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Investigating the relationships between stock exchanges’ total trade and total value in Bangladesh

Author

Listed:
  • Shaikh Mostak Ahammad

    (Department of Accounting, Hajee Mohammad Danesh Science and Technology University, Dinajpur-5200, Bangladesh)

  • Md. Azmir Sharif

    (Lecturer in Accounting, Department of Mechanical Engineering, City University, Dhaka, Bangladesh.)

Abstract

This study investigates the relationships of total trade and total value between the Dhaka Stock Exchange (DSE) and Chittagong Stock Exchange (CSE) in Bangladesh. To get the results, various unit root tests, the Granger causality test, and the Johansen cointegration test are employed. Daily data from January 2015 to May 2017 is used to check the relationship. The empirical results of unit root tests (Augmented Dickey-Fuller (ADF) test, Phillips-Perron (PP) test, Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) Test, and Elliott–Rothenberg–Stock (ERS) test) evidenced that total trade and the total value of DSE and CSE are stationary at their first differences. The Granger causality test found that total trade and the total value of DSE cause total trade and the total value of CSE and also total trade and the total value of CSE causes total trade and the total value of DSE meaning that there is bidirectional causality exists between the selected variables. The Johansen cointegration test showed that there is no cointegrating relationship among the variables indicating that there is no long-run relationship among total trade and total value between DSE and CSE.

Suggested Citation

  • Shaikh Mostak Ahammad & Md. Azmir Sharif, 2020. "Investigating the relationships between stock exchanges’ total trade and total value in Bangladesh," International Journal of Science and Business, IJSAB International, vol. 4(9), pages 88-98.
    • Handle: RePEc:aif:journl:v:4:y:2020:i:10:p:88-98
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    References listed on IDEAS

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    3. Nasrin Afzal & Syed Shahadat Hossain, 2011. "An Empirical Analysis of the Relationship between Macroeconomic Variables and Stock Prices in Bangladesh," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), vol. 34(4), pages 95-105.
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