Stock Market Volatility: Comparison Between Dhaka Stock Exchange and Chittagong Stock Exchange

Exchange rate volatility and its effect on stock market volatility

This paper investigates empirically the effect of volatility of the exchange rate of the U.S. dollar vis-à-vis the euro on U.S. stock market volatility while controlling for a number of drivers of stock return volatility. Using a GARCH(1, 1) model and using weekly data covering the period from the week of January 1, 1999 through the week of January 25, 2010, it is found that the 9/11 terrorist ...

Stock Market Anomaly: Day of the Week Effect in Dhaka Stock Exchange

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 return...

Competition, Liquidity and Volatility - A Comparative Study of Bombay Stock Exchange and National Stock Exchange

Impact of Terrorism, Political System and Exchange Rate Fluctuations on Stock Market Volatility

Terrorism, political system instability and currency rate fluctuations are the three most evident issues of 21st century. In this study, comparative analysis is performed to check the impact of all these issues on PSX Volatility. EGARCH (1,1) approach is used on four different kinds of data collected from 1st January 2000 to 31st December 2015. Terrorist events, FX return fluctuations with rest...

exchange rate volatility and its effect on stock market volatility

this paper investigates empirically the effect of volatility of the exchange rate of the u.s. dollar vis-à-vis the euro on u.s. stock market volatility while controlling for a number of drivers of stock return volatility. using a garch(1, 1) model and using weekly data covering the period from the week of january 1, 1999 through the week of january 25, 2010, it is found that the 9/11 terrorist ...