Abstract
Abstract. This study investigates the weak form efficiency of Efficient Market Hypothesis (EMH) employing Autocorrelation test, Runs test and Unit Root tests, and the nature of volatility characteristics of stock returns applying GARCH family models in Bangladesh stock market using daily all share price index return data of Dhaka Stock Exchange (DSE) from 02 January 1993 to 27 January 2013. This studyalso examines the semi-strong form of the EMH of DSE based on macroeconomic variable version of the Arbitrage Pricing Theory (APT) applying Cointegration tests, Vector Error Correction Model (VECM) and Granger causality tests, and the volatility of the DSE returns in response to the volatility of the macroeconomic variables employing GARCH family models using monthly data from January 2001 to December 2012.In addition, the short run and long run relationships between macroeconomic variables and aggregate stock prices in Bangladesh have also been determined. Employing both nonparametric tests (Runs test and Phillips-Perron test) and parametric tests (Autocorrelation test and Augmented Dickey-fuller test), this study finds that the DSE of Bangladesh is not weak form efficient. Taking the outcome of VAR models into account, it is found that all selected macroeconomic variables do significantly explain the stock prices of the Bangladesh stock market. As a consequence, it may be concluded that the Bangladesh stock market is not efficient in the semi-strong form of EMH. Results of the estimated MA(1)-GARCH(1,1) and MA(1)-EGARCH(1,1) models reveal that stock market returns of Bangladesh exhibit leptokurtosis, volatility clustering and leverage effect. Results of six GARCH-S models indicate that thevolatility of DSE return is significantly influenced by the volatility of macroeconomic variables, such as, exchange rate, broad money supplyandstock returns of India.
Keywords. Efficient market hypothesis, Stock prices, Vector error correction model, GARCH family models, Volatility.
JEL. C58, E44, F36, G10, G14.
References
Abbas, Q, Khan, S & Shah, SZA2013, ‘Volatility transmission in regional Asian stock markets’, Emerging Markets Review, vol. 16, pp. 66–77, doi:10.1016/j.ememar.2013.04.004
Adaramola, AO 2011, ‘The impact of macroeconomic indicators on stock prices in Nigeria’, Developing Country Studies, vol. 1, no. 2, pp. 1-14.
Adu, G, Marbuah, G, Mensah, JT & Frimpong, PB 2013, Macroeconomic development and stock market performance: a non-parametric approach, EERI Research Paper Series No 01/2013.
Afzal, N & Hossain, SS 2010, ‘An empirical analysis of the relationship between macroeconomic variables and stock prices in Bangladesh’, Bangladesh Development Studies, vol. xxxiv, no. 4, pp. 95-105.
Agung, IGN (2009), Time series data analysis using eviews, John Wiley & Sons (Asia) Pte Ltd, Singapore.
Ahmed, AD, & Mmolainyane, KK, 2014, ‘Financial integration, capital market development and economic performance: empirical evidence from Botswana’, Economic Modelling, vol. 42, pp. 1–14, doi:10.1016/j.econmod.2014.05.040
Ahmed, HU &Samad, QA 2008, ‘Performance level of Dhaka stock market: a quantitative analysis’,Daffodil International University Journal of Business and Economics, vol.3, no. 1, pp. 1-21.
Ahmed, MN & Imam, MO 2007, ‘Macroeconomic factors and Bangladesh stock market: impact analysis through co integration approach’, International Review of Business Research Papers, vol. 3, no. 5, pp. 21-35.
Ahmed, S, & Zlate, A2014, ‘Capital flows to emerging market economies: a brave new world?’,Journal of International Money and Finance, vol. 48, pp. 221–248, doi:10.1016/j.jimonfin.2014.05.015
Alexander, C 2001, Market models: a guide to financial data analysis, John Wiley & Sons Ltd, New York.
Alharbi, AMH 2009, Nonlinearity and market efficiency in GCC stock markets, doctoral thesis, University of Kansas, USA.
Ali, I, Rehman, KU, Yilmaz, AK, Khan, MA & Afzal, H 2010, ‘Causal relationship between macro-economicindicators and stock exchange prices in Pakistan’,African Journal of Business Management, vol. 4, no. 3, pp. 312-319.
Ali, MB 2011a, ‘Stock prices and microeconomic variables: T-Y granger causal evidence from Dhaka stock exchange (DSE)’, Research Journal of Finance andAccounting, vol. 2, no. 6, pp.1-12.
Ali, MB 2011b, ‘Impact of micro and macroeconomic variables on emerging stock market return: a case on Dhaka stock exchange (DSE)’, InterdisciplinaryJournal of Research in Business, vol. 1, no. 5, pp. 08-16.
Ali, MB 2011c, ‘T-Y Granger causality between stock prices and macroeconomic variables: evidence from Dhaka stock exchange (DSE)’, European Journal of Business and Management, vol.3, no.8, pp. 37-52.
Ali, SS &Khalid, M 2001, ‘Testing semi-strong form efficiency of stock market’, The Pakistan Development Review, vol. 40, no. 4, pp. 651–674.
Alshogeathri, MAM 2011, Macroeconomic determinants of the stock market movements: empirical evidence from the Saudi stock market, doctoral thesis, Kansas State University, Kansas.
Andreou, E, Matsi, M & Savvides, A2013, ‘ Stock and foreign exchange marketlinkages in emerging economies’,Journal of International Financial Markets, Institutions and Money, vol. 27, pp. 248–268, doi:10.1016/j.intfin.2013.09.003
Apergis, N, Artikis, G &Eleftheriou, S 2011, ‘The role of macroeconomic factors for excess returns:evidence from a group of emerging economies’, Journal of Accounting, Finance and Economics, vol. 1, no. 2, pp. 1 -12.
Asteriou, D & Price, S 2007, Applied econometrics: a modern approach, New York: Palgrave Macmillan Inc.
