Title : Risk and Return in Bangladesh Stock Market and Correlation with the World Market-An Update

Authors : Sharif Ahkam, Marjia Hossain

Abstract : We used the process of deriving the annual return for the Dhaka Stock Exchange for the period 1996-2014 that we had used in our earlier paper. In this design, the estimated returns capture dividend yields and capital gains by factoring in the impact of bonus shares. The average return for a portfolio of select 32 stocks for the period turned out to be 31.80 percent, slightly lower than our estimate (32.43%) for the period 1996-2012. The standard deviations of the annual returns for these stocks remained high at 40.74 percent. We examined the systematic and unsystematic risk component of these stocks and we conclude that systematic risk component of many stocks are very low raising question about the value of beta estimates in Bangladesh. The returns of our portfolio are compared with the MSCI Emerging Market Index and we find that Bangladesh stock market has remained quite independent of the other markets of the world.

Journal : North South Business Review Volume : 6 Year : 2015 Issue : 1
Pages : 53-66 City : Edition : Editors :
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