International Journal of Economics and Finance, 2013
Stock Markets of Bangladesh crashed in FY 2010-2011 after a boom. High daily turnover beforecrash... more Stock Markets of Bangladesh crashed in FY 2010-2011 after a boom. High daily turnover beforecrash brought out hundreds of billions BDT from the capital market, but neither money supply outside the banks nor money deposit in the banks changed accordingly. Overall post-crash scenario created a suspicion that the money which was withdrawn from the capital market flew out of the country. The study attempts to test the hypothesis of capital flight using daily data from August 01, 2010 to July 31, 2011 of three variables: DSE general index (DSEGI), weighted average exchange rate (EXR), and Foreign exchange reserves (FXRES). Augmented Dickey-Fuller (ADF) and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) unit root tests show that variables are in different order of integration, and Johansen cointegration test shows that variables are non-cointegrated. Two variable, DSEGI and EXR, granger causality test fails to reject the hypothesis of no causality, but Toda-Yamamoto (TY) version of Granger non-causality test with a control for Foreign Reserves (FXRES) found unidirectional causality directed from DSE general index to exchange rate, foreign reserves to exchange rate, and foreign reserves to DSE general index. These causal relationships indicate that capital flight occurred and central bank might have camouflaged the issue of capital flight by foreign reserves management to keep exchange rate relatively stable.
Mutual funds dwell in a small market in Bangladesh. Around 25 mutual funds listed in the Dhaka St... more Mutual funds dwell in a small market in Bangladesh. Around 25 mutual funds listed in the Dhaka Stock Exchange (DSE) trade at an average of 2.7 times of their net asset value (NAV). This paper focused on evaluating the performance of more than 15 growth oriented mutual funds of DSE on the basis of monthly returns compared to benchmark returns. Risk adjusted performance measures suggested by Jenson, Treynor, Sharpe and statistical models are employed. It is found that, most of the mutual funds have performed better according to Jenson and Treynor measures but not up to the benchmark on the basis of Sharpe ratio. However, very few mutual funds are well diversified and have reduced its unique risk. The growth oriented funds have not performed better in terms of total risk and the funds are not offering advantages of diversification and professionalism to the investors. So, mutual funds cannot perform always better with their expertise and cannot beat the market.
International Journal of Economics and Finance, 2013
Stock Markets of Bangladesh crashed in FY 2010-2011 after a boom. High daily turnover beforecrash... more Stock Markets of Bangladesh crashed in FY 2010-2011 after a boom. High daily turnover beforecrash brought out hundreds of billions BDT from the capital market, but neither money supply outside the banks nor money deposit in the banks changed accordingly. Overall post-crash scenario created a suspicion that the money which was withdrawn from the capital market flew out of the country. The study attempts to test the hypothesis of capital flight using daily data from August 01, 2010 to July 31, 2011 of three variables: DSE general index (DSEGI), weighted average exchange rate (EXR), and Foreign exchange reserves (FXRES). Augmented Dickey-Fuller (ADF) and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) unit root tests show that variables are in different order of integration, and Johansen cointegration test shows that variables are non-cointegrated. Two variable, DSEGI and EXR, granger causality test fails to reject the hypothesis of no causality, but Toda-Yamamoto (TY) version of Granger non-causality test with a control for Foreign Reserves (FXRES) found unidirectional causality directed from DSE general index to exchange rate, foreign reserves to exchange rate, and foreign reserves to DSE general index. These causal relationships indicate that capital flight occurred and central bank might have camouflaged the issue of capital flight by foreign reserves management to keep exchange rate relatively stable.
Mutual funds dwell in a small market in Bangladesh. Around 25 mutual funds listed in the Dhaka St... more Mutual funds dwell in a small market in Bangladesh. Around 25 mutual funds listed in the Dhaka Stock Exchange (DSE) trade at an average of 2.7 times of their net asset value (NAV). This paper focused on evaluating the performance of more than 15 growth oriented mutual funds of DSE on the basis of monthly returns compared to benchmark returns. Risk adjusted performance measures suggested by Jenson, Treynor, Sharpe and statistical models are employed. It is found that, most of the mutual funds have performed better according to Jenson and Treynor measures but not up to the benchmark on the basis of Sharpe ratio. However, very few mutual funds are well diversified and have reduced its unique risk. The growth oriented funds have not performed better in terms of total risk and the funds are not offering advantages of diversification and professionalism to the investors. So, mutual funds cannot perform always better with their expertise and cannot beat the market.
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Papers by Munibur Rahman