Effect of Sentiment on the Bangladesh Stock Market Returns

Chowdhury, Shah Saeed Hassan; Sharmin, Rashida; Rahman, Arifur

doi:10.2139/ssrn.2416223

Cited by 9 publications

(10 citation statements)

References 24 publications

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“…Based on the analysis of daily stock return from 49 countries, Talpsepp and Rieger (2010) observed that the extent of economic development, the ratio of market capitalization to GDP and investors’ sentiment contributed to volatility asymmetry. In case of Bangladesh stock market Chowdhury et al (2014) found evidence of significant positive influence of investors’ sentiment on portfolio returns. Andrei and Hasler (2015) found positive association between investors’ attention to news and stock-return volatility and mentioned that low attention to news generates low return volatility as low attention results in slow learning that leads to slow integration of new information into market prices.…”

Section: Review Of Relevant Literaturementioning

confidence: 98%

“…This is not surprising. For DSE, Chowdhury et al (2014) points out that investors’ sentiment is probably influenced by investors’ unawareness, unreliability of earnings information, inferior information, lack of expert services etc., rather than market fundamentals. In addition, the size of non-institutional investors in DSE is identified by Chowdhury and Rahman (2004) as another reason for the failure of the stock market to predict macroeconomic volatility.…”

Section: Policy Implications and Conclusionmentioning

confidence: 99%

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Are News Effects Necessarily Asymmetric? Evidence from Bangladesh Stock Market

Bose¹,

Rahman

2022

SAGE Open

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The primary objective of this paper is to empirically examine the nature and statistical significance of the news effect on conditional volatility of unpredictable components of stock returns. Daily stock return data of 12 local and multinational companies on Dhaka Stock Exchange Ltd., Bangladesh, for the period 1990 to 2011 were used in this study. The likelihood of asymmetric effects of news on conditional volatility was tested using a set of diagnostics under the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) framework. The results fail to reject the null hypothesis of symmetric effects, thereby suggesting that the conditional volatility of unpredictable components of stock returns is affected equally by positive and negative news. The robustness of the results was further checked by using three widely used asymmetric models, namely exponential GARCH (EGARCH), Glosten, Jagannathan & Runkle (GJR)-GARCH, and a partially non-parametric Autoregressive Conditional Heteroscedastic (PNP-ARCH) models. Yet again, the results do not provide any evidence of significant asymmetric effects in the volatility process. In addition, the descriptive results confirm the stylized facts of unpredictable return series such as non-normal distribution, time variant conditional volatility, and persistence in return volatility. Collectively these findings, perhaps, indicate the adequacy of the GARCH (1,1) model in representing the data generating process. A number of regulatory and behavioral factors that are anticipated to be accountable for the absence of asymmetric news effects are underlined. Finally, some policy implications of the results and possible extensions of the present paper are also conveyed. JEL codes: G10, G12, G14

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Section: Review Of Relevant Literaturementioning

confidence: 98%

Section: Policy Implications and Conclusionmentioning

confidence: 99%

Are News Effects Necessarily Asymmetric? Evidence from Bangladesh Stock Market

Bose¹,

Rahman

2022

SAGE Open

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“…Investor sentiment dapat diartikan sebagai kecenderungan para investor untuk melakukan spekulasi. Kecenderungan tersebut sering dikaitkan dengan psikologi dari para investor (Chowdhury et al, 2014). Dalam kondisi yang positif, para investor akan mengikuti strategi investasi yang biasa mereka lakukan, namun dalam kondisi negatif, mereka akan mengambil keputusan dengan lebih banyak pertimbangan dan analisis (Schwars, 2002).…”

Section: B Investor Sentimentunclassified

Reaksi Pasar Modal Terhadap Faktor Ekonomi Dan Faktor Non Ekonomi Di Indonesia

Lestari

Nugroho

2020

JDEP

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The purpose of this study is (1) to examine how much influence economic and non-economic factors have on the movement of the Jakarta Composite Index (CSPI), (2) to examine the most dominant factor in the movement of the Composite Stock Price Index (CSPI). The method in this study uses monthly data and is processed using the Vector Auto Regression (VAR) analysis technique. the results of the variance decomposition test before social / political turmoil showed that the most dominant contribution was recorded at the CSPI itself 61 percent, with economic factors 21 percent and non-economic factors 18 percent. However, the results of the variance decomposition test after social / political turmoil showed that the most dominant contribution was recorded in non-economic factors, 52 percent, with economic factors 36 percent, and CSPI itself at 18 percent. Thus, there are differences before and after social / political turmoil

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“…Since market capitalization and return data are reliable and available, SMB and market return are used for the robustness check of momentum and contrarian profits. In a recent study, Chowdhury et al (2014) report the importance of sentiment factors in asset pricing models for Bangladesh. Thus, TRIN ratio, also known as Arms Index, is used as a proxy for market sentiment.…”

Section: Systematic Risk and Contrarian And Momentum Profitsmentioning

confidence: 99%

“…However, their findings suffer from some serious limitations: (a) they do not consider firm sizes, but large and small cannot be treated alike and (b) they do not use SMB (small minus big) and sentiment proxy in order to check the robustness of the findings. Chowdhury, Rahman, and Sharmin (2014) show that in Bangladesh stock market, sentiment influences stock returns and thus sentiment should be incorporated in asset pricing models. Bangladesh market is believed to be dominated by retail investors who are more susceptible to sentiment and findings of these two studies could be different if sentiment is considered.…”

Section: Introductionmentioning

confidence: 99%

Presence and Sources of Contrarian Profits in the Bangladesh Stock Market

Chowdhury

Sharmin

Rahman

2018

Global Business Review

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This article, using weekly data for the period 2002 through 2013, investigates the presence of both contrarian and momentum profits and their sources in the Bangladesh stock market. It follows the methodology of Lo and MacKinlay ( Review of Financial Studies, 1990, 3(2), 175–205) to form portfolios with a weighted relative strength scheme (WRSS). The methodology of Jegadeesh and Titman ( Review of Financial Studies, 1995, 8(4), 973–993) is used to decompose the contrarian/momentum profits into three elements: compensation for cross-sectional risk, lead–lag effect in time series with respect to the common factor and the time-series pattern of stock returns. Results provide the evidence of significant contrarian profits for the holding period of one through eight weeks. There is a stronger presence of contrarian profits during 2002–2008 sub-period. The time-series pattern is found to be the main source of contrarian profits, suggesting that idiosyncratic (firm-specific) information is the main contributor to contrarian profits. Interestingly, the influence of idiosyncratic information on such profits has gradually decreased since 2008. Contrarian profits are robust to market sentiment and other systematic risk factors.

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Effect of Sentiment on the Bangladesh Stock Market Returns

Cited by 9 publications

References 24 publications

Are News Effects Necessarily Asymmetric? Evidence from Bangladesh Stock Market

Are News Effects Necessarily Asymmetric? Evidence from Bangladesh Stock Market

Reaksi Pasar Modal Terhadap Faktor Ekonomi Dan Faktor Non Ekonomi Di Indonesia

Presence and Sources of Contrarian Profits in the Bangladesh Stock Market

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