http://rulrepository.ru.ac.bd/handle/123456789/173 2026-04-07T21:45:07Z 2026-04-07T21:45:07Z Rahman, Md. Habibur http://rulrepository.ru.ac.bd/handle/123456789/1164 2025-11-25T06:53:59Z 2024-01-01T00:00:00Z

Mixed approach to detect share price volatility: an empirical analysis of DSE and CSE Rahman, Md. Habibur This study aimed to determine which models would best predict volatility in Bangladesh's Dhaka Stock Exchange Ltd. (DSE) and Chittagong Stock Exchange Ltd. (CSE). Previously, scholars conducted substantial research on Bangladesh's stock markets. Nevertheless, following a thorough examination, the researcher has identified several areas to contribute to the existing body of literature. Typically, most research conducted in or outside of Bangladesh used the most fundamental combinations of order in the adopted models, specifically (1,1). Furthermore, the majority of previous studies did not take into account a wide range of error distributions. Despite conducting a thorough search, the researcher was unable to locate any studies that combined the two major stock exchanges in Bangladesh—the Dhaka Stock Exchange Ltd. (DSE) and the Chittagong Stock Exchange Ltd. (CSE)—into a single research endeavor to conduct a comprehensive study on volatility forecasting. Meanwhile, experts in stock market volatility persistently strive to improve their forecasts' accuracy by incorporating microeconomic, macroeconomic, and other external factors into their models. However, even after a careful search, no prior study that included so many of those exogenous variables in one study could be located. Furthermore, no previous studies in the research field of volatility estimation were found to have used a "Mixed method" approach that combined the stakeholders' perspectives with quantitative outputs. To address the existing gaps in the research, the researcher has constructed a set of research questions and established specific research objectives, as outlined in Chapter One. The researcher has reviewed a wide range of domestic and international literature, which chapter two includes. The second section of this chapter also consists of an initial examination of the chosen models. The researcher utilized four volatility models, specifically GARCH(p,q), EGARCH(p,q), TGARCH(p,q), and PARCH(p,q) models, to assess and compare their effectiveness in forecasting volatility. The comparison was conducted for DSE and CSE, using three error distributions: Normal, Student's t, and Generalized Error Distributions (GED). Subsequently, the researcher added sixteen microeconomic and macroeconomic variables and two intra-market variables as exogenous variables in the best-suited volatility forecasting models. The purpose was to determine if including these variables improves the accuracy of the predictions made by the selected models. In addition, the researcher incorporated the perspectives of other stakeholders, including officials from the DSE & CSE, officials from the Bangladesh This Thesis is Submitted to the Department of Finance, University of Rajshahi, Rajshahi, Bangladesh for The Degree of Doctor of Philosophy (PhD)

2024-01-01T00:00:00Z Islam, Rakibul http://rulrepository.ru.ac.bd/handle/123456789/813 2022-08-31T06:40:13Z 2018-01-01T00:00:00Z