Athanassiou, E, Kollias, C & Syriopoulos, T2006, ‘Dynamic volatility and external security related shocks: the case of the Athens stock exchange’, Journal of International Financial Markets, Institutions and Money, vol. 16, no. 5, pp. 411–424, doi:10.1016/j.intfin.2005.04.001
Aurangzeb, D 2012, ‘Factors affecting performance of stock market: evidence from south Asian countries’, International Journal of Academic Research in Business and Social Sciences, vol. 2, no. 9, pp. 1-15.
Azzam, I2010, ‘Stock exchange demutualization and performance’,Global Finance Journal, vol. 21, no. 2, pp. 211–222, doi:10.1016/j.gfj.2010.06.007
Balkiz, O 2003, ‘Testing informational market efficiency on Kualalumpur stock exchange’,Jurnal Ekonomi Malaysia, vol.37, pp. 3 -20.
Banerjee, A, Dolado, JJ, Galbraith, JW & Hendry, DF 1993, Co-integration, error correction, and the econometric analysis of non-stationary data, Oxford University Press, New York.
Bangladesh Bank 2001 to 2014, Monthly Economic Trends.
Bangladesh Securities and Exchange Commission 1998-99 to 2012-13, SEC Annual Report 1998-99 to 2012-13.
Bangladesh Securities and Exchange Commission2014, Retrived from http://www.sec.gov.bd/
Barbić, T & Čondić-Jurkić, I 2011, ‘Relationship between macroeconomic fundamentals and stock marketindicesin selected CEE countries’, Ekonomski Pregled, vol. 62, no. 3-4, pp. 113-133.
Basher, SA& Sadorsky, P 2006, ‘Oil price risk and emerging stock markets’,Global Finance Journal, vol. 17, no. 2, pp. 224–251, doi:10.1016/j.gfj.2006.04.001
Basu, D & Chawla, D2012, ‘An empirical test of the arbitrage pricing theory-the case of Indian stock market’,Global Business Review, vol. 13, no. 3, pp. 421–432, doi:10.1177/097215091201300305
Bekaert G, Harvey CR & Lundblad CT 2003, ‘Equity market liberalisation in emerging markets’, The Journal of Financial Research, vol. 26, pp. 275-299.
Binswanger, M2004, ‘How do stock prices respond to fundamental shocks?’,Finance Research Letters, vol. 1, no. 2, pp. 90–99, doi:10.1016/j.frl.2004.03.005
Bley, J 2011, ‘Are GCC stock markets predictable?’,Emerging Markets Review, vol. 12, no. 3, pp. 217–237, doi:10.1016/j.ememar.2011.03.002
Bohl, MT & Brzeszczyński, J 2006, ‘Do institutional investors destabilize stock prices?evidence from an emerging market’,Journal of International Financial Markets, Institutions and Money, vol.16, no. 4, pp. 370–383, doi:10.1016/j.intfin.2005.05.005
Bollerslev, T 1986, ‘Generalized Autoregressive Conditional Heteroskedasticity’,Journal of Econometrics, vol.31, pp. 307-327.
Bollerslev, T& Hodrick, R 1992, Financial market efficiency tests, National Bureau of Economic Research (NBER) Working Paper No. 4108.
Borges, MR 2008, Efficient Market Hypothesis in European Stock Markets, WP 20/2008/DE/CIEF, School of Economics and Management, Technical University of Lisbon.
Bose, TK, Uddin, R&Islam,W 2014, ‘Measuring and comparing the efficiency of Dhaka stock exchange and Chittagong stock exchange’ International Journal of Scientific and Research Publications, vol.4, no.3, pp. 1-14.
Boubakari, A & Jin, D 2010, ‘The role of stock market development in economic growth: evidence from some Euronext countries’, International Journal of Financial Research, vol. 1, no. 1, pp. 14-20.
Broadstock, DC& Filis, G2014, ‘Oil price shocks and stock market returns: New evidence from the United States and China’,Journal of International Financial Markets, Institutions and Money, vol. 33, pp. 417–433, doi:10.1016/j.intfin.2014.09.007
Brooks, C & Burke, SP 1998,‘Forecasting exchange rate volatility using conditional variance models selected by information criteria’,Economics Letters, vol. 61, no. 3, pp. 273-278.
Bumann, S, Hermes, N, & Lensink, R2013, ‘Financial liberalization and economic growth: a meta-analysis’,Journal of International Money and Finance, vol. 33, pp. 255–281, doi:10.1016/j.jimonfin.2012.11.013
Chaity, NS & Sharmin, S 2012, ‘Efficiency measures of capital market: a case of Dhaka stock exchange, International Journal of Business and Management, vol. 7, no. 1, pp. 102-108, doi:10.5539/ijbm.v7n1p102
Campbell, JY, Lo, AW& MaCkinlay, AC 1997, The econometrics of financial markets, Princeton University Press, New Jersey.
Campbell, JY &Shiller, RJ1987, ‘Cointegration and tests of present value models’, Journal of Political Economy, vol. 95, no.5, pp.1062-1088.
Cavallo, L &Mammola, P 2000, ‘Empirical tests of efficiency of the Italian indexoptions market’, Journal of Empirical Finance, vol.7, pp. 173–193.
Chang, EJ, Lima, EJA & Tabak, BM 2004, ‘Testing for predictability in emerging equity markets’,Emerging Markets Review, vol. 5, no. 3, pp. 295–316, doi:10.1016/j.ememar.2004.03.005
Charles, A & Darné, O 2014, ‘Large shocks in the volatility of the Dow Jones industrial average index: 1928–2013’, Journal of Banking & Finance, vol. 43, pp. 188–199, doi:10.1016/j.jbankfin.2014.03.022
Chau, F, Deesomsak, R, & Wang, J 2014, ‘Political uncertainty and stock market volatility in the middle East and north African (MENA) countries’,Journal of International Financial Markets, Institutions and Money, vol. 28, pp. 1–19, doi:10.1016/j.intfin.2013.10.008
Chaudhury, MM & Miyan, MA 1990, ‘Development of capital markets in Bangladesh’, Journal of Business Administration, vol. 16, no. 1-2, pp. 71-90.
