Bangladesh is relying heavily on public debt to meet the budget deficit since its independence. I... more Bangladesh is relying heavily on public debt to meet the budget deficit since its independence. In this paper, the objective is to find out whether the government of Bangladesh is excessively borrowing from the public sources and thus negatively affecting the economy of the country. For this purpose two models - Public Debt Model and Growth Model, have been used in this study. The Debt Model has been used to identify the nature and extent relationship of total public debt with the variables - total consumption, manufacturing sector growth, tax revenue, subsidy, net export and total government stock. In the Debt Model impact of domestic debt and external debt on the GDP growth rate of Bangladesh has been captured. The study period is 1980-81 to 2011-12. Augmented Dickey-Fuller test has been used to diagnose whether the time series data are non-stationary. Then on the basis of the result of Johansen co-integration test, Error Correction Model (ECM) and Vector Error Correction Model (V...
This paper examines time-varying behavior of momentum and contrarian profits to identify the exis... more This paper examines time-varying behavior of momentum and contrarian profits to identify the existence of adaptive market hypothesis (AMH), and whether AMH can provide justification for the presence of such anomalous behavior in the Dhaka Stock Exchange (DSE) of Bangladesh. To investigate the time-varying pattern of momentum/contrarian anomaly, the study uses stock prices of all listed companies on the DSE and values of DSE general index from January 1995 to December 2018. To construct the relative strength portfolios for momentum strategies, the current study employs Jegadeesh and Titman's (1995) method with minor modifications. The study findings suggest the existence of medium-term momentum profits and the long-term reversal effect that vary over time. Moreover, the empirical evidence of the study shows that the changed market conditions that are considered as the main reasons under AMH for time-varying behavior of market efficiency and by extension the stock market anomalies influence the momentum profits. The findings suggest that although market risk cannot always explain the existence of momentum profits in the DSE, the bullish stock market condition positively impacts this anomalous profit pattern. In addition, the momentum profits are not statistically significant during stock market crashes and bubbles, but the normal market condition positively influences the momentum profits. The most interesting finding of this study is that the investors from emerging stock markets may not adapt towards changed market conditions like the investors from the developed markets as reported in the AMH literature.
This study investigates the endogeneity among foreign direct investment, economic growth, and sto... more This study investigates the endogeneity among foreign direct investment, economic growth, and stock market development, along with the moderating role of political instability on the relationship among foreign direct investment, economic growth, and stock market development. The study employs selected macroeconomic variables data for the period of 1993-2016 with Auto Regressive Distributed Lag (ARDL) system and hierarchical regression approach for hypothesis testing. This study discovers that there are short-run and long-run association among economic growth, foreign direct investment, and stock market development. In the long run, only unidirectional relationship exists among economic growth, foreign direct investment, and stock market development. However, in the short-run, bidirectional relationship is evident between economic growth and stock market development. This study reveals that foreign direct investment partially mediates the relationship between economic growth and stock market development; and political instability negatively moderates the economic growth and stock market development nexus, the foreign ABOUT THE AUTHORS
Extensive research has evaluated mutual fund performance in different financial markets that led ... more Extensive research has evaluated mutual fund performance in different financial markets that led to mixed results; however, very limited studies have been conducted to evaluate mutual funds of Bangladesh. This paper focused on measuring riskadjusted performance of 13 closed end mutual funds based on monthly Net Asset Value. For this purpose methods suggested by Jensen, Treynor and Sharpe have been used. Performance of the selected funds found superior compared to benchmark market index (DSE 20). Furthermore, diversification, market timing and selectivity skill of fund managers are tested. This paper found little amount of diversification, no statistically significant timing skill but moderate level of selectivity in mutual fund market of Bangladesh.
