This paper is a comparison the volatility of price between Dhaka stock exchange (DSE) and Chittagong Stock Exchange (CSE). I did this study on volatility as a part of academic course of Research Methodology and Dissertation. The main objective of this study is to determine whether the markets are same volatile or not. Volatility is the most basic statistical measure. It can be used to measure the market risk of a single instrument or entire portfolio of investment. Investors, regulators, brokers, dealers and the media have all express concern over the level of stock market volatility. After market crash of 1996, individuals as well as corporate investors along with the regulators have become conscious about the volatility and felt importance of information regarding market to take good investment decision. This paper also discussed about the preliminary concept of volatility. For analysis of data I have consider only year 2004. Standard deviation, coefficient of Variation, F-test and monthly return is calculated. All the result shows the same picture. CSE is more volatile than DSE. The CSE30 and DSE20 also show the same result. Interesting finding is that general price is less volatile than CSE30 and DSE20. It implies that the top 20 and 30 securities influence the whole market. If the price of these securities increases, the price index increases. Ups and downs of the price of these securities in CSE is higher than that of DSE. Although investors are suffering from lack of information about the quality of securities, they take investment decision considering the general price index of two markets. Some time it may mislead the investor the differences of indexes of two markets. As the base of these two indices is different they can consider the percentage change in indexes and standard deviation of the indexes. Though the calculation is based on only the index one individual investor can calculate the return from individual security and then can take the portfolio investment decision. In this study individual securities are not considered as it would take massive calculating and data collection operation. Despite of these limitations it can easily be told that Chittagong Stock Exchange is more volatile than Dhaka Stock Exchange.
| Published in | International Journal of Economics, Finance and Management Sciences (Volume 2, Issue 1) |
| DOI | 10.11648/j.ijefm.20140201.16 |
| Page(s) | 43-52 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2014. Published by Science Publishing Group |
Stock Market, DSE, CSE, Volatility, Market Risk, Variation
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| [8] | Agundu, P.U.C. (1999). Merchant-Commercial Banks Conversion: A comparative Business Fertility Analysis. Asian Economic Review. |
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APA Style
Md. Ariful Islam, Md. Rayhan Islam, Mahmudul Hasan Siddiqui. (2014). Stock Market Volatility: Comparison Between Dhaka Stock Exchange and Chittagong Stock Exchange. International Journal of Economics, Finance and Management Sciences, 2(1), 43-52. https://doi.org/10.11648/j.ijefm.20140201.16
ACS Style
Md. Ariful Islam; Md. Rayhan Islam; Mahmudul Hasan Siddiqui. Stock Market Volatility: Comparison Between Dhaka Stock Exchange and Chittagong Stock Exchange. Int. J. Econ. Finance Manag. Sci. 2014, 2(1), 43-52. doi: 10.11648/j.ijefm.20140201.16
AMA Style
Md. Ariful Islam, Md. Rayhan Islam, Mahmudul Hasan Siddiqui. Stock Market Volatility: Comparison Between Dhaka Stock Exchange and Chittagong Stock Exchange. Int J Econ Finance Manag Sci. 2014;2(1):43-52. doi: 10.11648/j.ijefm.20140201.16
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Download@article{10.11648/j.ijefm.20140201.16,
author = {Md. Ariful Islam and Md. Rayhan Islam and Mahmudul Hasan Siddiqui},
title = {Stock Market Volatility: Comparison Between Dhaka Stock Exchange and Chittagong Stock Exchange},
journal = {International Journal of Economics, Finance and Management Sciences},
volume = {2},
number = {1},
pages = {43-52},
doi = {10.11648/j.ijefm.20140201.16},
url = {https://doi.org/10.11648/j.ijefm.20140201.16},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20140201.16},