Chen, M-P, Chen, P-F, & Lee, C-C 2014, ‘Frontier stock market integration and the global financial crisis’,The North American Journal of Economics and Finance, vol. 29, pp. 84–103, doi:10.1016/j.najef.2014.05.004
Chen, NF, Roll, R & Ross, SA 1986, 'Economic forces and the stock market', Journal of Business, vol. 59, no. 3, pp. 383-403.
Chiang, TC & Doong, S 1999, ‘Empirical analysis of real and financial volatilities on stock excess returns : evidence from Taiwan industrial data’, vol. 2, pp. 187–200.
Ciner, C2013, ‘Oil and stock returns: frequency domain evidence’,Journal of International Financial Markets, Institutions and Money, vol. 23, pp. 1–11, doi:10.1016/j.intfin.2012.09.002
Chittagong Stock Exchange 2014, Retrieved fromhttp://www.cse.com.bd/
Chowdhury, AR 1994, ‘Statistical properties of daily returns from the Dhaka stock exchange’, The Bangladesh Development Studies, vol. xxii, pp. 61-76.
Claessen, H & Mittnik, S 2012, Forecasting stock market volatility and the informational efficiency of the DAX-index options market, Center for Financial Studies working paper no. 4, an der Johann Wolfgang Goethe-Universität, Taunusanlage 6, D-60329, Frankfurt.
Cooray, AV & Wickramasighe, G 2007, ‘The efficiency of emerging stock markets: empirical evidence from the South Asian region’, Journal of Developing Areas, vol. 41, no. 1, pp. 171-183.
Crescenzi, A 2009, Investing from the top down: a macro approach to capital markets, McGraw-Hill, New Delhi.
Dekker, A, Sen, K & Young, MR 2001, ‘Equity market linkages in the Asia Pacific region-a comparison of the orthogonalised and generalised VAR approaches’,Global Finance Journal, vol. 12, pp. 1–33.
DePenya, FJ & Gil-Alana, LA 2007, ‘Serial correlation in the Spanish stock market’, Global Finance Journal, vol. 18, no. 1, pp. 84–103, doi:10.1016/j.gfj.2007.01.001
Dey, MK 2005, ‘Turnover and return in global stock markets’,Emerging Markets Review, vol. 6, no. 1, pp. 45–67, doi:10.1016/j.ememar.2004.09.003
Dhaka Stock Exchange 2012-13, Dhaka Stock Exchange Annual Report 2012-13.
Dhaka Stock Exchange 2014, Retrieved fromhttp://dsebd.org/
Dicle, MF & Levendis, J 2011, ‘Greek market efficiency and its international integration’,Journal of International Financial Markets, Institutions and Money, vol. 21, no. 2, pp. 229–246, doi:10.1016/j.intfin.2010.10.005
Dima, B, Dincă, MS & Spulbăr, C2014, ‘Financial nexus: efficiency and soundness in banking and capital markets’Journal of International Money and Finance, vol. 47, pp. 100–124, doi:10.1016/j.jimonfin.2014.05.002
Eita, JH 2012, ‘Modelling macroeconomic determinants of stock market prices: evidence from Namibia’, The Journal of Applied Business Research, vol. 28, no. 5, pp. 871-874.
El-Nader, HM & Alraimony, AD 2013, ‘The macroeconomic determinants of stock market development in Jordan’, International Journal of Economics and Finance, vol. 5, no. 6, pp. 91-103, doi:10.5539/ijef.v5n6p91
Elbarghouthi, S, Yassin, M &Qasim, A 2012, ‘Is Amman stock exchange an efficient market?’, International Business Research, vol. 5, no. 1, pp. 140-156, doi:10.5539/ibr.v5n1p140
Elshareif, EE, Tan, H &Wong, M 2012, ‘Unexpected volatility shifts and efficiency of emerging stock market: the case of Malaysia’, Business Management Dynamics, vol.1, no.10, pp.58-66.
Enders, W 2004, Applied econometric time series. Second edition, John Wiley & Sons Inc, New York.
Engle, R F 1982, ‘Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation’, Econometrica, vol. 50, pp. 987-1007.
Engle, RF 1993, ‘Statistical models for financial volatility’,Financial Analysts Journal, vol. 49, pp. 72-78.
Engle, RF & Granger, CWJ 1987, 'Co-integration and error correction: representation, estimation, and testing', Econometrica, vol. 55, no. 2, pp. 251-76.
Erdugan, R 2012, The effect of economic factors on the performance of the Australian stock market, doctoral thesis, Victoria University, Melbourne.
Fama, EF 1965, ‘The behavior of stockmarket prices’, Journal of Business, vol. 38, no. 34-105.
Fama, EF 1970, 'Efficient capital markets: a review of theory and empirical work', Journal of Finance, vol. 25, no. 2, pp. 383-415.
Fama, EF 1981, 'Stock returns, real activity, inflation, and money', American Economic Review, vol. 71, no. 4, pp. 545-565.
Fama, EF 1990, 'Stock returns, expected returns, and real activity', Journal of Finance, vol. 45, no. 4, pp. 1089-1108.
Febrian, E& Herwany, A 2007, ‘Co-integration and causality amongJakarta stock exchange, Singapore stockexchange, and Kuala lumpur stockexchange’, MPRA Paper,no. 9637, pp.1-17.
Farsio F & Fazel S 2013, ‘The stock market/unemployment relationship in USA, China and Japan’, International Journal of Economics and Finance,vol. 5, no. 3, pp. 24-29, doi:10.5539/ijef.v5n3p24.
Fernández-Izquierdo, Á & Lafuente, JA 2004, ‘International transmission of stock exchange volatility: empirical evidence from the Asian crisis’,Global Finance Journal, vol. 15, no. 2, pp. 125–137, doi:10.1016/j.gfj.2004.02.002
Florackis, C, Kontonikas, A & Kostakis, A 2014, ‘Stock market liquidity and macro-liquidity shocks: evidence from the 2007–2009 financial crisis’Journal of International Money and Finance, vol. 44, pp. 97–117, doi:10.1016/j.jimonfin.2014.02.002
Forgha, NG 2012, ‘An investigation into the volatility and stock returns efficiency in African stock exchange markets’, International Review of Business Research Papers, vol. 8, no.5, pp. 176–190.
