oalib
Search Results: 1 - 10 of 100 matches for " "
All listed articles are free for downloading (OA Articles)
Page 1 /100
Display every page Item
A Validity Test of Capital Asset Pricing Model for Dhaka Stock Exchange  [PDF]
Md. Zobaer Hasan,Anton Abdulbasah Kamil,Adli Mustafa,Md. Azizul Baten
Journal of Applied Sciences , 2011,
Abstract: Capital Asset Pricing Model (CAPM) was a revolution in financial theory. CAPM postulates an equilibrium linear association between expected return and risk of an asset. This study investigates a risk-return relationship within the CAPM framework in Dhaka Stock Exchange (DSE) using monthly stock returns from 80 non-financial companies for the period of January 2005 to December 2009. From the CAPM empirical analysis, it is observed that intercept term is significantly different from zero and insignificant but there exists a positive relationship between beta and share return. The results of the study refute the CAPM hypothesis and offer evidence against the CAPM in DSE market. However, there exists linearity in the securities market line. The unique risk and the interaction are insignificant during the period.
Efficiency Measures of Capital Market: A Case of Dhaka Stock Exchange  [cached]
Naznin Sultana Chaity,Sanjida Sharmin
International Journal of Business and Management , 2011, DOI: 10.5539/ijbm.v7n1p102
Abstract: Dhaka Stock Exchange has experienced two market crashes since its inception (November 1996 and December 2010). The regulator tried to reform the market as an efficient market by taking various measures. This study is designed to measure market efficiency level of DSE; Market efficiency is used to explain the relationship between information and share price in capital market, following whether or not returns in a market follow a random walk process over a longer period of time. For testing of market efficiency, we conducted normality test along with serial dependencies of stock return from one period to another. The Result of the study indicates that the DSE is not ‘Weak form of Efficient’ and not follow ‘Random Walk model’.
Tests of Weak-form Market Efficiency of Dhaka Stock Exchange: Evidence from Bank Sector of Bangladesh
Md. Sogir Hossain Khandoker,Md. Nur Alam Siddik,Md Azam
Interdisciplinary Journal of Research in Business , 2011,
Abstract: This paper uses Random walk hypothesis to test market efficiency in the Dhaka Stock Exchange Ltd (DSE).In this paper; with Runs test, Dickey-Fuller Unit root test processed and analyzed the behavior of daily return of Dhaka Stock Market indices during the past 11 years. The sample includes the daily price indices of all securities listed on the DSE general, DSI (All Share), DSE top 20 indices, and Daily indices listed in the market. As a proxy of movement of individual stock prices, daily closing prices of 30 companies operating in the Bank sector has been analyzed. The results provide evidence that DSE does not follow the random walk model and so the Dhaka stock exchange (DSE) is not efficient even in weak form. To improve the capital market, the timely disclosure and dissemination of information to the shareholders and investors on the performance of the listed companies should be emphasized.
Market Timing Decisions by Hybrid Machine Learning Technique: A Case Study for Dhaka Stock Market
A.F.M. Khodadad Khan,Mohammad Anwer,Shipra Banik
Journal of Computations & Modelling , 2013,
Abstract: Stock market prediction has been a challenging task due to the nature of the data which is very noisy and time varying. However, this theory has been faced by many empirical studies and a number of researchers have successfully applied machine learning approaches to predict stock market. The problem studied here is about stock prediction for the use of investors. It is true investors usually get loss because of unclear investment objective and blind investment. This paper proposes to investigate the rough set model, the artificial neural network model and the hybrid artificial neural network model and the rough set model for determining the optimal buy and sell of a share on a Dhaka stock exchange. Confusion matrix is used to evaluate the performance of the observed and predicted classes for selected models. Our experimental result shows that the proposed hybrid model has higher accuracy than the single rough set model and the artificial neural network model. We believe this paper will be useful to stock investors to determine the optimal buy and sell time on Dhaka Stock Exchange.
