He was most recently head of the private equity fund business incorporating infrastructure and renewable power funds across Asia for ARCH Emerging Market Partners, U.K. Prior to this, he was Senior Investment Advisor in the investment department at the Saudi Arabian Monetary Authority (SAMA). He has held senior executive management and strategy positions at the Bank of New York Mellon, JP Morgan Asset Management, and over a decade at Goldman Sachs. As part of his industry achievements, Rumi was part of the team that was ranked first in emerging markets currency strategy by the Institutional Investor in 1998, 1999, and 2000 and was ranked second in the Extel Broker Survey by European equity clients in 2004. Rumi was most recently awarded the 2023 Outstanding Industry Leadership Award at More Conferences, Las Vegas, USA.
Prior to joining Goldman Sachs in 1997, Rumi worked in several government research departments in Australia for over a decade. He holds a Bachelor of Economics degree from the Australian National University, an M.Phil. in economics /econometrics, and a Ph.D. in Financial Econometrics from the University of Cambridge, UK. He has published widely with over 90 papers in peer-reviewed journals predominantly in areas of macroeconomics and empirical finance. In 1998, Rumi was admitted as a fellow to the Financial Management Association, and the Royal Statistical Society. He has been the recipient of several ‘best paper’ prizes at internationally reputed annual finance conferences sponsored by the Chicago Stock Exchange, Financial Management Association, and the South Western Finance Association, respectively.
His research interests span a broad area across industry and investment policy, including portfolio and investment management, asset allocation, risk management, and empirical finance. A specific focus of his work has addressed how causal factors impact decision-making in investment management and asset price fluctuations that impact global capital market changes.
Journal Article: Unraveling the financial contagion in European stock markets during financial crises: multi-timescale analysis
Dewandaru, Ginanjar, Masih, Rumi and Masih, Mansur (2018). Unraveling the financial contagion in European stock markets during financial crises: multi-timescale analysis. Emerging Markets Finance and Trade, 54 (4), 859-880. doi: 10.1080/1540496x.2016.1266614
Journal Article: Regional spillovers across transitioning emerging and frontier equity markets: a multi-time scale wavelet analysis
Dewandaru, Ginanjar, Masih, Rumi and Masih, Mansur (2017). Regional spillovers across transitioning emerging and frontier equity markets: a multi-time scale wavelet analysis. The Quarterly Review of Economics and Finance, 65, 30-40. doi: 10.1016/j.econmod.2017.04.026
Journal Article: The role of Islamic asset classes in the diversified portfolios: mean variance spanning test
Dewandaru, Ginanjar, Masih, Rumi, Bacha, Obiyathulla Ismath and Masih, A. Mansur M. (2017). The role of Islamic asset classes in the diversified portfolios: mean variance spanning test. Emerging Markets Review, 30, 66-95. doi: 10.1016/j.ememar.2016.09.002
Analyzing the Intrinsic Heterogenous Dynamic Sensitivities in PE/VC Returns to Real Shocks within Institutional Portfolios
Doctor Philosophy
Masih, Rumi (1993). Modelling the dynamic interactions among crime, deterrence and socio-economic variables: evidence from a vector error-correction model. International Congress on Modelling and Simulation Proceedings. (pp. 1527-1532) edited by Michael McAleer and Anthony Jakeman. Canberra, ACT Australia: Modelling and Simulation Society of Australia.
