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Volatility of Dhaka Stock Exchange

Author

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  • Md. Noman Siddikee
  • Noor Nahar Begum

Abstract

We apply GARCH (p, q) and ARCH(m) model to the daily return of DSE general index (DGEN) ranging from 1st January, 2002 to 30th July 2013 for examining market volatility. Besides, we calculate year wise standard deviation of daily return of DGEN for the same period. The result of GARCH (1, 1) process and standard deviation of the daily return confirms an abnormal volatility episode from 2009 to 2012. The highest per day volatility was observed in the first half of 2011 in both investigations. The volatility rate found in GARCH (1, 1) process is 2.44% in 2011 followed by 2.00% and 1.99% in 2009 and 2012 respectively. The highest standard deviation of return is 2.99% in 2011 followed by 2.08% in 2012 authenticate the highest volatile periods of the study. We apply ARCH (m) model in 2004 and 2013 for volatility estimate due to inapplicability of GARCH (p, q) process in those market return. The results of ARCH (m) model confirm reliable estimates of market volatility, 1.10% and 1.46% respectively. This is a part of our total research work where our main focus is to detect the factors affecting market volatility and its spillover effects in emerging markets.

Suggested Citation

  • Md. Noman Siddikee & Noor Nahar Begum, 2016. "Volatility of Dhaka Stock Exchange," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(5), pages 220-229, May.
    • Handle: RePEc:ibn:ijefaa:v:8:y:2016:i:5:p:220-229
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    References listed on IDEAS

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    1. Ogden, Joseph P, 1994. "A Dividend Payment Effect in Stock Returns," The Financial Review, Eastern Finance Association, vol. 29(3), pages 345-369, August.
    2. Officer, R R, 1973. "The Variability of the Market Factor of the New York Stock Exchange," The Journal of Business, University of Chicago Press, vol. 46(3), pages 434-453, July.
    3. Syed Basher & M. Kabir Hassan & Anisul Islam, 2007. "Time-varying volatility and equity returns in Bangladesh stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1393-1407.
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    Cited by:

    1. Shekar Bose & Hafizur Rahman, 2022. "Are News Effects Necessarily Asymmetric? Evidence from Bangladesh Stock Market," SAGE Open, , vol. 12(4), pages 21582440221, October.
    2. Roni Bhowmik & Wu Chao & Jewel Roy Kumar & Wang Shouyang, 2017. "A Study on the Volatility of the Bangladesh Stock Market — Based on GARCH Type Models," Journal of Systems Science and Information, De Gruyter, vol. 5(3), pages 193-215, June.
    3. Md. Qamruzzaman & Ananda Bardhan & Summatun Nasya, 2020. "Nexus between Remittance, Nonperforming Loan, Money Supply, and Financial Volatility: An Application of ARDL," International Journal of Applied Economics, Finance and Accounting, Online Academic Press, vol. 8(1), pages 11-29.

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    More about this item

    Keywords

    volatility; DSE; long term variance;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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