abstract = {This paper is a comparison the volatility of price between Dhaka stock exchange (DSE) and Chittagong Stock Exchange (CSE). I did this study on volatility as a part of academic course of Research Methodology and Dissertation. The main objective of this study is to determine whether the markets are same volatile or not. Volatility is the most basic statistical measure. It can be used to measure the market risk of a single instrument or entire portfolio of investment. Investors, regulators, brokers, dealers and the media have all express concern over the level of stock market volatility. After market crash of 1996, individuals as well as corporate investors along with the regulators have become conscious about the volatility and felt importance of information regarding market to take good investment decision. This paper also discussed about the preliminary concept of volatility. For analysis of data I have consider only year 2004. Standard deviation, coefficient of Variation, F-test and monthly return is calculated. All the result shows the same picture. CSE is more volatile than DSE. The CSE30 and DSE20 also show the same result. Interesting finding is that general price is less volatile than CSE30 and DSE20. It implies that the top 20 and 30 securities influence the whole market. If the price of these securities increases, the price index increases. Ups and downs of the price of these securities in CSE is higher than that of DSE. Although investors are suffering from lack of information about the quality of securities, they take investment decision considering the general price index of two markets. Some time it may mislead the investor the differences of indexes of two markets. As the base of these two indices is different they can consider the percentage change in indexes and standard deviation of the indexes. Though the calculation is based on only the index one individual investor can calculate the return from individual security and then can take the portfolio investment decision. In this study individual securities are not considered as it would take massive calculating and data collection operation. Despite of these limitations it can easily be told that Chittagong Stock Exchange is more volatile than Dhaka Stock Exchange.},
year = {2014}
}
TY - JOUR T1 - Stock Market Volatility: Comparison Between Dhaka Stock Exchange and Chittagong Stock Exchange AU - Md. Ariful Islam AU - Md. Rayhan Islam AU - Mahmudul Hasan Siddiqui Y1 - 2014/01/30 PY - 2014 N1 - https://doi.org/10.11648/j.ijefm.20140201.16 DO - 10.11648/j.ijefm.20140201.16 T2 - International Journal of Economics, Finance and Management Sciences JF - International Journal of Economics, Finance and Management Sciences JO - International Journal of Economics, Finance and Management Sciences SP - 43 EP - 52 PB - Science Publishing Group SN - 2326-9561 UR - https://doi.org/10.11648/j.ijefm.20140201.16 AB - This paper is a comparison the volatility of price between Dhaka stock exchange (DSE) and Chittagong Stock Exchange (CSE). I did this study on volatility as a part of academic course of Research Methodology and Dissertation. The main objective of this study is to determine whether the markets are same volatile or not. Volatility is the most basic statistical measure. It can be used to measure the market risk of a single instrument or entire portfolio of investment. Investors, regulators, brokers, dealers and the media have all express concern over the level of stock market volatility. After market crash of 1996, individuals as well as corporate investors along with the regulators have become conscious about the volatility and felt importance of information regarding market to take good investment decision. This paper also discussed about the preliminary concept of volatility. For analysis of data I have consider only year 2004. Standard deviation, coefficient of Variation, F-test and monthly return is calculated. All the result shows the same picture. CSE is more volatile than DSE. The CSE30 and DSE20 also show the same result. Interesting finding is that general price is less volatile than CSE30 and DSE20. It implies that the top 20 and 30 securities influence the whole market. If the price of these securities increases, the price index increases. Ups and downs of the price of these securities in CSE is higher than that of DSE. Although investors are suffering from lack of information about the quality of securities, they take investment decision considering the general price index of two markets. Some time it may mislead the investor the differences of indexes of two markets. As the base of these two indices is different they can consider the percentage change in indexes and standard deviation of the indexes. Though the calculation is based on only the index one individual investor can calculate the return from individual security and then can take the portfolio investment decision. In this study individual securities are not considered as it would take massive calculating and data collection operation. Despite of these limitations it can easily be told that Chittagong Stock Exchange is more volatile than Dhaka Stock Exchange. VL - 2 IS - 1 ER -
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