http://rulrepository.ru.ac.bd/handle/123456789/180 2026-04-07T21:45:08Z 2026-04-07T21:45:08Z 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. 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 Hassan, A.F .M. Kamrul http://rulrepository.ru.ac.bd/handle/123456789/211 2022-04-24T15:20:28Z 2005-01-01T00:00:00Z

Impact of Financial Sector Reform on Financial Intermediation in Bangladesh -An Empirical Assessment Hassan, A.F .M. Kamrul Financial sector of n country plays crucial role in the process of economic development by efficiently mobilizing fi11nncial resources among the most productive uses. This role of financial sector came in tile forefront of development economics with the publication of two similar works by McKinon (1973) and Shaw (1973). Since then, numerous empirical works supported tire positive role of financial development in the process of economic development. Realizing this importance of financial sector, almost all developing countries in the world started reforming their financial sector since 1990 to make it more competitive and efficient. Like other developing countries Bangladesh also started reforming its financial sector since early 1980s by privatizing two nationalized commercial banks. Formal financial Sector Reform (FSR) was started by launching the Financial Sector Reform Project (FSRP) in 1990. This study makes an evaluation of FSR with respect to its impact on volume and effectiveness of financial development or intermediation. An econometric model is estimated for this purpose. Three measures of volume of financial in termination used in the model as dependent variables are broad monopoly (M2), private credit and bank deposit liabilities - all as percentage of Gross Domestic Product (GDP). Independent variables in the model are inflation, nominal exchange rate, interest rate differential, trade openness [= (Import + export)/GDP] and a dummy variable which takes 'O' value for 1974-1989 and '1' for 1990-2002. Granger causality test shows that financial intermediation causes economic growth, for this reason economic growth is not included in the regression model as an independent variable. Before estimating the model time series property of the data series are examined and it is found that all variables are co-integrated, that is, long run equilibrium relationship exists among the variables. Two variables - exchange rate and trade openness - are found to be highly correlated. To avoid the problem of multicollinearity these two variables are included in regression model separately. Estimation results show that financial intermediation deteriorated during the post reform period, i.e., during 1990-2002. Statistical test is conducted to examine whether effectiveness of financial intermediation, measured by the ratio of reserve money to total deposit and ratio of reserve money to quasi money, has been improved in the post-reform period and it is found that effectiveness of financial intermediation has not been improved during post reform period compared with pre-reform period. This deterioration of financial intermediation may be attributed to the stringent supervision on the banking sector in one hand lack of effective legal support to recover bad debts on the other hand. Banks did a lot have suitable credit avenues that could be recovered without putting lending banks in trouble. In order to make the intermediary functions of banks more effective and efficient, the study makes some recommendations which include (i) providing Bangladesh Bank with greater amount of autonomy so that it can conduct monetary operation independently; (ii) making legal procedure regarding loan recovery more easier and flexible; (iii) proper training of credit officials; (iv) seeking help from political organizations to prohibit unethical activities of Collecting Bargaining Agents (CBA); (v) ensuring law and order situation, corporate governance and accountability on the part of bank managements and (vi)encouraging the development of more Non-bank Financial institutions (NBF!s) to make the intermediary function of the financial sector, which is mostly comprised of commercial banks, more competitive, hence efficient and effective. This thesis is submitted to the Department of Finance, University of Rajshahi, Rajshahi Bangladesh for the Degree of Master of Philosophy (MPhil)

2005-01-01T00:00:00Z