Ziaul Haq - Academia.edu (original) (raw)

Papers by Ziaul Haq

Research paper thumbnail of Forecasting Index Return Volatility of The Chittagong Stock Exchange of Bangladesh using GARCH Models

Journal of Business Studies, 2022

The aim of this research is to identify the best-fitted model(s) for estimating and forecasting t... more The aim of this research is to identify the best-fitted model(s) for estimating and forecasting the return volatility of the Chittagong Stock Exchange (CSE) in Bangladesh. Methodology: The study analyzes the returns of the Chittagong Stock Exchange's (CSE) daily Selective Categories Index (CSCX) from February 4, 2013 to December 31, 2021 (as a full sample) and from July 1, 2021 to December 30, 2021 (for forecasting). The researcher used GARCH family approaches considering different error distributions, to find the well-suited model(s) for the CSCX index. The researchers used ARMA to develop the mean equation based on two popular model selection criteria: Schwarz's (1978) Bayesian information criterion (SBIC) and Akaike's (1974) information criterion (AIC). The data has been analyzed using the application software E-Views 10. Findings: The ARMA (0,1) has been adopted as the mean equation for GARCH specifications. Under all three types of error distributions, the ARCH and GARCH terms, along with the leverage terms of asymmetric models, were found to be statistically significant in all the accepted combinations of the model. The models GARCH (1,2), TGARCH (1,2), and PARCH (1,2) under generalized error distributions and EGARCH (2,1) under Student"s t error distributions have been selected as the bestfitted models for estimation. Whereas, based on root mean square error (RMSE), mean absolute error (MAE), mean absolute percent error (MAPE), and theil inequality (TI), EGARCH (1, 2), TGARCH (1, 2), and PARCH (1, 2) under generalized error distributions, and GARCH (1, 2) under student"s t error distributions and normal error distributions are found to have superior out-of-sample forecasting abilities. Practical implications and originality: This is an original research work that will help the investors and other stakeholders of the Bangladeshi stock market to estimate and forecast market volatility more efficiently. Limitations: Due to its extensive features, this study was unable to incorporate a few additional ARCH and GARCH models.

Research paper thumbnail of Benchmarking and Rating of Private Commercial Banks of Bangladesh Through CAMELS Components

Bangladesh Journal of Multidisciplinary Scientific Research

The banking sector of Bangladesh is becoming more complicated than before. Ensuring the financial... more The banking sector of Bangladesh is becoming more complicated than before. Ensuring the financial stability of the economy, monitoring, supervision, and continuous performance evaluation of the banking sector are compulsory. The present study, therefore, is an attempt to evaluate and compare the performance of our banks. One of the most effective supervisory techniques, CAMELS rating system has been used to benchmark and rate the banks based on their performance. In this study, 21 private commercial banks (PCBs) have been chosen as samples to meet the purpose of the study. Data for analysis has been collected from the banks’ annual reports for the period of 2008 to 2018. The result shows that none of the banks could achieve a 'strong' position, and only SEBL was able to secure a ‘satisfactory’ mark. Unfortunately, AB bank was rated "marginal" in the composite rating, which is the lowest rating among the sample banks. Hence, AB bank needs to develop reform and follo...

Research paper thumbnail of Benchmarking and Rating of Private Commercial Banks of Bangladesh Through CAMELS Components

Bangladesh Journal of Multidisciplinary Scientific Research, 2000

The banking sector of Bangladesh is becoming more complicated than before. Ensuring the financial... more The banking sector of Bangladesh is becoming more complicated than before. Ensuring the financial stability of the economy, monitoring, supervision, and continuous performance evaluation of the banking sector are compulsory. The present study, therefore, is an attempt to evaluate and compare the performance of our banks. One of the most effective supervisory techniques, CAMELS rating system has been used to benchmark and rate the banks based on their performance. In this study, 21 private commercial banks (PCBs) have been chosen as samples to meet the purpose of the study. Data for analysis has been collected from the banks" annual reports for the period of 2008 to 2018. The result shows that none of the banks could achieve a 'strong' position, and only SEBL was able to secure a "satisfactory" mark. Unfortunately, AB bank was rated "marginal" in the composite rating, which is the lowest rating among the sample banks. Hence, AB bank needs to develop reform and follow-up programs as soon as possible to avoid financial failure.

