http://rulrepository.ru.ac.bd/handle/123456789/181 2026-04-07T21:44:57Z http://rulrepository.ru.ac.bd/handle/123456789/1164 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 http://rulrepository.ru.ac.bd/handle/123456789/811 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 http://rulrepository.ru.ac.bd/handle/123456789/677 Market Efficiency and Volatility in Stock Market of Bangladesh Karim, Md. Masud This thesis attempts firstly to seek evidence of the weak form efficiency of Dhaka Stock Exchange (DSE) by hypothesizing random walk assumption. In this case, both parametric tests (unit root test, variance ratio test, autocorrelation test and ARIMA model) and non-parametric test (run test) have been employed. Secondly, this study examines the volatility pattern of daily return, volatility-return relationship and contemporaneous trading volume-volatility relationship. Volatility models like GARCH (1,1), GARCH (1,1)-M, EGARCH (1,1) and GJR-GARCH (1,1) have been used to capture volatility dynamics in return series. In addition, the causal relationship between contemporaneous trading volume and volatility has been studied under VAR modeling framework. Now a day, forecasting stock price and return volatility have been considered as prime issues in finance. Theoretical basis of weak form efficient market hypothesis is that the successive stock price/return is independently and identically distributed and past prices/returns have no predictive content to forecast future trend. On the other hand, volatility clustering, leptokurtosis and asymmetric impact of news (leverage effect) are very peculiar characteristics of stock return. To examine and capture such types of phenomenon, this study uses daily closing value of two main indices (DGEN and DS20) of DSE for the period of 2001 to 2012. The both return series of DSE show positive skewness, excess kurtosis and deviation from normality. Results of unit root tests, run test, autocorrelation test and variance ratio test provide evidence that the return series do not follow random walk model. In addition, the coefficients of ARIMA are significant at various lags of autoregressive and moving average terms and using best fitted ARIMA (3,0,1) model for DGEN return series and ARIMA (2,0,2) model for DS20 return series, future return can be predicted lucratively. On the other hand, ARCH-LM test shows significance presence of heteroscedasticity in return series and GARCH family models capture the phenomenon effectively. Results of volatility models exhibit the presence of volatility clustering (i.e., large change follow a large change and small change follow a small change) in return series. In DSE, impacts of shocks to volatility are highly persistent and old news is as much important as new news. Findings of GARCH-M model indicate the relationship between volatility (time-varying risk) and return is positive and significant. GJR-GARCH model ensures the existence of leverage effect i.e., the bad news have more impact on volatility than the good news of equal magnitude. Here, we also measure the impact of trading volume on volatility using best fitted GJR-GARCH model and found that there is significant and positive relationship between trading volume and volatility. The asymmetric impact of news on volatility becomes higher when contemporaneous trading volume is added as an additional explanatory variable in volatility model but it reduces volatility persistence. VAR and Granger causality test indicate that trading volume influences volatility at earlier and later both lags but volatility influence volume after 6 lags. Overall, the findings indicate that the Dhaka Stock Exchange is not efficient in weak form and highly volatile which is one of the main barriers to investing in this market. Findings obtained in this study have significant implications to the investors, security analysts, policy makers and regulatory authorities and these findings can be used as important guiding rules to enhance the investors’ confidence and efficiency level in stock market of Bangladesh. This thesis is Submitted to the Department of Finance, University of Rajshahi, Rajshahi, Bangladesh for The Degree of Doctor of Philosophy (PhD) 2013-01-01T00:00:00Z