Md. Bokhtiar Hasan , PhD | Islamic University, Kushtia,Bangladesh (original) (raw)

Papers by Md. Bokhtiar Hasan , PhD

Journal of Risk and Financial Management, 2021

In this study, we examine the effect of the COVID-19 pandemic on the global economic activity, st... more In this study, we examine the effect of the COVID-19 pandemic on the global economic activity, stock market, and energy sector considering the sizable damaging impacts in these crucial extents. Our results, based on the structural vector autoregression (SVAR) model for the data from January 21, 2020, to February 26, 2021, indicate that the COVID-19 cases significantly and negatively impact all the endogenous variables such as Baltic Dry Index (BDI), MSCI world index (MSCI), and MSCI world energy index (MSCIE). Our results also reveal that of the three variables, the stock markets indices (MSCI and MSCIE) are comparatively more affected by the COVID-19 cases. The findings imply that the stock markets are more sensitive to the COVID-19 pandemic than the real economy. The results Cell Phone: 0401 735 265 2 further indicate that of the three variables, the MSCIE index is the most affected by COVID-19 due to two factors: one is the dwindling power consumption caused by COVID-19, and the other is the decline in oil price because of the Russia-OPEC price war. Our findings enhance the understanding of the spillover impacts of the global health crisis on the economic activity, stock market, and energy sector. Moreover, our study offers insights to policymakers and governments about the relationship dynamics of COVID-19 that would help them be more cautious in taking preventive measures against the health crisis to save the economy, stock market, and energy sector from falling into a more deepened crisis.

International Journal of Islamic and Middle Eastern Finance and Management, 2020

Purpose-This paper aims to examine whether the Sharīʿah indices outperform the conventional indic... more Purpose-This paper aims to examine whether the Sharīʿah indices outperform the conventional indices as evident from Dhaka Stock Exchange (DSE). To achieve the objective, the study, first, assesses the risk adjusted returns of the Sharīʿah and conventional indices and compares the same between the two indices. Second, it examines the short-run and long-run associations between the two indices. Design/methodology/approach-The DSEX Sharīʿah index and DSE broad index of the DSE are used as representatives of the Sharīʿah and conventional indices, respectively. The study uses monthly data for the period 2014-2018 and applies a number of techniques such as risk adjusted returns, Johansen's cointegration test, vector error correction model, Granger causality test, forecast error variance decomposition and impulse response functions techniques. Findings-The study reveals that albeit there is no significant difference in simple mean between the two indices, the Sharīʿah index outperforms its conventional counterpart based on the risk adjusted returns. The two indices are associated only in the long-run, while no causal relationship is spotted between them. The overall results show that the Sharīʿah index has dominance over the conventional index in Bangladesh. Research limitations/implications-The study could use more pairs of indices, including additional variables such as financial crisis and macroeconomic variables. Practical implications-The study has important implications to investors, especially the religious Muslims and ethical ones, who are suggested to invest their funds in the Sharīʿah index without sacrificing returns, rather be monetarily more benefited. Moreover, the other investors can generate diversification benefits by adding both Sharīʿah and conventional indices in their portfolios in the short-run. Originality/value-Unlike previous studies, this study endeavors to use a comprehensive methodology to conduct its analysis. Moreover, this is supposedly the first ever effort to conduct such a study in the context of Bangladesh.

Indian Economic Review, 2018

This study examines the impact of some selected macroeconomic variables on the performance of the... more This study examines the impact of some selected macroeconomic variables on the performance of the non-life insurance companies of Bangladesh. Here, we consider 32 such companies that are operating in the country. These companies are observed over the period of 7 years (2009-2015) giving rise to 224 panel observations. In our study, we use two performance measures, like return on asset (ROA) and return on equity (ROE) as dependent variables. The explanatory variables are categorized as macroeconomic factors and firm-specific factors. Former includes variable such as inflation rate, GDP growth rate, interest rate, and exchange rate. To measure the firm-specific factors, we use eight proxy variables such as age, size, loss ratio, solvency margin, assets tangibility, liquidity ratio, debt ratio, and management competence index as explanatory variables. The research employs panel data regression methodology to examine the effects of macroeconomic variables on the performance of the aforementioned companies. The regression results of our study suggest that except interest rate, none of the macroeconomic variables has statistically significant influence on the performance of non-life insurance companies. These results, indeed, gainsay with economic theories. On the other hand, the firms' specific factors; e.g., age, sizes, loss ratio, solvency margin, tangibility of assets, and management competence index have statistically significant impact on the performance of the non-life insurance sector of Bangladesh. Thus, the interest rate along with firm-specific factors can be identified as determinants of the performance of the Bangladeshi non-life insurance companies. This analysis obviously provides some noteworthy new information to different stakeholders of the Bangladesh non-life insurance sector.