Research paper thumbnail of Bank-Specific and Macroeconomic Determinants of Non-Performing Loans of Commercial Banks in Bangladesh

Journal of Business Studies, 2000

Size of non-performing loans is a matter of concern and a threat to sustainable banking and macro... more Size of non-performing loans is a matter of concern and a threat to sustainable banking and macroeconomic development in Bangladesh. This study, therefore, explores the factors responsible for non-performing loans in commercial banks especially from bank specific and macroeconomic aspects in Bangladesh. The study has collected secondary data from 44 commercial banks operating in Bangladesh from 1997 to year 2019. The study has developed a linear multiple regression model to identify the significant factors responsible for non performing loans in the banking sector. The study results reveal that from the set of bankspecific aspects such as high volume of lending (advance deposit ratio), profitability in terms of return on assets, capital adequacy relative to risk weighted assets, high liquidity percentage of deposits have contributed significantly to creating non-performing loans in Bangladesh. On the other hand, from the set of macroeconomic aspects such as GDP growth rate, lending interest rate, unemployment rate and asset size of bank relative GDP also have significant contributions to non-performing loans in the country.

Research paper thumbnail of Benchmarking and Rating of Private Commercial Banks of Bangladesh Through CAMELS Components

Bangladesh Journal of Multidisciplinary Scientific Research; Vol. 2, No. 2; 2020 ISSN 2687-850X E-ISSN 2687-8518 Published by CRIBFB, USA, 2020

The banking sector of Bangladesh is becoming more complicated than before. Ensuring the financial... more The banking sector of Bangladesh is becoming more complicated than before. Ensuring the financial stability of the economy, monitoring, supervision, and continuous performance evaluation of the banking sector are compulsory. The present study, therefore, is an attempt to evaluate and compare the performance of our banks. One of the most effective supervisory techniques, CAMELS rating system has been used to benchmark and rate the banks based on their performance. In this study, 21 private commercial banks (PCBs) have been chosen as samples to meet the purpose of the study. Data for analysis has been collected from the banks" annual reports for the period of 2008 to 2018. The result shows that none of the banks could achieve a 'strong' position, and only SEBL was able to secure a "satisfactory" mark. Unfortunately, AB bank was rated "marginal" in the composite rating, which is the lowest rating among the sample banks. Hence, AB bank needs to develop reform and follow-up programs as soon as possible to avoid financial failure.

Research paper thumbnail of Forecasting Index Return Volatility of The Chittagong Stock Exchange of Bangladesh using GARCH Models

Journal of Business Studies, 2022

The aim of this research is to identify the best-fitted model(s) for estimating and forecasting t... more The aim of this research is to identify the best-fitted model(s) for estimating and forecasting the return volatility of the Chittagong Stock Exchange (CSE) in Bangladesh. Methodology: The study analyzes the returns of the Chittagong Stock Exchange's (CSE) daily Selective Categories Index (CSCX) from February 4, 2013 to December 31, 2021 (as a full sample) and from July 1, 2021 to December 30, 2021 (for forecasting). The researcher used GARCH family approaches considering different error distributions, to find the well-suited model(s) for the CSCX index. The researchers used ARMA to develop the mean equation based on two popular model selection criteria: Schwarz's (1978) Bayesian information criterion (SBIC) and Akaike's (1974) information criterion (AIC). The data has been analyzed using the application software E-Views 10. Findings: The ARMA (0,1) has been adopted as the mean equation for GARCH specifications. Under all three types of error distributions, the ARCH and GARCH terms, along with the leverage terms of asymmetric models, were found to be statistically significant in all the accepted combinations of the model. The models GARCH (1,2), TGARCH (1,2), and PARCH (1,2) under generalized error distributions and EGARCH (2,1) under Student"s t error distributions have been selected as the bestfitted models for estimation. Whereas, based on root mean square error (RMSE), mean absolute error (MAE), mean absolute percent error (MAPE), and theil inequality (TI), EGARCH (1, 2), TGARCH (1, 2), and PARCH (1, 2) under generalized error distributions, and GARCH (1, 2) under student"s t error distributions and normal error distributions are found to have superior out-of-sample forecasting abilities. Practical implications and originality: This is an original research work that will help the investors and other stakeholders of the Bangladeshi stock market to estimate and forecast market volatility more efficiently. Limitations: Due to its extensive features, this study was unable to incorporate a few additional ARCH and GARCH models.