Garcia, VF &Liu, L 1999, ‘Macroeconomic determinants of stockmarketdevelopment’, Journal of Applied Economics, vol. 2, No. 1, pp.29-59.
Gimba, VK 2012, ‘Testing the weak-form efficiency market hypothesis:evidence from Nigerian stock market’,CBN Journal of Applied Statistics, vol. 3, no.1, pp. 117- 136.
Govati, C 2009, Examining the effects of macroeconomic variables on the Malawi stock exchange, masters thesis, University of Malawi.
Graham, M, Kiviaho, J & Nikkinen, J 2012, ‘Integration of 22 emerging stock markets: a three-dimensional analysis’,Global Finance Journal, vol. 23, no. 1, pp. 34–47, doi:10.1016/j.gfj.2012.01.003
Granger, CWJ 1969, ‘Investigating causal relations by econometric models and cross spectral methods’, Econometrica, vol. 37, pp. 428-438.
Granger, CWJ 1988, ‘Some recent developments in a concept of causality’, Journal of Econometrics, vol. 39, pp. 199-211.
Granger, CWJ, &Newbold, P 1974, ‘Spurious regressions in econometrics’,Journal of Econometrics,vol. 2, pp. 111-120.
Greener, DS 2008, Business research methods, e-book, Available from:http://bookboon.com/en/introduction-to-research-methods-ebook (Accessed 12 Januray 2013).
Groenewold, N& Kang, K 1993, ‘The semi-strong efficiency of the Australian share market’, Economic Record, vol. 69, no.207. pp. 405-410.
Gujarati,DN2004, Basiceconometrics, 4th edn, The McGraw-Hill Companies, New Delhi.
Gunasekarage, A & Power, DM 2001, ‘The profitability of moving average trading rules in South Asian stock markets’,Emerging Markets Review, vol. 2, no. 1,pp. 17–33, doi:10.1016/S1566-0141(00)00017-0
Gunasekarage, A, Pisedtasalasai, A &Power, DM 2004, ‘Macroeconomic influence on the stock market: evidence from an emerging market in south Asia’,Journal of Emerging Market Finance, vol. 3, no. 3, pp. 285–304, doi:10.1177/097265270400300304
Gupta, R & Basu, PK 2007, ‘Weak form efficiency in Indian stock markets’, International Business & Economics Research Journal, vol. 6, no. 3, pp. 57-64.
Hameed, A & Ashraf, H 2006, ‘Stock market volatility and weak-form efficiency: evidence from an emerging market’, The Pakistan Development Review, vol. 45: 4, no. 2, pp. 1029-1040.
Haque,MH & Fatima, N 2011, ‘Influences of stock market on real economy: a case study of Bangladesh’, The Global Journal of Finance and Economics, vol.8, no.1, pp.49-60.
Hasan, MZ, Kamil, AA & Baten, MA 2011, ‘Evaluation of stock market technical efficiency with a comparison of groups of companies in Dhaka stock exchange’,International Journal of the Physical Sciences, vol. 6, no. 24, pp. 5857-5865, DOI: 10.5897/IJPS11.513
Hasan, MZ, Kamil, AA, Mustafa, A & Baten, MA 2012, ‘Estimating stock market technical efficiency for truncated normal distribution: evidence from Dhaka stock exchange, Trends in Applied Sciences Research, vol. 7, no. 7, pp. 532-540.
Hassan, MK, Islam, MA&Basher, SA 2002, Market efficiency, time-varying volatility and equity returns in Bangladesh stock market, Working Papers 2002–2006, Departmentof Economics, York University, viewed 02 August 2013, http://dept.econ.yorku.ca/research/workingPapers/working papers/DSE.pdf
Herve, DBG, Chanmalai, B & Shen, Y 2011, ‘The study of causal relationship between stock market indices and macroeconomic variables in Cote D’ivoire: evidence from error-correction models and granger causality test’, International Journal of Business and Management, vol. 6, no. 12, pp. 146-169, doi:10.5539/ijbm.v6n12p146
Hou, AJ2013, ‘Asymmetry effects of shocks in Chinese stock markets volatility: A generalized additive nonparametric approach’,Journal of International Financial Markets, Institutions and Money, vol. 23, pp. 12–32, doi:10.1016/j.intfin.2012.08.003
Hsing, Y 2013, ‘The stock market and macroeconomic factors in japan and policy implications’, International SAMANM Journal of Accounting and Finance, vol. 1, no. 1, pp. 32-43.
Hsing, Y, Budden, MC &Phillips, AS 2012, ‘Macroeconomic determinants ofthe stock market index for a major Latin American country and policy implications’, Business and Economic Research, vol. 2, no. 1, pp. 1-10, doi:10.5296/ber.v2i1.1152
Hussey, J&Hussey, R 2003, Business research: a practical guide for undergraduate and postgraduate students, 2nded., New York: Palgrave.
Islam, MN 2011, ‘Problems and prospects of stock market in Bangladesh’, Economic Research, vol. 12, p. 67.
Islam, MS & Jahan, S 2012, ‘Analysis of financial products of capital market in Bangladesh: present status and future development’, International Journal of Marketing Studies, vol. 4, no. 5, pp. 119-128, doi:10.5539/ijms.v4n5p119
Isenmila, PA & Erah, DO 2012, ‘Share prices and macroeconomic factors: a test of the arbitrage pricing theory (apt) in the Nigerian stock market’, European Journal of Business and Management, vol 4, no.15, pp. 66-76.
Jain, DK, ‘Impact of selected macro-economic indicators on SENSEX’, International Journal of Advanced Research in Management and Social Sciences, vol. 2, no. 10, pp. 169-180, ISSN: 2278-6236.
Johansen, S 1988, 'Statistical analysis of cointegrating vectors', Journal of Economic Dynamics and Control, vol. 12 pp. 231-54.
