Title of article :
Stylized Facts of Stock Returns Volatility in Dhaka Stock Exchange
Author/Authors :
Hasan، Mohd. Abu نويسنده Ministry of Education , , Wadud، Mohd. Abdul نويسنده Rajshahi Unversity ,
Issue Information :
فصلنامه با شماره پیاپی سال 2016
Abstract :
This paper examines the well-known stylized facts of stock returns volatiliy in the Dhaka
Stock Exchange (DSE) utilizing daily all share price index return data for the period of 02
January 1993 to 27 January 2013. In addition, the study explores the adequate volatiliy
model for DSE. The results of the estimated MA(1)-GARCH(1,1) model reveal that the stock
returns of DSE capture volatility clustering and the volatility is moderately persistent. The
estimated MA(1)-EGARCH(1,1) model displays that the effect of bad news on stock market
volatility is greater than the effect induced by good news. Hence, it is concluded that return
series of DSE shows evidence of three common stylized facts namely, volatility clustering,
leptokurtosis and the leverage effect. In the end, this study discovers that MA(1)GARCH(1,1)
is the best
model
for
modeling
volatility
of
DSE
stock
returns
in
Bangladesh.
Journal title :
Euro-Asian Journal of Economics and Finance
Journal title :
Euro-Asian Journal of Economics and Finance