Indian Economic Review, 2019

This study examines the impact of some selected macroeconomic variables on the performance of the... more This study examines the impact of some selected macroeconomic variables on the performance of the non-life insurance companies of Bangladesh. Here, we consider 32 such companies that are operating in the country. These companies are observed over the period of seven years (2009-15) giving rise to 224 panel observations. In our study, we use two performance measures, like return on asset (ROA) and return on equity (ROE) as dependent variables. The explanatory variables are inflation rate, GDP growth rate, interest rate, and exchange rate. To measure those, we use eight proxy variables such as age, size, loss ratio, solvency margin, assets tangibility, liquidity ratio, debt ratio, and management competence index as explanatory variables. The research employs panel data regression methodology to examine the effects of macroeconomic variables on the performance of the aforementioned companies. The regression results of our study suggest that except interest rate, none of the macroeconomic variables has statistically significant influence on the performance of non-life insurance companies. These results, indeed, gainsay with economic theories. On the other hand, the firms’ specific factors; e.g. age, sizes, loss ratio, solvency margin, tangibility of assets, and management competence index have statistically significant impact on the performance of the non-life insurance sector of Bangladesh. Thus interest rate along with firm specific factors can be identified as determinants of the performance of the Bangladeshi non life insurance companies. This analysis obviously provides some noteworthy new information to different stakeholders of the Bangladesh non-life insurance sector. In particular, the findings of the study are expected to be useful to both domestic and foreign investors to make more rational decisions regarding selection of insurance companies’ stocks for their portfolios at Dhaka stock exchange. Public policy authorities may also use the same results to formulate sound policies to ensure economic growth and stability of the nation.

Asian Economic and Financial Review, 2018

Article History Keywords Agriculture Forward contract Insurance contract Risk management Model. J... more Article History Keywords Agriculture Forward contract Insurance contract Risk management Model. JEL Classification: O13, Q13. The principal aim of the study is to find out a way to effectively manage the agricultural risks like price volatility, weather risks, and fund shortage. To hedge price volatility, farmers sometimes make contracts with agro-traders but fail to protect themselves effectively due to not having the legal framework for such contracts. The study extensively reviews existing literature and find evidence that the majority studies either deal with price volatility or weather risks. If we could address these risks through a single model, it would be more useful to both the farmers and traders. Intrinsically, the authors endeavor in this regard, and the key contribution of this study lies in it. Initially, we conduct a small survey aspiring to identify the shortcomings of existing contracts. Later, we propose a model encompassing forward and insurance contracts together where the forward contract will be used to hedge price volatility and insurance contract will be used to protect weather risks. Contribution/ Originality: The study contributes to the existing literature through proposing an integrated model comprising of forwarding contract and crop insurance which will support both farmers and traders to cope with the agricultural risks like price volatility, weather hazards, and fund shortage.

Mutual funds have evolved over many years and become an imperative tool to the investors, especia... more Mutual funds have evolved over many years and become an imperative tool to the investors, especially small and immature ones. The concept was first used in Netherlands in 1774, but the modern day mutual funds came into existence in 1924, and soon it tended to gain popularity.

Capital market (especially stock market) is the heart of any economy through which the savings ar... more Capital market (especially stock market) is the heart of any economy through which the savings are channelized into effective long-term investments. It plays a pivotal role in contribution to the country's GDP. This is why, sometimes it is called barometer of the economy. A developing country like Bangladesh badly suffers for capital formation, which is the prerequisite for sustainable economic development, where a developed and vibrant capital market can provide a big avenue for capital formation. Although there are two stock markets in Bangladesh, their contribution to the country's GDP in terms of capitalization is only around 25% whereas in Hong Kong is 1090%, in Malaysia 169%, in Thailand 98%, in India 80% and even in Philippine 91% (June, 2014). Thus, comparing to other countries' stock markets, our stock market is still very small. Moreover, our stock market is growing very slowly, but day by day it is becoming an important institution for capital formation. Even though the history of our capital market is very long about 60 years, it has not been flourished properly due to post-independence political instability and capital market turmoil in 1996 and 2010. However, even if it is late, our stock market has already implemented and finally initiated a number of contemporary reforms like; online trading, state of the art surveillance, next generation world leading trading platform, Demutualization, Bangla website, Investment protection fund, new index benchmark by S&P, Shariah index and so on. Among all the recent reforms, the demutualization of stock exchange was the most revolutionary initiative taken by the exchange as it separated ownership (and voting rights) from the right of access to trading which will ensure the transparency and accountability in exchange operation. The same people cannot play the dual roles (as a market player and a regulator) in the market at a time which may cause market manipulation. Thus, it is our honorable finance minister whose unbending attempt made it (demutualization) possible for which he may get a big thank. Some people, particularly members and directors of stock exchange, mentioned earlier that demutualization would not bring any benefit for the exchange at all. We cannot expect immediate benefit from demutualization. It will take time to get the full benefits of demutualization. If all things keep going rightly, I think they will be wrong very soon. However, after demutualization, the exchange has to deal with many challenges, among them making profit is the foremost one as it became profit oriented organization from not for profit oriented and now the exchange has an obligation to provide dividend among its shareholders. Empirically most of the stock exchanges experience positive impact of demutualization on their profit, although some exchanges; e.g. the Philippine Stock Exchange; experienced negative return just after demutualization. At the beginning stage, DSE will not face such