Johansen, S & Juselius, K 1990, 'Maximum likelihood estimation and inference on cointegration with applications to the demand for money', Oxford Bulletin of Economics and Statistics, vol. 52, no. 2, pp. 169-210.
Katechos, G 2011, ‘On the relationship between exchange rates and equity returns: a new approach’Journal of International Financial Markets, Institutions and Money, vol. 21, no. 4, pp. 550–559, doi:10.1016/j.intfin.2011.03.001
Kazi, MH 2008, ‘Systematic risk factors for Australian stock market returns: a cointegration analysis, Australasian Accounting Business and Finance Journal, vol. 2, no. 4, pp. 89-100.
Kenani, JM, Maoni, F, Kaunda, S & Nyirenda, D 2012, ‘Short-run and long-run dynamics of stock prices andexchange rates in developing economies: evidence from Malawi’, European Journal of Business and Management, vol.4, no.18, pp. 174-184.
Kettell, B 2002, Economics for financial markets, Butterworth-Heinemann, New delhi.
Khan, AQ & Ikram, S 2010, ‘Testing semi-strong form of efficient market hypothesis in relation to the impact of foreign institutional investors’ (FII’s) investments on Indian capital market, International Journal of Trade, Economics and Finance, vol. 1, no. 4, pp. 373-379.
Khan, AQ & Ikram, S 2011, ‘Testing strong form market efficiency of Indian capital market: performance appraisal of mutual funds, International Journal of Business & Information Technology, vol. 1, no. 1, pp. 151-161.
Khan, M 2013, An analysis of market efficiency in the South Asian emerging stock markets: Bangladesh, India, Pakistan and Sri Lanka, doctoral thesis, University of Dundee, Scotland.
Khan, MM & Yousuf, AS 2013, ‘Macroeconomic forces and stock prices: evidence from the Bangladesh stock market’,MPRA Paper No. 46528, viewed 11 June 2013, http://mpra.ub.uni-muenchen.de/id/eprint/46528
Khandoker, MSH, Siddik, MNA &Azam, M 2011, ‘Tests of weak-form market efficiency of Dhaka stock exchange: evidence from bank sector of Bangladesh’, Interdisciplinary Journal of Research in Business, vol. 1, no. 9, pp.47- 60.
Kibria, A 2015, ‘PwC projects BD to be 23rd largest economy in 2050’, The Financial Express, 16 February.
Kim, B & Kenny, LW2007, ‘Explaining when developing countries liberalize their financial equity markets’, Journal of International Financial Markets, Institutions and Money, vol. 17, no. 4, pp. 387–402, doi:10.1016/j.intfin.2006.02.003
Kisaka, SE &Mwasaru, A 2012, ‘The causal relationship between exchange rates and stock prices in Kenya’,Research Journal of Finance and Accounting, vol. 3, no. 7, pp. 121-130.
Kozhan, R 2010, Financial econometrics, e-book, Available from:http://bookboon.com/en/financial-econometrics-eviews-ebook (Accessed 30 March 2013).
Kumar, R & Dhankar, RS 2010, ‘Empirical analysis of conditional heteroskedasticity in time series of stock returns and asymmetric effect on volatility’,Global Business Review, vol. 11, no. 1, pp. 21–33, doi:10.1177/097215090901100102
Kirchgassner, G&Wolters, J 2007,Introduction to modern time series analysis, Springer, Berlin.
Kuwornu, JKM &Owusu-Nantwi, V 2011, ‘Macroeconomic variables and stock market returns: full information maximum likelihood estimation’, Research Journal of Finance and Accounting, vol. 2, no. 4, pp. 49-63.
Kwon, CS, & Shin, TS 1999, ‘Cointegration and causality between macroeconomic variables and stock market returns’,Global Finance Journal, vol. 10, no.1, pp. 71–81, doi:10.1016/S1044-0283(99)00006-X
Lagoarde-Segot, T & Lucey, BM2008, ‘Efficiency in emerging markets - evidence from the MENA region’, Journal of International Financial Markets, Institutions and Money, vol. 18, no. 1, pp. 94–105, doi:10.1016/j.intfin.2006.06.003
Laopodis, NT2004, ‘Financial market liberalization and stock market efficiency: evidence from the Athens stock exchange’,Global Finance Journal, vol. 15, no. 2, pp. 103–123, doi:10.1016/j.gfj.2004.06.001
Laopodis, NT 2011, ‘Equity prices and macroeconomic fundamentals: international evidence’,Journal of International Financial Markets, Institutions and Money, vol. 21, no. 2, pp. 247–276, doi:10.1016/j.intfin.2010.10.006
Lata, RS 2014, Non-performing loan and its impact on profitability of state owned commercial banks in Bangladesh: an empirical study, Proceedings of 11thAsian Business Research Conference, 26-27 December, 2014, BIAM Foundation, Dhaka, Bangladesh.
Lee, TH 1994, ‘Spread and volatility in spot and forward exchange rates’, Journal of International Money and Finance, vol. 13, pp. 375-383.
Lee, Y-H 2013, ‘Global and regional range-based volatility spillover effects’,Emerging Markets Review, vol. 14, pp. 1–10, doi:10.1016/j.ememar.2012.09.007
Leigh, L 1997, Stock market equilibrium and macroeconomic fundamentals,International Monetary Fund Working Paper no. WP/97/15, January 1997.
Levine, R 1991, ‘Stock markets, growth, and tax policy’, Journal of Finance, vol. 46, pp. 1445-1465.
Levine, R & Zervos, S 1996, ‘Stock market development and long-run growth’, The World Bank Economic Review, vol.10, no.2, pp. 323-339.
Levy, T & Yagil, J 2013, ‘Changing the methodology of equityindices—The case of the Tel-Aviv stock exchange’, Journal of International Financial Markets, Institutions and Money, vol. 26, pp. 91– 99, http://dx.doi.org/10.1016/j.intfin.2013.04.001
Li, Y, Hamill, PA& Opong, K K2010, ‘Do benchmark African equity indices exhibit the stylized facts?’, Global Finance Journal, vol. 21, no. 1, pp. 71–97, doi:10.1016/j.gfj.2010.03.006
Lind, DA, Marchal, WG & Wathen, SA 2008, Statistical techniques in business and economics, Tata McGraw-Hill Publishing Company Limited, New Delhi.