Dewandaru, Ginanjar, Masih, Rumi and Masih, Mansur (2018). Unraveling the financial contagion in European stock markets during financial crises: multi-timescale analysis. Emerging Markets Finance and Trade, 54 (4), 859-880. doi: 10.1080/1540496x.2016.1266614
Dewandaru, Ginanjar, Masih, Rumi and Masih, Mansur (2017). Regional spillovers across transitioning emerging and frontier equity markets: a multi-time scale wavelet analysis. The Quarterly Review of Economics and Finance, 65, 30-40. doi: 10.1016/j.econmod.2017.04.026
The role of Islamic asset classes in the diversified portfolios: mean variance spanning test
Dewandaru, Ginanjar, Masih, Rumi, Bacha, Obiyathulla Ismath and Masih, A. Mansur M. (2017). The role of Islamic asset classes in the diversified portfolios: mean variance spanning test. Emerging Markets Review, 30, 66-95. doi: 10.1016/j.ememar.2016.09.002
Dewandaru, Ginanjar, Masih, Rumi and Masih, A. Mansur M. (2016). Contagion and interdependence across Asia-Pacific equity markets: An analysis based on multi-horizon discrete and continuous wavelet transformations. International Review of Economics and Finance, 43, 363-377. doi: 10.1016/j.iref.2016.01.002
Dewandaru, Ginanjar, Masih, Rumi and Masih, A. Mansur M. (2016). What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets. Economic Modelling, 52, 981-996. doi: 10.1016/j.econmod.2015.10.037
Dewandaru, Ginanjar, Masih, Rumi, Bacha, Obiyathulla Ismath and Masih, A. Mansur M. (2015). Developing trading strategies based on fractal finance: an application of MF-DFA in the context of Islamic equities. Physica A: Statistical Mechanics and its Applications, 438, 223-235. doi: 10.1016/j.physa.2015.05.116
Dewandaru, Ginanjar, Masih, Rumi, Bacha, Obiyathulla Ismath and Masih, A. Mansur M. (2015). Combining momentum, value, and quality for the Islamic equity portfolio: multi-style rotation strategies using augmented Black Litterman factor model. Pacific-Basin Finance Journal, 34, 205-232. doi: 10.1016/j.pacfin.2014.12.006
Risk-return characteristics of Islamic equity indices: multi-timescales analysis
Dewandaru, Ginanjar, Bacha, Obiyathulla Ismath, Masih, A. Mansur M. and Masih, Rumi (2015). Risk-return characteristics of Islamic equity indices: multi-timescales analysis. Journal of Multinational Financial Management, 29, 115-138. doi: 10.1016/j.mulfin.2014.11.006
Dewandaru, Ginanjar, Masih, Rumi and Masih, A. Mansur M. (2015). Why is no financial crisis a dress rehearsal for the next? Exploring contagious heterogeneities across major Asian stock markets. Physica A: Statistical Mechanics and its Applications, 419, 241-259. doi: 10.1016/j.physa.2014.10.046
Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis
Dewandaru, Ginanjar, Rizvi, Syed Aun R., Masih, Rumi, Masih, Mansur and Alhabshi, Syed Othman (2014). Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis. Economic Systems, 38 (4), 553-571. doi: 10.1016/j.ecosys.2014.05.003
Oil price volatility and stock price fluctuations in an emerging market: evidence from South Korea
Masih, Rumi, Peters, Sanjay and De Mello, Lurion (2011). Oil price volatility and stock price fluctuations in an emerging market: evidence from South Korea. Energy Economics, 33 (5), 975-986. doi: 10.1016/j.eneco.2011.03.015
Is the finance led growth hypothesis robust to alternative measures of financial development?
Masih, Rumi and Khan, Suhair F. (2011). Is the finance led growth hypothesis robust to alternative measures of financial development?. Applied Financial Economics, 21 (10), 601-623. doi: 10.1080/09603107.2010.534065
Masih, Abul M. M. and Masih, Rumi (2010). A multivariate cointegrated modelling approach in testing temporal causality between energy consumption, real income and prices with an application to two Asian LDCs. Applied Economics, 30 (10), 1287-1298. doi: 10.1080/000368498324904
A revisitation of the savings-growth nexus in Mexico
Masih, Rumi and Peters, Sanjay (2010). A revisitation of the savings-growth nexus in Mexico. Economics Letters, 107 (3), 318-320. doi: 10.1016/j.econlet.2010.02.001
Model uncertainty and asset return predictability: an application of Bayesian model averaging
Masih, Rumi, Masih, A. Mansur M. and Mie, Kilian (2010). Model uncertainty and asset return predictability: an application of Bayesian model averaging. Applied Economics, 42 (15), 1963-1972. doi: 10.1080/00036840701736214
Masih, A. Mansur M. and Masih, Rumi (2008). Intra-market price discovery in an emerging stock market: vector fractionally-integrated error correction model and Toda-Yamamoto level VAR approaches. Asian Journal of Business and Accounting, 1 (1), 93-112.