The study begins with surveying the capital structure theories ranging from MM irrelevance to the... more The study begins with surveying the capital structure theories ranging from MM irrelevance to the latest theories. The survey mainly revolves around four recognized theories of capital structure; the trade-off theory, agency costs theory, pecking order theory, and market timing theory. However, the principal objectives of the study are to investigate the empirical evidences of relevant theories and identify the major determinants of capital structure. The survey takes place both in developed as well as developing countries. The results of survey unveil that each theory, in isolation, fails to gain consensus in explaining the capital structure phenomenon. Rather it seems that the theories, in most cases, are complimentary. Even though the two theories; trade-off and pecking order; have surely some supremacy over others, the recent performance of market timing theory puts other theories into challenge. Amid many determinants of capital structure, this study spots six determinants; profitability, assets tangibility, firm's size, agency costs, firm's growth, and market timing as significant ones. But, profitability, agency costs, and market timing are evidently sought to be superior determinants of capital structure choices. Thus, it appears that the capital structure conundrum still remains. H a s a n , M. B. (2 0 1 7). T h e C a p i t a l S t r u c t u r e C o n u n d r u m : R e v i s i t e d i n t h e L i t e r a t u r e. I n t e r n a t i o n a l B u s i n e s s a n d M a n a g e m e n t, 1 4 (2) , 2 9-4 2. Av a i l a b l e f r o m : h t t p : / / w w w. c s c a n a d a. n e t / i n d e x. p h p / i b m / a r t i c l e / v i e w / 9 1 8 8

This study principally analyzes the fund managers' ability to outguess the market in Bangladesh. ... more This study principally analyzes the fund managers' ability to outguess the market in Bangladesh. We perform the investigation on weekly data of 25 mutual funds for the period of May 16, 2010 to April 28, 2016. To serve our objective, we tested both selection and market timing skills of the fund managers. We have used six measures; average return, Sharpe ratio, Treynor ratio, Information ratio, Jensen's alpha and M square; to confirm the selection skill of fund managers and found no selection skill persistent to most of the fund managers (excluding Aims 1st M.F, ICB AMCL 2nd NRB M.F. and 6th ICB M.F.). In addition, the negative values of alpha indicate that fund managers become not only failed to add value to their portfolio, but also pool wrong assets which hurt the return resulting negative profit. On the other hand, we have employed two popular methodologies; Treynor and Mazuy [24] and Henriksson and Merton [10]; to test the market timing skill of fund managers and found no market timing skill persistent to the fund managers. Thus, with a little exception, we can conclude that fund managers have no ability to outguess the market in Bangladesh.

Research and Information Department, DSE., Jan 19, 2016

International Journal of Economics and Finance, Canada, Jan 1, 2015

This paper mainly studies the size and value effect to explain cross-section of expected returns ... more This paper mainly studies the size and value effect to explain cross-section of expected returns in Dhaka Stock Exchange (DSE) in Bangladesh. Using the well-known Fama and French (1993) three-factor methodology in association with descriptive statistics we have evidenced that small size firms along with high book to market (BM) firms tend to produce higher average monthly returns than big firms along with low BM firms do. We also found that the size and value premium as well as market risk premium have very strong power to explain cross-section of expected return in DSE. The validity of three-factor model is also examined in this study and found that the three-factor model is well fitted in DSE with high R square value. One notable observation is that the market risk premium is the only factor which is significant in all portfolios and in all sample data and has dominant power over other factors.