Stock Price and Exchange Rate Dynamics in an Emerging Economy: Evidence from Bangladesh Islam, Rakibul This study examines stock price and exchange rate dynamics in Bangladesh by utilizing the daily data of stock price and exchange rate of BDT/USD from June 2003 to December 2016. The study period has been divided into two sample periods; one from June 02, 2003, to January 25, 2013, and the other from January 28, 2013, to December 30, 2016. The sample period one (June 02, 2003, to January 25, 2013) represents the period with more variance for both stock price and exchange rate because within this period different turbulent events have occurred (e.g., world economic meltdown, stock market crash etc.) while sample period two (January 28, 2013, to December 30, 2016) represents less variance for both stock price and exchange rate. In both periods it is observed that stock market has more variability than that in exchange market. This study divides the analysis into three parts; one is individual efficiency analysis in terms of random walk hypothesis through different parametric and non-parametric tests for both stock market and exchange market, the second one is joint efficiency investigation through cointegration and causal relationship (long and short-run relationship) between them and the final one is the volatility dynamics in within and between those two markets. The individual efficiency analyses confirm the no randomness for stock price and exchange rate in both sample periods. Therefore, stock market and foreign exchange (FX) market are individually inefficient in Bangladesh. Joint Efficiency investigation presents no long-run relation between stock market and FX market over the period of greater variance, but a unidirectional long-run relationship has been found running from stock market to FX market over the period of lower variance. On the other hand, bidirectional nonlinear causal relationship (stock price leading the relationship) is found in high variance period; but no linear or nonlinear short-run relationship exist in low variance period. Thus, the evidence of connectivity between stock market and FX market denies joint market efficiency in Bangladesh. Finally, the volatility dynamics within and between stock and FX market has been investigated for both periods. The volatility dynamics within both markets approves significant past news effect and asymmetric news effect and volatility clustering within each market. The volatility dynamics between financial markets indicates volatility spillover (cross-market relationship) between stock market and FX market. It confirms the return spillover from stock market to foreign exchange market where it is negative for high variance period and positive for low variance period. Thus, portfolio balance approach is observed, that is, past stock return has significant explanatory power over conditional mean of FX return. Volatility spillover investigations confirm negative bidirectional volatility spillover phenomena explaining Government intervention and behavior of foreign investors in the exchange market for both periods with less and more variance. The study also provides the evidence of effectiveness of cross market positive news in reducing the volatility in the financial market. These observations affirm the absence of weak form joint efficiency, that is, information of one market can be used to predict another market. In general, the thesis contributes to the existing literature by confirming how the level and direction of connection between stock market and FX market changes with the extent of volatility in the sample period in Bangladesh. It also presents how information contents of the stock market affect FX market in Bangladesh and vice versa. Overall, the study enriches the knowledge of functionality, volatility of and between stock and FX markets and also has implications for investors and regulators. This Thesis is Submitted to the Department of Finance, University of Rajshahi, Rajshahi, Bangladesh for The Degree of Master of Philosophy (MPhil)

2018-01-01T00:00:00Z Islam, Md. Shariful http://rulrepository.ru.ac.bd/handle/123456789/811 2022-08-31T06:40:05Z 2016-01-01T00:00:00Z

Predecessor Related Factors Affecting Successful Succession in Family-Owned Firms in Bangladesh Islam, Md. Shariful Family-owned firms play significantly important role in the new global economy. In every small and medium sized family-owned firm succession is a common event though now it is considered as the most critical issue as experienced by researchers. Therefore, a proper succession process is important in the sense that it affords the family-owned firms to select the most appropriate leaders to carry on the business successfully. The role of the predecessor is of greater importance during this succession process. Succession planning is the first and one of the most important steps of succession process. The focus of the researchers on the succession is derived from the fact that resistance of the predecessor could be responsible for the lack of succession planning in the family-owned firms. Thus, this study analyzes the predecessor related factors that affect succession planning and in turn succession process in family-owned firms in Bangladesh. Family-owned firms located in the northern region of Bangladesh have been studied to achieve the objective of the research. The study explores the trait, behavior and career related factors of the predecessor as well as external factors that come from within the family or the family-owned firm to influence the behavior of the predecessor. The research has used qualitative method to study the trait, behavior, and career related factors of the predecessor that affect succession plan. The study also uses quantitative method in the form of survey to explore the external factors that may have strong influence on the predecessors that affect their succession planning related behavior. The study has approached 229 second or subsequent generation family-owned firms located in eight districts of Rajshahi Division with direct interviewing method using the interview questionnaire. SPSS-20 package has been used for data entry and analysis. Descriptive statistics such as frequency distribution, cross tabulation, mean, standard deviation, percentage, etc.; graphical presentations; and factor analysis have been used to analyze the data with an aim to answer the research questions. Case study method has been used for qualitative research of the study. The present study applies multiple case studies where six cases have been selected, four from Rajshahi district and remaining two from Naogaon district. The outcomes of the six cases have been compared to test whether the findings from one case replicate in the other cases or not. Based on the findings a model has been developed to show the predecessor related factors that affect succession planning behavior of the predecessors. A set of trait, behavior and career related factors that have been identified from case studies have been presented in the model. The model also shows important external factors identified from survey that consciously or subconsciously affect the predecessors in succession planning behavior of the same. Findings of the study have been compared with findings of the previous studies. Though most of the findings of the present study agree with previous studies, a few findings of the study do not comply with them. Finally, the study recommends further in-depth study on similar issues on family-owned firms in Bangladesh. This Thesis is Submitted to the Department of Finance, University of Rajshahi, Rajshahi, Bangladesh for The Degree of Doctor of Philosophy (PhD)