Lizardo, RA& Mollick, AV 2009, ‘Do foreign purchases of U.S. stocks help the U.S. stock market?’Journal of International Financial Markets, Institutions and Money, vol. 19, no. 5, pp. 969–986, doi:10.1016/j.intfin.2009.08.002
Malliaris, AG and Urrutia, JL 1991, ‘An empirical investigation among real, monetary and financial variables’, Economics Letters, vol. 37, no. 2, pp. 151-158.
Masuduzzaman, M 2012, ‘Impact of the macroeconomic variables on the stock marketreturns: the case of Germany and the United Kingdom, Global Journal of Management and Business Research, vol. 12, no. 16, pp. 23-34.
Mecagni, M & Sourial,MS 1999, The Egyptian stock market: efficiency tests and volatility effects, International Monetary Fund Working Paper no. 99/48, April 1999.
Mehrara, M 2006, ‘The relationship between stock market and macroeconomic variables:a case study for Iran’, Iranian Economic Review, vol.10. no.17, 2006, pp. 137-148.
Mensi, W, Hammoudeh, S, Reboredo, JC, & Nguyen, DK 2014, ‘Do global factors impact BRICS stock markets? a quantile regression approach’,Emerging Markets Review, vol. 19, pp. 1–17, doi:10.1016/j.ememar.2014.04.002
Ministry of Finance, People’s Republic of Bangladesh 2013, Bangladesh Economic Review 2013.
Ministry of Planning, People’s Republic of Bangladesh 2011, Sixth Five Year Plan FY2011-FY2015: Accelerating growth and reducing poverty, viewed 10 November 2014, http://www.plancomm.gov.bd/sixth-five-year-plan/
Mishra, PK 2012, ‘Efficiency of south Asian capital markets: an empiricalanalysis’, Pak. J. Commer. Soc. Sci., vol.6, no. 1, pp.27-34.
Moazzem, KG & Rahman, TM 2011, Stabilising the capital market of Bangladesh: addressing the structural, institutional and operational issues, CPD dialogue on State of the Capital Market and Recent Policy Initiatives, 12 December, BRAC Centre Inn Auditorium, Dhaka.
Mobarek, A &Keasey, K 2000, Weak-form market efficiency of an emerging Market: evidence fromDhaka stock market of Bangladesh, paper presented at the ENBS Conference, May, Oslo, viewed 3 February 2014, http://e-m-h.org/MoKe00.pdf
Mohanty, SK, Nandha, M, Turkistani, AQ & Alaitani, MY 2011, ‘Oil price movements and stock market returns: evidence from Gulf Cooperation Council (GCC) countries’,Global Finance Journal, vol. 22, no. 1, pp. 42–55, doi:10.1016/j.gfj.2011.05.004
Mohiuddin, M, Alam, MD& Shahid, AI2008, An empirical study of the relationship between macroeconomic variables and stock price: a study on Dhaka stock exchange (DSE), AIUB Bus EconWorking Paper Series, No 2008-21, viewed 02 August 2013, http://orp.aiub.edu/WorkingPaper/WorkingPaper.aspx?year=2008
Morelli, D 2010, ‘European capital market integration: An empirical study based on a European asset pricing model’,Journal of International Financial Markets, Institutions and Money, vol. 20, no. 4, pp. 363–375, doi:10.1016/j.intfin.2010.03.007
Mougoué, M & Whyte, AM1996, ‘Stock returns and volatility: an empirical investigation of the German and French equity markets’,Global Finance Journal, vol. 7, no. 2, pp. 253–263, doi:10.1016/S1044-0283(96)90008-3
Moustafa, MA, 2004, ‘Testing the weak-form efficiency of the United Arab Emirates stock market’,International Journal of Business, vol.9, no. 3, pp. 309-325.
Mukherjee, TK & Naka A 1995, ‘Dynamic relation between macroeconomic variables and the Japanese stock market: an application of a vector error correction model’, Journal of Financial Research, vol. 18, pp. 223-237.
Muktadir-al-mukit, D2013, ‘An econometric analysis of the impact of monetary policy on stock market performance in Bangladesh’,World Review of Business Research,vol. 3, np. 3, pp. 16–29.
Naik, PK 2013, ‘Does stock market respond to economic fundamentals? timeseries analysis from Indian data’, Journal of Applied Economics and Business Research, vol. 3, no. 1, pp. 34-50.
Naik, PK &Padhi, P 2012, ‘The impact of macroeconomic fundamentals on stock prices revisited: evidence fromIndian data’, Eurasian Journal of Business and Economics,vol. 5, no. 10, pp.25-44.
Najand, M, & Noronha, G 1998,‘Causal relations among stock returns, inflation, real activity, and interest rates: evidence from Japan’,Global Finance Journal, vol. 9, no. 1, pp. 71–80, doi: 10.1016/S1044-0283(98)90015-1
Naka, A, Mukherjee, T&Tufte, D 1988,Macroeconomic variables and the performance of the Indian stock market, Department of Economics and Finance Working Papers, 1991-2006, Paper no.15.
Narayan, PK, Narayan, S, & Thuraisamy, KS2014, ‘Can institutions and macroeconomic factors predict stock returns in emerging markets?’,Emerging Markets Review, vol. 19, pp. 77–95, doi:10.1016/j.ememar.2014.04.005
Nasseh, A & Strauss, J 2004, ‘Stock prices and dividend discount model: did their relation break down in the 1990s?’,The Quarterly Review of Economics and Finance, vol. 44, no. 2, pp. 191-207.
Nelson, DB 1991, ‘Conditional heteroskedasticity in asset returns: a new approach’,Econometrica, vol. 59, no. 2, pp.347-370.