Futures trading volume as a determinant of prices in different momentum phases
Hodgson, Allan, Masih, A. Mansur M. and Masih, Rumi (2006). Futures trading volume as a determinant of prices in different momentum phases. International Review of Financial Analysis, 15 (1), 68-85. doi: 10.1016/j.irfa.2004.10.014
Masih, A. Mansur. M. and Masih, Rumi (2004). Fractional cointegration, low frequency dynamics and long-run purchasing power parity: an analysis of the Australian dollar over its recent float. Applied Economics, 36 (6), 593-605. doi: 10.1080/0003684042000217634
Masih, Rumi and Masih, A. Mansur M. (2004). Common stochastic trends and the dynamic linkages driving european stock markets: evidence from pre- and post-october 1987 crash eras. The European Journal of Finance, 10 (1), 81-104. doi: 10.1080/13518470110040591
Price discovery between informationally linked markets during different trading phases
Hodgson, Allan, Masih, Abul and Masih, Rumi (2003). Price discovery between informationally linked markets during different trading phases. Journal of Financial Research, 26 (1), 77-95. doi: 10.1111/1475-6803.00046
Masih, A.Mansur M. and Masih, Rumi (2002). Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization period. Global Finance Journal, 13 (1), 63-91. doi: 10.1016/s1044-0283(02)00039-x
Long and short term dynamic causal transmission amongst international stock markets
Masih, R. and Masih, A. M. (2001). Long and short term dynamic causal transmission amongst international stock markets. Journal of International Money and Finance, 20 (4), 563-587. doi: 10.1016/s0261-5606(01)00012-2
Masih, Abul M. M. and Masih, Rumi (2001). Dynamic modeling of stock market interdependencies: an empirical investigation of Australia and the Asian NICs. Review of Pacific Basin Financial Markets and Policies, 04 (02), 235-264. doi: 10.1142/s0219091501000401
The dynamics of fertility, family planning and female education in a developing economy
Masih, A. M. M. and Masih, R. (2000). The dynamics of fertility, family planning and female education in a developing economy. Applied Economics, 32 (12), 1617-1627. doi: 10.1080/000368400419005
A reassessment of long-run elasticities of Japanese import demand
Masih, Rumi and Masih, Abul M.M. (2000). A reassessment of long-run elasticities of Japanese import demand. Journal of Policy Modeling, 22 (5), 625-639. doi: 10.1016/s0161-8938(98)00014-3
East Asia’s financial crisis: lessons for South Asia
Masih, Abul and Masih, Rumi (2000). East Asia’s financial crisis: lessons for South Asia. International Journal of Business Studies, 8 (1), 71-86.
Mexico: trade and the convergence trade
Feler, Alain, Masih, Rumi and Viejo, Jesus (2000). Mexico: trade and the convergence trade. Current Issues (Feb), 18-22.
Masih, Abul M. M. and Masih, Rumi (1999). Is a significant socio-economic structural change a pre-requisite for 'initial' fertility decline in the LDCs? Evidence from Thailand based on a multivariate cointegration/vector error correction modelling approach. Journal of Population Economics, 12 (3), 463-487. doi: 10.1007/s001480050109
An empirical analysis of the demand for commercial television advertising
Masih, Rumi (1999). An empirical analysis of the demand for commercial television advertising. Applied Economics, 31 (2), 149-163. doi: 10.1080/000368499324381
Masih, Abul M.M. and Masih, Rumi (1999). Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets. Pacific Basin Finance Journal, 7 (3-4), 251-282. doi: 10.1016/s0927-538x(99)00013-x
Dynamic price relationships between small and large stocks
Hodgson, Allan, Masih, Abul M. and Masih, Rumi (1999). Dynamic price relationships between small and large stocks. Accounting Research Journal, 12 (2), 151-162.
The shock persistence hypothesis: an alternative perspective
Masih, Rumi (1999). The shock persistence hypothesis: an alternative perspective. Scandinavian Journal of Development Alternatives, 18 (2).
Masih, Abul M.M. and Masih, Rumi (1998). Does money cause prices, or the other way around? : Multi‐country econometric evidence including error‐correction modelling from South‐east Asia. Journal of Economic Studies, 25 (3), 138-160. doi: 10.1108/01443589810215315
Masih, Abul M.M. and Masih, Rumi (1998). A fractional cointegration analysis of the long-run relationship between black and official foreign exchange rates: the case of the Brazilian cruzeiro. Applied Economics, 30 (7), 853-861. doi: 10.1080/000368498325282
Masih, Abul M.M. and Masih, Rumi (1998). A fractional cointegration approach to testing mean reversion between spot and forward exchange rates: a case of high frequency data with low frequency dynamics. Journal of Business Finance and Accounting, 25 (7-8), 987-1003. doi: 10.1111/1468-5957.00222
Cointegration, fractional cointegration, and black/official exchange rate dynamics
Masih, Abul M. and Masih, Rumi (1998). Cointegration, fractional cointegration, and black/official exchange rate dynamics. Applied Economics, 30, 853-861.
