Sarod Khandaker

Zero-return measure

The paper uses the proportion of zero-return day’s model to analyse stock market synchronous behaviors for eleven sample county. It is found that the zero-return measure of stock synchronicity is higher in some emerging economies than the developed economies though the result is not statistically significant. In addition, panel data analysis indicates somewhat positive and negative correlation between the zero-return measures with the explanatory variables. The findings raise questions about the reliability of the proportion of zero-return day’s measure and it’s capability to capture stock market synchronous behavior.

Volatility and co-movement: an analysis of stock markets behavior of selected emerging and developed countries

Financial markets around the world suffer significantly during the GFC and European debt crisis. Although the GFC is over, but the after-effect is still visible in most of the developed and emerging countries and stock markets remained volatile. In this paper, we analyse historical stock market volatility and co-movement behavior of three emerging markets and three developed economies from January 2001 to December 2012. We investigate whether the stock market volatilities and co-movement behaviors are correlated and affected by the GFC during the observation period. Our analysis of stock market behavior and co-movement analysis includes the standard historical volatility model and R-square estimates. We use the standard historical volatility model followed by Jones et al. (1998), Andersen and Bollerslev (1997) and Andersen and Bollerslev (1998); and the R-square metrics were suggested by Morck et al. (2000), Khandaker and Heaney (2009) and Alves et al. (2010). The selection criteria for the developed economies include geographical location, availability of stock return data and size of the equity market; and emerging markets are taken from the emerging Asian markets based on their recent market performance, growth rate and market capitalisation. We find evidence that the sample of emerging markets, exhibits higher stock market volatility during the sample period and these volatilities increases during the GFC. There is also evidence that the sample emerging countries exhibit a higher level of stock market co-movement behavior, and these markets were highly synchronous during the GFC. For example, China exhibits higher stock return co-movement behavior and, this behavior increase during the GFC. Further, we do not find any evidence of a statistically significant correlation coefficient between the volatility measures and stock return co-movement measures for our sample developed countries. However, these measures are statistically significant for the emerging country group. The example includes China and Malaysia. Our result provides evidence that stock market co-movement behavior or the R-squared matrix captures somewhat different aspects of stock market behavior other than the stock market volatility for the developed economies. Therefore, it is concluded that both these market models capture somewhat different aspects of stock market behavior and should be carefully used.

The Determinant of Foreign Direct Investments, Evidence from Bangladesh

This paper analyses the determinants and the relationship between foreign direct investment (FDI) and economic growth of Bangladesh. The study uses panel data analysis over the period from 2004 to 2013 to test the hypotheses. The study employs an OLS method for the analysis, and to determine the macroeconomic variables that influence FDI inflow in Bangladesh for the sample period. We find evidence that inbound FDI is positively correlated with the gross capital formation, imports of goods and political stability. This finding suggests that FDI inflow is directly related to the political stability of Bangladesh and, gross capital formation and imports increases during the stable political situation. Further, we also find evidence that corruption rate, good governance and unemployment rate are negatively correlated with the inbound FDI. This finding provides evidence that higher corruption rate and the unemployment rate are bad for the macroeconomic development and provide a negative signal to foreign investors. Our research is aligned with the previous research finding. Our research findings have implications for the government of Bangladesh to stabilize the political situation and standardize the inflation rate so that the FDI inflows enhance and influence the economic growth.

Does the choice of stock market synchronicity measure matter? Evidence from developed and emerging countries

This paper analyses stock synchronicity measures proposed by Morck et al (2000), the classical measure and the R square measure. The Study finds evidence that stock markets of emerging economies are more synchronous than the developed economies using both the synchronicity measures. It is found that China, Malaysia and Turkey exhibit the highest stock synchronicity during the observation period. Further, cross-sectional analysis illustrates that inflation is generally positively correlated with stock synchronicity and government accountability and trade openness is generally negatively correlated with stock price co-movement, which is consistent with Morck et al (2000). Finally Pearson correlation coefficients and Spearman rank correlation coefficient show that the classical measure and the R square measure are positively correlated. The study concludes that the classical measure and the R square measure capture similar aspects of stock market synchronous behaviour.

An Empirical Analysis on the Dhaka Stock Exchange (DSE) Financial Crisis

This paper examined the Dhaka Stock Exchange (DSE) financial crisis in 1997 and also analyzed stock price co-movement behavior of the DSE from 1996 to 2004.The study found evidence that the DSE stocks were more volatile in the South-Asian region during the sample period, and its financial crisis was influenced by several macroeconomic factors such as high corruption rate, poor information disclosure policy, and abolishment of the lock in system. The study also captured stock price co-movement behaviors of the South-Asian stock markets and compared findings with the DSE. There is no evidence of a statistically significant correlation of coefficient between these stock markets during the sample period suggesting that the DSE financial crisis was not influenced by the regional factors.