dc.contributor.advisor | Lehkonen, Heikki | |
dc.contributor.author | Saha, Sangit | |
dc.date.accessioned | 2019-09-18T07:39:58Z | |
dc.date.available | 2019-09-18T07:39:58Z | |
dc.date.issued | 2019 | |
dc.identifier.uri | https://jyx.jyu.fi/handle/123456789/65540 | |
dc.description.abstract | The paper attempts to investigate the presence of herding behaviour in Dhaka stock exchange
(DSE), the prime bourse of Bangladesh stock market. In this study, the models
proposed by Christie and Huang (1995) and Chang et al. (2000) have been applied to detect
market wide herding. Both daily and monthly data for the period of January 2005 to
December 2018 are used. The results show that the investors of Dhaka stock Exchange are
involved in herding activity. More specifically, this study finds evidence of herding for
the whole study period (2005-2018), bullish and bearish market, first sub-period (2005 to
2011) and for the stock market crash period (2010-2011). Herding is detected only with the
non-linear model of Chang et al. (2000) for daily data. However, the result fails to find
evidence of herding for the second sub-period (2012 -2018). In this paper, the result of
previous study conducted by Ahsan and Sarkar (2013) on herding behaviour in DSE has
also been compared. The finding of this study is inconsistent with the finding of their
study since they fail to detect herding by applying similar methodologies. The probable
reason for finding different result in the previous study is using different market portfolio
DSI (DSE all share price index) which includes both liquid and illiquid stocks. On the
other hand, the index (DS30) used in this study includes only active and most liquid
stocks. Moreover, in this study, a probable reason for detecting herding for the crash period
is considering longer time frame for the crash period comparing to the previous
study. The result is important for million of small investors of the market to avoid the
psychological trap or irrational behaviour involved with investment decisions. | en |
dc.format.extent | 44 | |
dc.format.mimetype | application/pdf | |
dc.language.iso | en | |
dc.subject.other | herding behaviour | |
dc.subject.other | CSSD | |
dc.subject.other | CSAD | |
dc.subject.other | linear | |
dc.subject.other | non-linear | |
dc.subject.other | DSE | |
dc.title | Herding behaviour in Bangladesh stock market : a case of Dhaka stock exchange | |
dc.identifier.urn | URN:NBN:fi:jyu-201909184189 | |
dc.type.ontasot | Pro gradu -tutkielma | fi |
dc.type.ontasot | Master’s thesis | en |
dc.contributor.tiedekunta | Kauppakorkeakoulu | fi |
dc.contributor.tiedekunta | School of Business and Economics | en |
dc.contributor.laitos | Taloustieteet | fi |
dc.contributor.laitos | Business and Economics | en |
dc.contributor.yliopisto | Jyväskylän yliopisto | fi |
dc.contributor.yliopisto | University of Jyväskylä | en |
dc.contributor.oppiaine | Taloustiede | fi |
dc.contributor.oppiaine | Economics | en |
dc.rights.copyright | Julkaisu on tekijänoikeussäännösten alainen. Teosta voi lukea ja tulostaa henkilökohtaista käyttöä varten. Käyttö kaupallisiin tarkoituksiin on kielletty. | fi |
dc.rights.copyright | This publication is copyrighted. You may download, display and print it for Your own personal use. Commercial use is prohibited. | en |
dc.type.publication | masterThesis | |
dc.contributor.oppiainekoodi | 2041 | |
dc.subject.yso | pörssit | |
dc.subject.yso | rahoitusmarkkinat | |
dc.subject.yso | paimennus | |
dc.subject.yso | osakkeet | |
dc.subject.yso | sijoittajat | |
dc.subject.yso | pääomamarkkinat | |
dc.subject.yso | stock exchanges | |
dc.subject.yso | financial markets | |
dc.subject.yso | herding | |
dc.subject.yso | stocks | |
dc.subject.yso | investors | |
dc.subject.yso | capital market | |
dc.format.content | fulltext | |
dc.type.okm | G2 | |