An Empirical Analysis of Higher Moment Capital Asset Pricing Model for Bangladesh Stock Market  [cached]
Md. Zobaer Hasan,Anton Abdulbasah Kamil,Adli Mustafa,Md. Azizul Baten
Modern Applied Science , 2013, DOI: 10.5539/mas.v7n5p11
Abstract: Capital Asset Pricing Model (CAPM) describes a relationship which is linear between expected return and risk of an asset. Within the contents of this paper, the higher moments of return distributions for companies listed in the Dhaka Stock Exchange (DSE) market have been inspected for the period of January 2005 to December 2009. The mean-variance CAPM model is extended by taking higher moments-Skewness and Kurtosis. Monthly stock returns from 80 non-financial companies, covering ten sectors (Engineering, Food & Allied, Fuel & Power, Textile, Pharmaceuticals, Services & Real Estate, Cement, Tannery, Ceramic and Miscellaneous) are studied in this research. From the empirical analysis, it is observed that the intercept term is significantly different from zero and insignificant relationship between beta and excess returns both in mean-variance CAPM and higher moment CAPM conditions. This means that the market excess returns provide no explanation for the asset rate of return, whether or not third and fourth moments are considered in the regression model. But, when the higher moments are introduced, the adjusted R-square increases 0.037 to 0.257. It is noticed that the risk premium for co-skewness risk is positive for the period 2005-2009, indicating that the co-skewness risk is compensated in the DSE market for the studied period. Also, the co-kurtosis risk is rewarded by the market. Thus, in describing risk-return relationship in emerging markets like Bangladesh stock market, the higher moment CAPM performs comparatively well.
Stock Market Anomaly: Day of the Week Effect in Dhaka Stock Exchange  [cached]
Md. Lutfur Rahman
International Journal of Business and Management , 2009, DOI: 10.5539/ijbm.v4n5p193
Abstract: This paper examines the presence of day of the week effect anomaly in Dhaka Stock Exchange (DSE). Several hypotheses have been formulated; dummy variable regression and the GARCH (1, 1) model were used in the study. The result indicates that Sunday and Monday returns are negative and only positive returns on Thursdays are statistically significant. Result also reveals that the mean daily returns between two consecutive days differ significantly for the pairs Monday-Tuesday, Wednesday-Thursday and Thursday-Sunday. Result also shows that the average daily return of every working day of the week is not statistically equal. Dummy variable regression result shows that only Thursdays have positive and statistically significant coefficients. Results of GARCH (1, 1) model show statistically significant negative coefficients for Sunday and Monday and statistically significant positive coefficient for Thursday dummies.
Sector-Wise Stock Return Analysis: An Evidence from Dhaka Stock Exchange in Bangladesh  [cached]
Mostofa Mahmud Hasan
International Journal of Business and Management , 2011, DOI: 10.5539/ijbm.v6n6p276
Abstract: This paper aims at identifying sector-wise return characteristics of selected stocks of Dhaka Stock Exchange. Here, 48 months return data of 126 stocks listed in the DSE have been used. The stocks have been divided in 10 different sectors and found individual sector’s return and risk. Considering monthly return and risk analysis, stocks in the Garments Sector generated the highest return during this period. Stocks in the Banking and Insurance sectors also achieved higher return. Stocks of these two industries also have lower degree of risk compared to those of garments sector. Considering the risk – return trade off, I found Banking Sector is the best place to invest. Negative return in the food & allied and service sectors was found. Macro economic factors’ impact on those selected industry return, following multi factor stock return analysis proposed in the Arbitrage Pricing Theory have also been tested. Out of the 10 sectors, used in this paper, only return of the banking sector is significantly influenced by the macro economic condition.