Exchange rate risk formation in an import demand model: empirical evidence from Korea
Masih, Rumi (1998). Exchange rate risk formation in an import demand model: empirical evidence from Korea. Economia Internazionale, 51 (2), 239-258.
Masih, Rumi and Masih, Abul M. (1998). Money-output causality in a dynamic multivariate context: an application of macroeconometric time series modelling. Rivista Internazionale di Scienze Economiche e Commerciali, 45, 185-208.
Tests of the Long-Run Neutrality of Money in Alternative Macroeconometric Models
Masih, Rumi (1998). Tests of the Long-Run Neutrality of Money in Alternative Macroeconometric Models. Asian Economic Review, 40 (1), 40-53.
The impact of job search methods on job search duration
Masih, Rumi (1998). The impact of job search methods on job search duration. Rivista Internazionale di Scienze Economiche e Commerciali, 45 (2), 219-244.
Masih, Abul M. M. and Masih, Rumi (1997). Bivariate and multivariate tests of money-price causality: robust evidence from a small developing country. Journal of International Development, 9 (6), 803-825. doi: 10.1002/(sici)1099-1328(199709)9:6<803::aid-jid407>3.0.co;2-h
Masih, Abul M.M. and Masih, Rumi (1997). Can family-planning programs “cause” a significant fertility decline in countries characterized by very low levels of socioeconomic development? New evidence from Bangladesh based on dynamic multivariate and cointegrated time-series techniques, 1965–1991. Journal of Policy Modeling, 19 (4), 441-468. doi: 10.1016/s0161-8938(96)00064-6
Masih, Abul M.M. and Masih, Rumi (1997). On the temporal causal relationship between energy consumption, real income, and prices: some new evidence from Asian-energy dependent NICs Based on a multivariate cointegration/vector error-correction approach. Journal of Policy Modeling, 19 (4), 417-440. doi: 10.1016/s0161-8938(96)00063-4
Masih, Abdul M.M., Masih, Rumi and Hasan, Mohammad S. (1997). New evidence from an alternative methodological approach to the defence spending‐economic growth causality issue in the case of mainland China. Journal of Economic Studies, 24 (3), 123-140. doi: 10.1108/01443589710167347
Masih, Abul M. M. and Masih, Rumi (1997). A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages. Applied Financial Economics, 7 (1), 59-74. doi: 10.1080/096031097333853
Masih, Abul M. M. and Masih, Rumi (1997). Dynamic linkages and the propagation mechanism driving major international stock markets: an analysis of the pre- and post-crash eras. The Quarterly Review of Economics and Finance, 37 (4), 859-885. doi: 10.1016/s1062-9769(97)90008-9
Masih, Abul M. M. and Masih, Rumi (1996). Empirical tests to discern the dynamic causal chain in macroeconomic activity: new evidence from Thailand and Malaysia based on a multivariate cointegration/vector error-correction modeling approach. Journal of Policy Modeling, 18 (5), 531-560. doi: 10.1016/0161-8938(95)00133-6
Masih, R. and Masih, A.M.M. (1996). Stock-Watson dynamic OLS (DOLS) and error-correction modelling approaches to estimating long- and short-run elasticities in a demand function: New evidence and methodological implications from an application to the demand for coal in mainland China. Energy Economics, 18 (4), 315-334. doi: 10.1016/s0140-9883(96)00016-3
Masih, Abul M. M. and Masih, Rumi (1996). Temporal causality and the dynamics of different categories of crime and their socioeconomic determinants: evidence from Australia. Applied Economics, 28 (9), 1093-1104. doi: 10.1080/000368496327949
Masih, A. M. M. and Masih, R. (1996). Energy consumption, real income and temporal causality: results from a multi-country study based on cointegration and error-correction modelling techniques. Energy Economics, 18 (3), 165-183. doi: 10.1016/0140-9883(96)00009-6
Masih, Rumi and Masih, Abul M. M. (1996). Macroeconomic activity dynamics and Granger causality: new evidence from a small developing economy based on a vector error-correction modelling analysis. Economic Modelling, 13 (3), 407-426. doi: 10.1016/0264-9993(96)01013-9
Masih, Rumi (1996). Analysing unemployment, vacancies and the role of long-term unemployment in the Beveridge curve using a cointegration/vector error-correction modelling approach. Rivista Internazionale di Scienze Economiche e Commerciali, 43 (1), 63-80.