Research paper thumbnail of Benchmarking and Rating of Private Commercial Banks of Bangladesh Through CAMELS Components

Bangladesh Journal of Multidisciplinary Scientific Research

The banking sector of Bangladesh is becoming more complicated than before. Ensuring the financial... more The banking sector of Bangladesh is becoming more complicated than before. Ensuring the financial stability of the economy, monitoring, supervision, and continuous performance evaluation of the banking sector are compulsory. The present study, therefore, is an attempt to evaluate and compare the performance of our banks. One of the most effective supervisory techniques, CAMELS rating system has been used to benchmark and rate the banks based on their performance. In this study, 21 private commercial banks (PCBs) have been chosen as samples to meet the purpose of the study. Data for analysis has been collected from the banks’ annual reports for the period of 2008 to 2018. The result shows that none of the banks could achieve a 'strong' position, and only SEBL was able to secure a ‘satisfactory’ mark. Unfortunately, AB bank was rated "marginal" in the composite rating, which is the lowest rating among the sample banks. Hence, AB bank needs to develop reform and follo...

Research paper thumbnail of Benchmarking and Rating of Private Commercial Banks of Bangladesh Through CAMELS Components

Bangladesh Journal of Multidisciplinary Scientific Research, 2000

The banking sector of Bangladesh is becoming more complicated than before. Ensuring the financial... more The banking sector of Bangladesh is becoming more complicated than before. Ensuring the financial stability of the economy, monitoring, supervision, and continuous performance evaluation of the banking sector are compulsory. The present study, therefore, is an attempt to evaluate and compare the performance of our banks. One of the most effective supervisory techniques, CAMELS rating system has been used to benchmark and rate the banks based on their performance. In this study, 21 private commercial banks (PCBs) have been chosen as samples to meet the purpose of the study. Data for analysis has been collected from the banks" annual reports for the period of 2008 to 2018. The result shows that none of the banks could achieve a 'strong' position, and only SEBL was able to secure a "satisfactory" mark. Unfortunately, AB bank was rated "marginal" in the composite rating, which is the lowest rating among the sample banks. Hence, AB bank needs to develop reform and follow-up programs as soon as possible to avoid financial failure.

Research paper thumbnail of Bank-Specific and Macroeconomic Determinants of Non-Performing Loans of Commercial Banks in Bangladesh

Journal of Business Studies, 2000

Size of non-performing loans is a matter of concern and a threat to sustainable banking and macro... more Size of non-performing loans is a matter of concern and a threat to sustainable banking and macroeconomic development in Bangladesh. This study, therefore, explores the factors responsible for non-performing loans in commercial banks especially from bank specific and macroeconomic aspects in Bangladesh. The study has collected secondary data from 44 commercial banks operating in Bangladesh from 1997 to year 2019. The study has developed a linear multiple regression model to identify the significant factors responsible for non performing loans in the banking sector. The study results reveal that from the set of bankspecific aspects such as high volume of lending (advance deposit ratio), profitability in terms of return on assets, capital adequacy relative to risk weighted assets, high liquidity percentage of deposits have contributed significantly to creating non-performing loans in Bangladesh. On the other hand, from the set of macroeconomic aspects such as GDP growth rate, lending interest rate, unemployment rate and asset size of bank relative GDP also have significant contributions to non-performing loans in the country.

Research paper thumbnail of Benchmarking and Rating of Private Commercial Banks of Bangladesh Through CAMELS Components

Bangladesh Journal of Multidisciplinary Scientific Research; Vol. 2, No. 2; 2020 ISSN 2687-850X E-ISSN 2687-8518 Published by CRIBFB, USA, 2020

The banking sector of Bangladesh is becoming more complicated than before. Ensuring the financial... more The banking sector of Bangladesh is becoming more complicated than before. Ensuring the financial stability of the economy, monitoring, supervision, and continuous performance evaluation of the banking sector are compulsory. The present study, therefore, is an attempt to evaluate and compare the performance of our banks. One of the most effective supervisory techniques, CAMELS rating system has been used to benchmark and rate the banks based on their performance. In this study, 21 private commercial banks (PCBs) have been chosen as samples to meet the purpose of the study. Data for analysis has been collected from the banks" annual reports for the period of 2008 to 2018. The result shows that none of the banks could achieve a 'strong' position, and only SEBL was able to secure a "satisfactory" mark. Unfortunately, AB bank was rated "marginal" in the composite rating, which is the lowest rating among the sample banks. Hence, AB bank needs to develop reform and follow-up programs as soon as possible to avoid financial failure.