Kamrul Hassan PhD (Curtin, WA), AFHEA

Mental health conditions impose substantial economic burdens on healthcare systems globally, with growing evidence indicating disproportionate impacts on household-level out-of-pocket (OOP) expenditures. Despite Australia's universal healthcare system, the financial burden of mental health conditions on households remains underexplored.
To examine the longitudinal relationship between mental health status and OOP healthcare expenditures among Australian adults, and assess how education and income moderate this relationship.
We analyzed 17 waves (2006-2022) of the Household, Income and Labour Dynamics in Australia (HILDA) survey, encompassing 57,647 person-year observations from 3,391 unique individuals. Mental health was measured using the Mental Health Inventory-5 (MHI-5) scale and newly proposed expanded MHI-9 scales. We employed fixed-effects panel regression models and instrumental variable analysis to address unobserved heterogeneity.
A one-unit decrease in MHI-5 score is associated with 0.18-0.25% increase in inflation-adjusted OOP healthcare expenditure, equivalent to AU$2.10-$3.00 per unit decline, with a 10-point decline in MHI-5 costing households an additional AU$21-$30. Instrumental variable estimates revealed larger causal effects of 0.80-1.00%. Individuals with good mental health and higher education demonstrated expenditure patterns consistent with Grossman's health capital theory, while those with poor mental health showed disrupted relationships between education and healthcare spending. Urban residents faced 11.00% higher inflation-adjusted OOP costs than the rural residents.
Mental health deterioration significantly increases household healthcare expenditure burdens in Australia. Traditional health economics theories apply primarily to individuals with good mental health, indicating the need for targeted rather than universal policy approaches.

Given the alleged uniqueness of Islamic stocks, it is expected that they should provide insurance when faced with adverse market conditions. This expectation is tested by assessing contagion, using 25 Islamic indexes during the period 2007–2017, by employing contemporary econometric techniques. The results reveal robust contagion effects of the financial crisis on Islamic stock indexes. Furthermore, we find Baker and Wurgler’s investor sentiment can predict Islamic stock returns during the crisis period. Our findings indicate that Islamic stocks cannot be used as a haven asset during financial turmoil.

This paper examines the risk spillover effect between the carbon market and the stock market in China and the role of corporate social responsibility (CSR) on this effect. Employing Beijing, Hubei, and Guangdong carbon markets, we apply time-domain and frequency-domain spillover approaches and find that during the Chinese stock market crisis in 2015, risk spillovers from the stock market to the carbon market were more pronounced. Additionally, CSR firms are more dominant as information transmitters than those non-CSR (NCSR) firms in the carbon market. However, plausibly, due to the infancy of carbon trading, our results show that the level of connectedness between the carbon market and the stock market in China is relatively low.

This study introduces the intraday implied volatility (IV) for pricing the Australian dollar (AUD) options. The IV is estimated using the at-the-money one-month, two-month, and three-month maturity AUD options traded in the opening, midday, and closing period of a trading day. The Mincer-Zarnowitz regression test evaluates the predictive power of IV to forecast the foreign exchange volatility for the within-week, one-week, and one-month horizon. The mean absolute error, mean squared error, and root mean squared error measures are employed to assess the performance of IV in estimating the price of currency options for the within-week, one-week, and one-month horizon. This study reveals four critical findings. First, a three-month maturity IV does not contain vital information for pricing options. Second, IV incorporated information is not relevant to compute the value of options for a horizon of less than a week. Third, IV in the closing period of Monday or Tuesday subsumes most of the essential information to estimate options price. Fourth, the shorter (longer) maturity IV provides critical information to price options for the shorter (longer) horizon. The intraday IV is a new dimension of unobservable volatility in accurately pricing currency options for researchers and practitioners.

This article examines the impact of population age structure on the real exchange rate. Data on a panel of 22 OECD (Organization of Economic Cooperation and Development) countries over 1980–2015 period are used to estimate the empirical model. Using fixed effect model the paper finds that different age cohorts have a significant influence on the real exchange rates in the sample countries. The results are mostly consistent with the theoretical framework discussed in the paper and also with the findings of previous studies in this area. These results have important policy implications given the fact that the population is ageing in almost all the OECD economies these days.

This research examines the performance of the Islamic stock portfolio (ISP) and conventional stock portfolio (CSP) for the five industrial sectors and market in Malaysia. The capital asset pricing model statistics indicate that the ISP provides a higher return with a lower systematic risk compared to the CSP in different sectors; however, the ISP and CSP perform equally in the market. The non-parametric stochastic dominance approach reveals that the ISP is better than the CSP for portfolio return without considering the riskiness for all sectors except properties; further, the ISP outperforms the CSP under the market condition. Economic significance analysis identifies that the expected financial loss of the ISP is lower than that of the CSP in all sectors other than properties; the anticipated financial loss of the ISP is significantly less than that of the CSP in the market situation. The overall findings imply that the risk-sharing ISP is superior to the risk-bearing CSP for better returns at the sector as well as the market level.

This study examines the predictive power of implied volatility smirk to forecast foreign exchange (FX) return. The volatility smirk contains critical information, especially when the market experiences negative news. The Australian dollar, Canadian dollar, Swiss franc, Euro, and British pound options traded in the opening, midday and closing periods of the trading day are selected to estimate the currency smirk. Research results reveal that the currency smirk outperforms in forecasting FX returns. In addition, the steeper slope in the middle of the trading day suggests that the predictive power of currency smirk in the midday period is higher compared to the opening and closing periods. However, currency smirks’ predictability lasts for a short period, as the FX market is highly adept at incorporating the vital information embedded in the currency smirk. These findings imply that the currency smirk is distinctive for forecasting very short-term FX fluctuations, and the day- or overnight FX traders can use its uniqueness to profit from quick price swings in the 24-hour global FX market.

This paper uses threshold GARCH (TGARCH) and generalised forecast error variance decomposition to compute time domain and frequency domain volatility spillover. The spillover technique is then applied to Islamic and conventional stock indices and crude oil in BRICS countries (Brazil, Russia, India, China, and South Africa), thus informing investors about the magnitude and speed of the volatility spillover. We find that the total volatility spillover is driven mainly by a long-term component. Accordingly, these assets are suitable for investors with short- and medium-term investment horizons. However, analysis reveals that volatility spillover magnitude and speed increase substantially during the global financial crisis, suggesting that investors in Brazil, Russia, and South Africa with stocks in their portfolio should rebalance promptly. Dynamic covariance analysis shows that covariance between Islamic and conventional stock index returns is the highest and exhibit a significant increase during the crisis period.