Syed Galib Sultan

Dept. of Economics
University of Washington Seattle
Savery Hall 305, Box 353330
Seattle, WA 98195

Email: sgsultan@uw.edu
Phone: 314-546-1729
Website: http://galibsultan.weebly.com/

EDUCATION
May 2015 (Expected)

PhD in Economics, University of Washington- Seattle,

Committee: Eric Zivot (Chair), Jonathan Brogaard, Yu-Chin Chen, JiHyung Lee

2010

M.A. in Economics, Washington University in Saint Louis

2008

M.S.S. in Economics, University of Dhaka, Bangladesh

2007

B.S.S. in Economics, University of Dhaka, Bangladesh

FIELDS OF INTEREST
Time Series Econometrics, Financial Economics, Market Microstructure, High-frequency
Trading, Applied macro-Economics
WORKING PAPER
Price Discovery Share- An Order Invariant Measure of Price Discovery with Application to
Exchange-traded Funds with Eric Zivot (Job Market Paper)
Abstract: Price Discovery is the process by which new information is impounded into asset prices
through trading activity. A market is considered to contribute more to price discovery if it is the first to
capture new information regarding the fundamental value of an asset. Hasbroucks (1995) information
share (IS) is the most widely used measure for price discovery contribution even though there is a welldocumented concern with identification: its dependence on the ordering of the variable in the price vector
and its non-uniqueness. We propose a new measure, Price Discovery Share (PDS) that is closely
related to IS and resolves the identification problems inherent in the IS method. PDS is motivated by a
widely used method in risk management literature called the risk-budgeting or additive decomposition
of portfolio volatility. Using simulated data based on different structural asset pricing models, we find
that PDS measures the structural price discovery contribution more accurately than IS. We also apply
PDS to investigate the duplication of Exchange-Traded Funds (ETFs) phenomenon, a recent
institutional trend in financial markets. We show that although there are multiple ETFs tracking the S&P
500 index, one specific S&P 500 ETF (SPY) always contributes more to price discovery than the rest.
We also find that PDS, unlike IS, is robust to the use of intra-day market price data sampled at different
frequencies.
.

WORK IN PROGRESS
Analysis of Cross-Section of Volatility and Expected Asset Returns from Jump Risk
Perspective with Jonathan Brogaard
Abstract: We provide an alternative explanation for the puzzling negative relation between idiosyncratic
risks and expected future stock return found by Ang et al (2006). Ang et al (2006) find a strong significant
difference of -1.06% per month between the average returns of the quintile portfolio with the highest
idiosyncratic volatility stocks and the quintile portfolio with the lowest idiosyncratic volatility shock.
This negative relation is robust even after controlling for relevant financial variables. We propose to
isolate the jump component from the diffusion component of idiosyncratic risk following the method
demonstrated in Sahalia (2004). Our on-going results show that the correlation between jump component
of the idiosyncratic risk and expected future return of stock is negative. We also find that the relation
between diffusion component of the idiosyncratic risk and expected future return of stock is positive. We
identify the jump component of idiosyncratic risk to be the catalyst behind the puzzling relation. This
result is also coherent with Fus (2009) return reversal story of stock return with high idiosyncratic
risk.

Application of Markov Regime-Switching Model to US Public Debt Growth and Fiscal

Policy Sustainability (under review)
A Systematic Analysis of Risk and Liquidity effect of Bond ETFs on the Underlying Bonds
with Jonathan Brogaard. (The proposal of this research project was selected for research grant
by ETF Research Academy of Universit Paris-Dauphine.)
SEMINARS AND CONFERENCE ATTENDED
2014
2013

Annual Conference of Southern Economic Association (SEA), Annual

Conference of Canadian Economics Association (CEA)
Annual Conference of Western Economic Association International
(WEAI)

HONORS & AWARDS

2011
2008-2009

James O York Fellowship, University of Washington Seattle

University Graduate Fellowship, Washington University in St. Louis

RESEARCH GRANTS
Dec, 2014

Selected (With Jonathan Brogaard) for Research Grant from the ETF
Research Academy at the University of Dauphine, Paris and Lyxor Asset
Management (10,000 Euros). For more information please visit:
http://www.afajof.org/details/event/6921461/ETF-Research-Academy--Call-for-Projects.html

TEACHING EXPERIENCE
INDEPENDENT INSTRUCTOR
University of
Intermediate Macro-Economics
Washington Seattle
Introduction to Macro-Economics
Introduction to Micro Economics
Seattle University
Bellevue College
Seattle Central
Community
College

Autumn, Summer, Spring,

Winter, 2014
Autumn, 2013
Autumn, Spring, Winter,
2012
Spring, 2014

Global and International MacroEconomics

Introduction to Macro-Economics
Introduction to Macro-Economics

Winter, 2013
Summer 2012, Winter,
Spring, 2013

TEACHING ASSISTANT
University of
Computational Finance and Financial
Washington Seattle Econometrics
Statistical Concepts and Methods for the
Social Sciences (Stat 221)
Causal Modeling (Stat 566)
Introduction to Micro-Economics

Summer 2013, Summer

2012
Spring 2013
Winter 2013
Autumn, Winter 2011,
Autumn, 2010

COMPUTER SKILLS
R, Matlab, Eviews, LATEX, MS Office

REFERENCE
Eric Zivot
Robert Richards Chaired Professor
Dept. of Economics
University of Washington Seattle
Phone: 206-543-6175
Email: ezivot@uw.edu
Yu-Chin Chen
Associate Professor
Gary Waterman Distinguished Scholar
Dept. of Economics
University of Washington Seattle
Phone: 206-543-6197
Email: yuchin@uw.edu

Jonathan Brogaard
Assistant Professor
Dept. of Finance, Foster School of Business
University of Washington Seattle
Phone: 206-685-7822
Email: brogaard@uw.edu
Ji-Hyung Lee
Assistant Professor
Dept. of Economics
University of Washington Seattle
Phone: 206-543-4582
Email: jihyung2@uw.edu