Research

Working papers:

The Sterling Effect: Evidence of Racial Discrimination in the English Football Labour Market  (Joint with Joel Kariel)

Forecasting the Volatility of the S&P 500 Index Returns: The Role of News Sentiment (Job Market Paper)

This paper decomposes the textual data in the U.S. Newspapers into different news topics using unsupervised machine learning approach. I then measure the tonality of the news topics using dictionary based approach and investigate their abilities in predicting the volatility of stock returns. The results of this paper demonstrate that incorporating topical news sentiment as exogenous regressors in GARCH(1,1) and GJR-GARCH (1,1) models explains the stock returns volatility. More precisely, the news sentiment indices for topics related to currency, monetary policy, manufacturing, trade and trade policy can explain the variation in the volatility of stock returns. When combining the individual forecasts using regression based method, the combined forecasts provide accuracy in predicting the volatility of stock returns.

Land Tax Holiday and House Prices: Evidence from the UK 

This paper provides evidence on the impact of Stamp Duty Land Tax holiday on house prices in the UK using synthetic control methodology. I postulate that the tax holiday caused an increase in the UK house prices by annual rates of 2.3% and 3.1% in 2020 Q4 and 2021 Q1. On a regional level, all the regions exhibited an increase in the house prices except for Greater London. My findings suggest that the pandemic caused city-dwellers to move out of big cities to the countryside and coastal cities, driving their house prices to increase.

The Winners and Losers of Brexit: A UK Manufacturing Sector Analysis (Top ten on SSRN list for Econometric Modeling: Macroeconomics eJournal and European Economics: Political Economy & Public Economics eJournal )

I analyse the effect of Brexit vote on UK manufacturing divisions using a synthetic control methodology. My results show that in the three years following the Brexit referendum, the UK total manufacturing sector's employment decreased by an average of 1.7% per quarter. When investigating the impact on individual manufacturing divisions, I found that two manufacturing divisions benefited from the Brexit vote, eight manufacturing divisions were negatively affected, while six manufacturing divisions were unaffected. My results are of particular importance to policymakers who will support sectors affected from the shortages of skilled labour as a result of the Brexit referendum.

The Effect of Brexit vote on UK Productivity: Synthetic Control Analysis (Published at Journal of Applied Economic Sciences)

In this paper I analyse the effect of Brexit on UK labour productivity and its components using a synthetic control methodology. My results show that the Brexit vote had a negative impact on labour productivity, causing GDP per hour worked to decrease by 2.4% by 2019 in comparison to the absence of Brexit. The two components of labour productivity are GDP and hours worked. I find that the decrease in the GDP is more than the increase in hours worked per person, causing the labour productivity to decline.

"The Subprime crisis 2007-2008 and Time Series Analysis on the performance of the Equity Real Estate Investment Trusts" (Submitted as MSc Finance Dissertation) 

 The period of the 1990s to 2008 witnessed a boom in the real estate market in the U.S. that was spilled over the Equity REITs, this paper aims to analyse the performance of the Equity REITs before the boom of the real estate market and during the boom. These analyses involve analysing whether the equity REITs index perform like the common stock market or like the real estate investments, testing whether the Equity REITs market had any speculative bubbles, and studying the use of Equity REITs as a source of portfolio diversification.