This paper examines the behavior of seasonal anomalies in Dhaka Stock Exchange (DSE) of Banglades... more This paper examines the behavior of seasonal anomalies in Dhaka Stock Exchange (DSE) of Bangladesh and whether the time varying nature of the anomalies is in line with Adaptive Market Hypothesis (AMH). With this aim the research investigated whether the changes in market conditions, for example: up and down market states, stock market bubbles and crashes, initiation of automated trading system and circuit breaker system can affect the behavior of calendar anomalies and therefore, can provide justification for the seasonal patterns in DSE. To achieve the stated objectives, this study utilizes daily general index values of DSE from 1993 to 2018, with GARCH (1,1) model, Markov switching model, subsample analysis and rolling window analysis. The findings support the existence of AMH at DSE in the form of time-varying nature of seasonal anomalies. However, not all seasonal anomalies examined in the study were found to grow weaker over time. The most important finding of this study is tha...
Bangladesh is relying heavily on public debt to meet the budget deficit since its independence. I... more Bangladesh is relying heavily on public debt to meet the budget deficit since its independence. In this paper, the objective is to find out whether the government of Bangladesh is excessively borrowing from the public sources and thus negatively affecting the economy of the country. For this purpose two models-Public Debt Model and Growth Model, have been used in this study. The Debt Model has been used to identify the nature and extent relationship of total public debt with the variables-total consumption, manufacturing sector growth, tax revenue, subsidy, net export and total government stock. In the Debt Model impact of domestic debt and external debt on the GDP growth rate of Bangladesh has been captured. The study period is 1980-81 to 2011-12. Augmented Dickey-Fuller test has been used to diagnose whether the time series data are non-stationary. Then on the basis of the result of Johansen co-integration test, Error Correction Model (ECM) and Vector Error Correction Model (VECM) have been used to find out the long term association between each set of variables. The study shows that a significant positive relationship exists between total public debt & investment and between total public debt & government's reserves. On the other hand a negative relationship exists with manufacturing sector and government subsidy. However no strong statistical evidence has been found regarding the negative impact of external debt on the GDP growth. But with domestic debt it has been found negative relationship with little statistical significance.
Bangladesh is relying heavily on public debt to meet the budget deficit since its independence. I... more Bangladesh is relying heavily on public debt to meet the budget deficit since its independence. In this paper, the objective is to find out whether the government of Bangladesh is excessively borrowing from the public sources and thus negatively affecting the economy of the country. For this purpose two models - Public Debt Model and Growth Model, have been used in this study. The Debt Model has been used to identify the nature and extent relationship of total public debt with the variables - total consumption, manufacturing sector growth, tax revenue, subsidy, net export and total government stock. In the Debt Model impact of domestic debt and external debt on the GDP growth rate of Bangladesh has been captured. The study period is 1980-81 to 2011-12. Augmented Dickey-Fuller test has been used to diagnose whether the time series data are non-stationary. Then on the basis of the result of Johansen co-integration test, Error Correction Model (ECM) and Vector Error Correction Model (V...
This paper examines time-varying behavior of momentum and contrarian profits to identify the exis... more This paper examines time-varying behavior of momentum and contrarian profits to identify the existence of adaptive market hypothesis (AMH), and whether AMH can provide justification for the presence of such anomalous behavior in the Dhaka Stock Exchange (DSE) of Bangladesh. To investigate the time-varying pattern of momentum/contrarian anomaly, the study uses stock prices of all listed companies on the DSE and values of DSE general index from January 1995 to December 2018. To construct the relative strength portfolios for momentum strategies, the current study employs Jegadeesh and Titman's (1995) method with minor modifications. The study findings suggest the existence of medium-term momentum profits and the long-term reversal effect that vary over time. Moreover, the empirical evidence of the study shows that the changed market conditions that are considered as the main reasons under AMH for time-varying behavior of market efficiency and by extension the stock market anomalies influence the momentum profits. The findings suggest that although market risk cannot always explain the existence of momentum profits in the DSE, the bullish stock market condition positively impacts this anomalous profit pattern. In addition, the momentum profits are not statistically significant during stock market crashes and bubbles, but the normal market condition positively influences the momentum profits. The most interesting finding of this study is that the investors from emerging stock markets may not adapt towards changed market conditions like the investors from the developed markets as reported in the AMH literature.