2016-01-01T00:00:00Z Islam, Md. Ashikul http://rulrepository.ru.ac.bd/handle/123456789/785 2022-08-22T03:37:31Z 2013-01-01T00:00:00Z

The Performance Evaluation of ICB Mutual Funds: An Empirical Study Islam, Md. Ashikul In the context of development of capital market in Bangladesh, Mutual Funds of Investment Corporation of Bangladesh (ICB) play an important role. Very few researchers in Bangladesh work under mutual funds so far. Therefore, the present study tries to evaluate the performance of mutual funds in Bangladesh with a special reference of ICB. For this purpose, required data are collected from secondary sources. Mutual fund has a vital role to play in the economic growth and development of a developing country like Bangladesh through the development of capital markets. It is not so easy task to evaluate the performance of ICB Mutual Funds. However, attempts are taken to analyze the performance of ICB Mutual Funds. This work also examines and analyzes various aspects of mutual funds including concept of mutual funds, objectives and functions of mutual funds and so on with a view to observe what extent its basic operations are successful. It also finds out deviations, their causes and suggests the remedies. However, the specific objectives of the study are: (a) to analyze the growth and development of ICB Mutual Funds; (b) to evaluate ICB Mutual Funds' risk-adjusted returns with respect to market return; ( c) to analyze the selectivity, diversification and market timing ability of fund managers and ( d) to test the impact of some major determinants on mutual fund growth. The study is primarily based on secondary data and information in relation to the ICB Mutual Funds. The secondary sources of data are different annual reports of ICB Mutual Funds, different monthly, quarterly and annual reports of DSE, different relateddissertations, research articles, scientific papers, journals, such other articles and research reports on ICB Mutual Funds. Some basic techniques are used for data analysis such as mean, standard deviation, beta coefficient, coefficient of correlation and so on. For the analysis of results of specific objectives, different types of conceptual design are used. Sharpe Ratio, Treynor Ratio, Modigliani Measure, Sortino Ratio and Information Ratio are applied for evaluating the Risk-adjusted Performance of ICB Mutual Funds. Jensen Measure and Treynor and Mauzy Quadratic Equation are used for analyzing selectivity, market timing ability and diversification capacity of ICB Mutual Fund managers. For testing the impact of some major determinants on mutual fund growth, cross-section regression model and panel regression model are used. Different tests are applied in this study to find the stationarity among different variables in the cross-sectional/panel regression analysis. Levin, Lin and Chu test, and Im, Pesaran and Shin test, and ADF-Fisher test are used to test unit root among the variables. Kao cointegration test is used to observe the long-run relationship among different variables and Granger-causality test is applied to find the short-run relationship among the variables in a regression line. To interpret the findings of this study, Akaike information criterion, Schwarz criterion, Hannan-Quinn criterion and Durbin-Watson statistic are used. The findings explore that net assets value, earnmgs per share, dividend per share, price/earnings ratio and return on equity of ICB Mutual Funds are performing better year after year compared to the market performance in Bangladesh. The results again explore that the risk-adjusted performance ICB Mutual Funds are superior to market index. However, the selectivity and diversification capacity of fund managers are not good and the fund managers have lacking of market timing ability. The findings also explore that the asset turnover ratio and risk-adjusted return have significant positive impact and expense ratio has significant negative impact on the growth ofICB Mutual Funds. This Thesis is Submitted to the Department of Finance, University of Rajshahi, Rajshahi, Bangladesh for degree of Master of Philosophy (MPhil)

2013-01-01T00:00:00Z