Nguyen, CV &Ali, MM 2011, ‘Testing the weak efficient market hypothesisusing Bangladeshi panel data’, Banks and Bank Systems, vol. 6, no. 1, pp. 11-15.
Nguyen, CV, Islam, AM & Ali, MM2013, ‘Equity price indices and random walk : the case of Malaysia, the Philippines and Taiwan’,International Review of Business Research Papers, vol. 9, no. 5, pp. 28–38.
Nikita, MP & Soekarno, S 2012, Testing on weak form market efficiency: the evidence from Indonesia stock marketyear 2008-2011, paper presented at the 2nd International Conference on Business, Economics, Management and Behavioral Sciences, 13-14 October, Bali, Indonesia, viewed 3 September 2014, http://psrcentre.org/images/extraimages/1012504.pdf
Nikkinen, J, Omran, M, Sahlström, P, & Äijö, J2006, ‘Global stock market reactions to scheduled U.S. macroeconomic news announcements’,Global Finance Journal, vol. 17, no. 1, pp. 92–104, doi:10.1016/j.gfj.2006.06.003
Nisar, S & Hanif, M 2012, ‘Testing weak form of efficient market hypothesis: empirical evidence from south-Asia’, World Applied Sciences Journal, vol. 17, no. 4, pp. 414-427.
Oke, MO & Azeez, BA 2012, ‘A test of strong-form efficiency of the Nigerian capital market’,Business Systems Review, vol. 1, no. 1, pp. 10-26, DOI: 10.7350/bsr.a03.2012
Olweny, TO & Kimani, D 2011, ‘Stock market performance and economic growth:empirical evidence from Kenya using causality test approach’,Advances in Management & Applied Economics, vol. 1, no. 3, pp. 153–196.
Omar, M, Hussain, H, Bhatti, GA& Altaf, M 2013, ‘Testing of random walks in Karachi stock exchange’, Finance Management, vol. 54, pp. 12293-12299.
Osamwonyi, IO &Evbayiro-Osagi, EI 2012, ‘The relationship between macroeconomic variables andstock market index in Nigeria’, J Economics, vol. 3, no. 1, pp. 55-63.
Oseni, IO & Nwosa, PI 2011,‘Stock market volatility and macroeconomic variablesvolatility in Nigeria: an exponential GARCH approach’, Journal of Economics and Sustainable Development, vol. 2, no. 10, pp. 28-42.
Oskooe, SAP 2011, The random walk hypothesis in emerging stock market-evidence from nonlinear fourier unit root test, Proceedings of the World Congress on Engineering, July 6 - 8, London, U.K, viewed 04 November 2014, www.iaeng.org/publication/WCE2011/WCE2011_pp418-422.pdf
Pan, M.-S, Liu, YA, & Roth, HJ 1999, ‘Common stochastic trends and volatility in Asian-Pacific equity markets’,Global Finance Journal, vol. 10, no. 2, pp. 161–172, doi:10.1016/S1044-0283(99)00012-5
Papadamou, S, Sidiropoulos, M & Spyromitros, E 2014, ‘Does central bank transparency affect stock market volatility?’Journal of International Financial Markets, Institutions and Money, vol. 31, pp. 362–377, doi:10.1016/j.intfin.2014.05.002
Parvez I& Basak, SR 2012, Observing the volatility switching of Dhaka stock exchange by transition probability and limiting probability. IJAR-BAE, vol. 1, no. 1, pp. 07 – 12.
Patel, S 2012, ‘The effect of macroeconomicdeterminants on the performance of theIndian stock market, NMIMS Management Review, vol. XXII, pp. 117-127.
Patel, NR, Radadia, N & Dhawan, J 2012, ‘An empirical study on weak-form of market efficiency of selected Asian stock markets’,Journal of Applied Finance & Banking, vol.2, no.2, pp. 99-148.
Peng, J, Cui, J, Groenewold, N & Qin, F 2009, Stock prices and the macro economy in China, Economics Discussion Paper no. 09.20, Business School, University of Western Australia.
Pesaran, MH & Pesaran, B 1997, Working with microfit 4: interactive econometric analysis, Oxford University Press, London.
Phillips, PCB. & Perron, P 1988, 'Testing for a unit root in time series regression', Biometrika, vol. 75, no. 2, pp. 335-46.
Pilinkus, D & Boguslauskas, V 2009, ‘The short-run relationship between stock market prices and macroeconomic variables in Lithuania: an application of the impulse response function’, Engineering Economics, vol. 5. pp. n.p.
Poudel, N 2013, The impact of macroeconomic variables on S&P 500 stock return, masters thesis, University of Southern Denmark, Odense.
Prakash, S & Arora, CB 2013, ‘Determination of opening prices of equities of the day’,Journal of Applied Finance & Banking, vol. 3, no. 4, pp. 199-227.
Quadir, MM 2012, ‘The effect of macroeconomic variables on stock returns on Dhaka stock exchange’, International Journal of Economics and Financial Issues, vol. 2, no. 4, pp. 480-487.
Rahaman, MA, Hasan, MB &Ahsan AFM 2013, ‘Stock market performance under different government periods: evidence from Bangladesh’, Universal Journal of Accounting and Finance, vol. 1, no. 2, pp. 42-50.
Rahman, AA, Mohd Sidek, NZ& Tafri, FH 2009. ‘Macroeconomic determinants of Malaysian stock market’,African Journal of Business Management, vol. 3, no. 3, pp. 95-106.
Rahman, AFMA 2012, ‘Reward for taking risk at DSE – an application of zero beta CAPM’, Journal of Business and Policy Research, vol. 7, no. 3, pp. 48 – 59.
Rahman, ML & Uddin, J 2009, ‘Dynamic relationship between stock prices and exchange rates: evidence from three south Asian countries’, International Business Research, vol. 2, no. 2, pp. 167-174.
Rahman, ML & Uddin, J 2012, ‘Test of weak form of efficiency in emerging markets: a south Asian evidence’, ABAC Journal, vol. 32, no. 1, pp. 1-15.