This study investigates the endogeneity among foreign direct investment, economic growth, and sto... more This study investigates the endogeneity among foreign direct investment, economic growth, and stock market development, along with the moderating role of political instability on the relationship among foreign direct investment, economic growth, and stock market development. The study employs selected macroeconomic variables data for the period of 1993-2016 with Auto Regressive Distributed Lag (ARDL) system and hierarchical regression approach for hypothesis testing. This study discovers that there are short-run and long-run association among economic growth, foreign direct investment, and stock market development. In the long run, only unidirectional relationship exists among economic growth, foreign direct investment, and stock market development. However, in the short-run, bidirectional relationship is evident between economic growth and stock market development. This study reveals that foreign direct investment partially mediates the relationship between economic growth and stock market development; and political instability negatively moderates the economic growth and stock market development nexus, the foreign ABOUT THE AUTHORS
Extensive research has evaluated mutual fund performance in different financial markets that led ... more Extensive research has evaluated mutual fund performance in different financial markets that led to mixed results; however, very limited studies have been conducted to evaluate mutual funds of Bangladesh. This paper focused on measuring riskadjusted performance of 13 closed end mutual funds based on monthly Net Asset Value. For this purpose methods suggested by Jensen, Treynor and Sharpe have been used. Performance of the selected funds found superior compared to benchmark market index (DSE 20). Furthermore, diversification, market timing and selectivity skill of fund managers are tested. This paper found little amount of diversification, no statistically significant timing skill but moderate level of selectivity in mutual fund market of Bangladesh.
This paper examines the behavior of seasonal anomalies in Dhaka Stock Exchange (DSE) of Banglades... more This paper examines the behavior of seasonal anomalies in Dhaka Stock Exchange (DSE) of Bangladesh and whether the time varying nature of the anomalies is in line with Adaptive Market Hypothesis (AMH). With this aim the research investigated whether the changes in market conditions, for example: up and down market states, stock market bubbles and crashes, initiation of automated trading system and circuit breaker system can affect the behavior of calendar anomalies and therefore, can provide justification for the seasonal patterns in DSE. To achieve the stated objectives, this study utilizes daily general index values of DSE from 1993 to 2018, with GARCH (1,1) model, Markov switching model, subsample analysis and rolling window analysis. The findings support the existence of AMH at DSE in the form of time-varying nature of seasonal anomalies. However, not all seasonal anomalies examined in the study were found to grow weaker over time. The most important finding of this study is tha...
Bangladesh is relying heavily on public debt to meet the budget deficit since its independence. I... more Bangladesh is relying heavily on public debt to meet the budget deficit since its independence. In this paper, the objective is to find out whether the government of Bangladesh is excessively borrowing from the public sources and thus negatively affecting the economy of the country. For this purpose two models-Public Debt Model and Growth Model, have been used in this study. The Debt Model has been used to identify the nature and extent relationship of total public debt with the variables-total consumption, manufacturing sector growth, tax revenue, subsidy, net export and total government stock. In the Debt Model impact of domestic debt and external debt on the GDP growth rate of Bangladesh has been captured. The study period is 1980-81 to 2011-12. Augmented Dickey-Fuller test has been used to diagnose whether the time series data are non-stationary. Then on the basis of the result of Johansen co-integration test, Error Correction Model (ECM) and Vector Error Correction Model (VECM) have been used to find out the long term association between each set of variables. The study shows that a significant positive relationship exists between total public debt & investment and between total public debt & government's reserves. On the other hand a negative relationship exists with manufacturing sector and government subsidy. However no strong statistical evidence has been found regarding the negative impact of external debt on the GDP growth. But with domestic debt it has been found negative relationship with little statistical significance.
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