Masih, Abul M. M. and Masih, Rumi (1996). Common stochastic trends, multivariate market efficiency and the temporal causal dynamics in a system of daily spot exchange rates. Applied Financial Economics, 6 (6), 495-504. doi: 10.1080/096031096333944
Modelling the dynamics of macroeconomic activity: new evidence from a developing economy
Masih, Abul M. and Masih, Rumi (1996). Modelling the dynamics of macroeconomic activity: new evidence from a developing economy. Journal of Quantitative Economics, 12 (2), 85-105.
On the measurement of development: some alternative perspectives
Masih, Rumi (1996). On the measurement of development: some alternative perspectives. Asian Economic Review, 38 (2), 308-311.
Masih, Rumi and Masih, Abul M. M. (1995). A fractional cointegration approach to empirical tests of PPP: New evidence and methodological implications from an application to the Taiwan/US dollar relationship. Weltwirtschaftliches Archiv - Review of World Economics, 131 (4), 673-694. doi: 10.1007/bf02707935
Masih, Rumi (1995). Modelling the dynamic interactions among crime, deterrence and socio-economic variables: evidence from a vector error-correction model. Mathematics and Computers in Simulation, 39 (3-4), 411-416. doi: 10.1016/0378-4754(94)00092-3
Masih, Abul M. M. and Masih, Rumi (1995). Investigating the robustness of tests of the market efficiency hypothesis: contributions from cointegration techniques on the Canadian floating dollar. Applied Financial Economics, 5 (3), 139-150. doi: 10.1080/758523001
Masih, Abul M. M. and Masih, Rumi (1995). Temporal causality and the dynamic interactions among macroeconomic activity within a multivariate cointegrated system: evidence from Singapore and Korea. Weltwirtschaftliches Archiv, 131 (2), 265-285. doi: 10.1007/bf02707435
Does only unanticipated monetary growth matter? An econometric investigation of ten Asian countries
Masih, Rumi (1995). Does only unanticipated monetary growth matter? An econometric investigation of ten Asian countries. Economia Internazionale, 48 (4), 537-549.
Masih, Abul M. and Masih, Rumi (1995). Temporal causality and dynamic interactions among macroeconomic activity within a multivariate cointegrated system: evidence from Singapore and Korea. Weltwirtschaftliches Archiv, 131 (2), 265-285.
Masih, Abul M. and Masih, Rumi (1994). On the robustness of cointegration tests of the market efficiency hypothesis: evidence from six European foreign exchange markets. Economia Internazionale, 47 (2-3), 160-180.
Masih, Abul M. and Masih, Rumi (1994). Temporal causality between money and prices and the error-correction approach in LDCs: New evidence from India. Indian Economic Review, 29 (1), 33-55.
Masih, Abul M. and Masih, Rumi (1994). The dynamics of macroeconomic activity and granger temporal causality: New evidence from Bangladesh based on dynamic multivariate and cointegrated time series techniques. Bangladesh Development Studies, 22 (1), 63-88.
Masih, Abul M. and Masih, Rumi (1994). Using cointegration in finance and accounting studies: an application of high frequency Thai and Malaysian daily stock prices. Pacific Accounting Review, 6 (1), 94-113.
Masih, Abul M. M. and Masih, Rumi (1995). Temporal causality and the dynamic interactions among macroeconomic activity within a multivariate cointegrated system: evidence from Singapore and Korea. 2nd International Conference on Financial Econometrics, Queenstown, New Zealand, 12-15 December 1993. Heidelberg, Germany: Springer. doi: 10.1007/bf02707435
Analyzing the Intrinsic Heterogenous Dynamic Sensitivities in PE/VC Returns to Real Shocks within Institutional Portfolios
Doctor Philosophy — Principal Advisor
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