Volatility of Dhaka 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 ...

Effect of Dividend Policy Measures on Stock Price volatility in Tehran Stock Exchange

This paper aims to determine the impact of dividend policy on stock price volatility by taking firms listed on Tehran stock exchange.  A sample of 68 listed companies from Tehran stock exchange is examined for a period from 2001 to 2012.  The estimation is based on cross-sectional ordinary least square regression analysis to find the relationship between share price volatility and dividend poli...

Macroeconomic Determinants of the Behavior of Dhaka Stock Exchange (DSE)

Many past studies documented a strong evidence of a linkage between stock prices and macroeconomic activities across different stock markets and time horizons. However, most of these studies have focused on developed economies and highlighted the impact of either domestic variables or a few global factors. In recent times, the impact of global macroeconomic factors upon stock returns has garner...

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

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...