Investigating the relationships between stock exchanges’ total trade and total value in Bangladesh Shaikh Mostak Ahammad & Md. Azmir Sharif

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

Author (s)

Shaikh Mostak Ahammad &  Md. Azmir Sharif

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.

 Keywords: Dhaka Stock Exchange, Chittagong Stock Exchange, Total trade, Total value, Granger Causality test, Johansen Cointegration test.

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Title: Investigating the relationships between stock exchanges’ total trade and total value in Bangladesh
Author: Shaikh Mostak Ahammad &  Md. Azmir Sharif
Journal Name: International Journal of Science and Business
Website: ijsab.com
ISSN: ISSN 2520-4750 (Online), ISSN 2521-3040 (Print)
DOI: https://doi.org/10.5281/zenodo.4036073
Media: Online & Print
Volume: 4
Issue: 10
Acceptance Date: 14/09/2020
Date of Publication: 18/09/2020
PDF URL: https://ijsab.com/wp-content/uploads/602.pdf
Free download: Available
Page: 88-98
First Page: 88
Last Page: 98
Paper Type: Research Paper
Current Status: Published

Cite This Article:

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, 4(10), 88-98. doi: https://doi.org/10.5281/zenodo.4036073

Retrieved from https://ijsab.com/wp-content/uploads/602.pdf

 

About Author (s)

Shaikh Mostak Ahammad Ph.D., Professor, Department of Accounting, Hajee Mohammad Danesh Science and Technology University, Dinajpur-5200, Bangladesh. Email: mostak@hstu.ac.bd

Md. Azmir Sharif (corresponding author), Lecturer in Accounting, Department of Mechanical Engineering, City University, Dhaka, Bangladesh. Email: sharifazmir@gmail.com

 

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DOI: https://doi.org/10.5281/zenodo.4036073

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