Effect of Policy Reforms on Market Efficiency: Evidence from Dhaka Stock Exchange  [PDF]
Md. Mahmudul Alam,Shakila Yasmin,Mahmudur Rahman,Md. Gazi Salah Uddin
Economics Research International , 2011, DOI: 10.1155/2011/864940
Abstract: The paper tries to find evidence supporting the impact of continuous policy reforms on the market efficiency on the Dhaka Stock Exchange (DSE). Different policies formed/reformed from 1994 to 2005 were categorized in eleven groups depending on their time of issue and subject matter. To get the result, both nonparametric test (Kolmogrov-Smirnov normality test and run test) and parametric test (autocorrelation test, autoregression) have been performed. Analyses were done for each policy group, and it is found that formed/reformed policies for DSE during the study period failed to improve the market efficiency even in the weak form level.
Effect of Policy Reforms on Market Efficiency: Evidence from Dhaka Stock Exchange  [PDF]
Md. Mahmudul Alam,Shakila Yasmin,Mahmudur Rahman,Md. Gazi Salah Uddin
Economics Research International , 2011, DOI: 10.1155/2011/864940
Abstract: The paper tries to find evidence supporting the impact of continuous policy reforms on the market efficiency on the Dhaka Stock Exchange (DSE). Different policies formed/reformed from 1994 to 2005 were categorized in eleven groups depending on their time of issue and subject matter. To get the result, both nonparametric test (Kolmogrov-Smirnov normality test and run test) and parametric test (autocorrelation test, autoregression) have been performed. Analyses were done for each policy group, and it is found that formed/reformed policies for DSE during the study period failed to improve the market efficiency even in the weak form level. 1. Introduction The stock market is one of the most important sources for companies to raise money. This allows businesses to be publicly traded or raise additional capital for expansion by selling shares of ownership of the company in a public market. The liquidity that an exchange provides affords investors the ability to quickly and easily sell securities. This is an attractive feature of investing in stocks, compared to other less liquid investments. History has shown that the price of shares and other assets is an important part of the dynamics of economic activity and can influence or be an indicator of social mood. Rising share prices, for instance, tends to be associated with increased business investment and vice versa. Share prices also affect the wealth of households and their consumption. Therefore, a regulatory body (SEC) must keep an eye on the control and behavior of the stock market and, in general, on the smooth operation of security market functions. The smooth functioning of all these activities facilitates economic growth in ways that lower costs and enterprise risks and promote the production of goods and services as well as employment and thus contribute to increased prosperity. After liberation when Dhaka Stock Exchange resumed trading activities in 1976, only 9 companies were listed having a paid up capital of Taka 137.52 million on the stock exchange [1]. By the end of 2005 number of securities listed on DSE became 260 with market capital of Taka 228,574.85 million. As the market grew investment friendly rules and regulations were needed to be introduced. The Securities and Exchange Commission (SEC) was established on 8th June, 1993 under the Securities and Exchange Commission Act, 1993 to protect the interests of securities investors, to develop and maintain fair, transparent, and efficient securities markets, and to ensure proper issuance of securities and compliance with securities laws. This
Capital Market of Bangladesh: Volatility in the Dhaka Stock Exchange (DSE) and Role of Regulators  [cached]
Md. Tariqur Rahman,Khondker Golam Moazzem
International Journal of Business and Management , 2011, DOI: 10.5539/ijbm.v6n7p86
Abstract: Over the last few years, the capital market of Bangladesh has witnessed a haughty growth which is not in line of development in the real sector of the economy. Although, the Securities and Exchange Commission (SEC) of Bangladesh has tried to correct the irregular behavior observed in the market, very often it is argued that lack of proper and firm decisions from the regulator’s side has contributed to make the market more unstable rather than to reduce it. The paper attempts to identify the casual relationship between the observed volatility in the country’s major bourses namely the Dhaka Stock Exchange (DSE) and the regulatory decisions taken by the SEC empirically. Using Vector Auto-regressive (VAR), statistically highly significant relationship was found between decisions taken by the regulatory authority and market volatility, although the direction of causality is in reverse order than theoretically and empirically expected. Again, though the number of decisions taken by the SEC immediately, with longer time the response was in opposite direction than expected.
Page 1 /100
Display every page Item


Home
Copyright © 2008-2017 Open Access Library. All rights reserved.