Rahman, MT & Moazzem, KJ 2011, ‘Capital market of Bangladesh: volatility in the Dhaka stock exchange (DSE) and role of regulators’, International Journal of Business and Management, vol. 6, no. 7, pp. 86-93.
Ray, S 2012, ‘Testing Granger causal relationship between macroeconomic variablesand stock price behaviour: evidence from India’, Advances in Applied Economics and Finance, vol. 3, no. 1, pp. 470-481, ISSN 2167-6348.
Rayhan, MA, Sarkar, SMAI & Sayem, SM 2011, ‘The volatility of Dhaka stock exchange (DSE) returns: evidence and implications, ASA University Review, vol. 5, no. 2, pp. 87-99.
Rizeanu, S & Zhang, H 2013, ‘Exchange rates and portfolio rebalancing: evidence from emerging economies’, International Journal of Economics and Finance, vol. 5, no. 2, pp. 158-27, Doi:10.5539/ijef.v5n2p15
Ross, SA 1976, 'The arbitrage theory of capital asset pricing', Journal of Economic Theory, vol. 13, pp. 341-61.
Sabunwala, ZZ 2012, ‘A study of the impact of macroeconomic variables on stock price movements for the period 1993- 2010’, International Journal of Research in Commerce, Economics & Management, vol. 2, no. 6, pp. 107-110.
Sachdeva, YP 1994, Rise and fall of share prices: factors & determinants, Deep & Deep Publications, New Delhi.
Sarker, MM & Nargis, N 2012, ‘Identifying the critical issues of stock market: a study on Dhaka stock exchange (DSE)’, International Journal of Applied Research in Business Administration & Economics, vol. 01, no.03, pp. 48-55.
Schwert, GW 1989, ‘Why does stock market volatility change over time?’,Journal of Finance, vol. 44, no.5, pp. 1115-1153.
Sharma, GD& Mahendru, M 2009, ‘Efficiency hypothesis of the stock markets: a case of Indian securities’, International Journal of Business and Management, vol. 4, no. 3, pp. 136-144.
Sharma, GD& Mahendru, M 2010, ‘Impact of macro- economic variables onstock prices in India’, Global Journal of Management and Business Research, vol. 10, no. 7, pp. 19-26.
Singh, S, Tripathi, DLK & Lalwani, K 2012, ‘An empirical study of impact of exchange rate & inflation rate on performance of BSE SENSEX’,SAJMR Spectrum: A Journal of Multidisciplinary Research, vol. 1, no. 3, pp. 20-31.
Siourounis, GD 2002, ‘Modeling volatility and testing for efficiency in emerging capital markets: the case of the Athens stock exchange’, Applied Financial Economics, vol. 12, pp. 47-55, DOI: 10.1080 /0960310011008800 3
Sohel, K 2015, ‘Study: Bangladesh to be 23rd largest economy by 2050’, DhakaTribune, 16 March, viewed 5 May 2015, http://www.dhakatribune.com/economy/2015/mar/16/study-bangladesh-be-23rd-largest-economy-2050
Srivastava, A 2010, ‘Relevance of macro economic factors for the Indianstock market’, Decision, vol. 37, no.3, pp. 69-89.
Standards and Poor’s 2009, Global Stock Markets Factbook 2009.
Stock Index Data 2013, CD-ROM, Dhaka Stock Exchange, Dhaka, Bangladesh.
The World Bank 2013,Bangladesh: bolstering economic growth to reduce poverty, viewed15 March 2015, http://www.worldbank.org/en/results/2013/04/15/bangladesh-bolstering-economic-growth-to-reduce-poverty
Tiwari, AK &Kyophilavon, P 2014, ‘New evidence from the random walk hypothesis for BRICS stock indices:a wavelet unit root test approach’, Economic Modelling, vol. 43, pp. 38–41, http://dx.doi.org/10.1016/j.econmod.2014.07.005
Tsai, I-C 2012, ‘The relationship between stock price index and exchange rate in Asian markets: A quantile regression approach’,Journal of International Financial Markets, Institutions and Money, vol. 22, no. 3, pp. 609–621, doi:10.1016/j.intfin.2012.04.005
Tsay, RS 2010, Analysis of financial time series,Second edition, Wiley-Interscience,New York.
Uddin, MB 2009, ‘Determinants of market price of stock: a study on bank leasing and insurance companies of Bangladesh’, Journal of Modern Accounting and Auditing, vol. 5, no. 7, pp. 1-20.
Ullah, MH, Kabir, MR & Ahmmed, M 2012, ‘Catastrophe in stock market in Bangladesh- a view of investors and financial analysis of Chittagong stock exchange’, International Journal of Economics and Finance, vol. 4, no. 7, pp. 117-131.
U.S. Energy Information Administration 2015, viewed 04 March 2015, http://www.eia.gov/countries/country-data.cfm?fips=bg#pet
Vejzagic, M & Zarafat, H 2013, ‘Relationship between macroeconomic variables and stock market index: co-integration evidence from ftse bursa Malaysia hijrah shariah index’ Asian Journal of Management Sciences & Education, vol. 2, no. 4, pp. 94-108, ISSN: 2186-8441.
Walid, C, Chaker, A, Masood, O & Fry, J 2011, ‘Stock market volatility and exchange rates in emerging countries: a markov-state switching approach’Emerging Markets Review, vol. 12, no. 3, pp. 272–292, doi:10.1016/j.ememar.2011.04.003
Wang, S & Mayes, DG2012, ‘Monetary policy announcements and stock reactions: an international comparison’,The North American Journal of Economics and Finance, vol. 23, no. 2, pp. 145–164, doi:10.1016/j.najef.2012.02.002
World Bank 2013, World Development Indicators 2013, http://data.worldbank.org/products/wdi accessed on 10 March 2014.
Wyss, BO 2001, Fundamentals of the stock market, McGraw-Hill, USA.
Zakaria, Z & Shamsuddin, S 2012, ‘Empirical evidence on the relationship between stock market volatility and macroeconomics volatility in Malaysia’, Journal of Business Studies Quarterly, vol. 4, no. 2, pp. 61-71.