International Journal of Business and Management, Apr 18, 2014

This paper mainly studies the influence of capital structure on firm’s performance. This investig... more This paper mainly studies the influence of capital structure on firm’s performance. This investigation has been
performed on a sample of 36 Bangladeshi firms listed in Dhaka Stock Exchange during the period 2007–2012.
We have used four performance measures; earnings per share (EPS), return on equity (ROE), return of asset
(ROA) and Tobin’s Q; as dependent variables and three capital structure ratios; short-term debt, long-term debt
and total debt ratios; as independent variables. Using pooling panel data regression method, we found that EPS
is significantly positively related to short-term debt while significantly negatively related to long-term debt.
There is significant negative relation between ROA and capital structure. On the other hand, there is no
statistically significant relation exists between capital structure and firm’s performance as measured by ROE and
Tobin’s Q. Nonetheless, aside from the positive relation between EPS and STDTA, we can conclude that capital
structure has negative impact on firm’s performance which is consistent with the proposition of Pecking Order
Theory.

Advances in Economics and Business, Nov 1, 2013

Information affects stock prices, even if it is not truthful. The news piped through the business... more Information affects stock prices, even if it is not truthful. The news piped through the business press may contain deliberately planted misinformation. This study examines the effect of erroneous news and analysis by a leading daily newspaper on the performance of stock returns in the Dhaka Stock Exchange in Bangladesh. The reaction to the false news involves an unsustained jump in stock prices under misguided optimism. We also investigate the scope of legal remedies against false news and stock price manipulation. The responsibility and accountability of the media involved in spreading misinformation is also an issue

Universal Journal of Accounting and Finance, USA., Oct 2013

While there are many factors that influence stock market activity, the main focus of this paper i... more While there are many factors that influence stock market activity, the main focus of this paper is to examine stock market performance under different political leadership in Bangladesh. This study mainly considers two different daily DSE indices' (DSI and DGEN) return and some key market indicators for the sample period

Journal of Academic Research in Economics

Hartal or strike has become a constitutionally recognized weapon for realizing any political dema... more Hartal or strike has become a constitutionally recognized weapon for realizing any political demand in Bangladesh. In spite of sensing very well about the mammoth economic cost attributable to hartal, politicians in Bangladesh are calling hartal repeatedly. This study mainly considers daily DSE General Index (DGEN) return and turnover (TK) for the sample period of to examine the impact hartal on the stock market performance in terms of market return and turnover. Using dummy variable combined with linear regression analysis, we found evidence that hartal has little or no impact on the stock market performance.

International Journal of Management Research and Business Strategy, India, Jul 1, 2013

Demutualization is the current trend among stock exchanges all over the globe. Bangladesh has sta... more Demutualization is the current trend among stock exchanges all over the globe. Bangladesh has started its journey to get her exchanges demutualized in 2011. The purpose of this study is to examine the post-demutualization performance of the stock exchanges and offer some recommendations for stock exchanges in Bangladesh. In our study we examine the performance of three different stock exchanges that have already demutualized: Bursa Malaysia, Hong Kong Stock Exchange and London Stock Exchange. We found evidence that the performance of all the three demutualized exchanges have improved in terms of operational profitability and efficiencies along with governance scale. We have also identified some challenges associated with demutualization.

Officially margin requirements in bourses in Bangladesh were initiated on April 28, 1999, to limi... more Officially margin requirements in bourses in Bangladesh were initiated on April 28, 1999, to limit the amount of credit available for the purpose of buying stocks. The goal of this paper is to measure the impact of changing margin requirement on stock returns' volatility in Dhaka Stock Exchange (DSE). The impact of margin requirement on stock price volatility has been extensively studied with mixed and ambiguous results. Using daily stock returns, we found mixed evidence that SEC's margin requirements have significant impact on market volatility in DSE.

Conference Presentations by Md. Bokhtiar Hasan , PhD

Universal Journal of Accounting and Finance, Oct 20, 2013

Journal of Risk and Financial Management, 2021

International Journal of Islamic and Middle Eastern Finance and Management, 2020

Indian Economic Review, 2018

Indian Economic Review, 2019

This study examines the impact of some selected macroeconomic variables on the performance of the... more This study examines the impact of some selected macroeconomic variables on the performance of the non-life insurance companies of Bangladesh. Here, we consider 32 such companies that are operating in the country. These companies are observed over the period of seven years (2009-15) giving rise to 224 panel observations. In our study, we use two performance measures, like return on asset (ROA) and return on equity (ROE) as dependent variables. The explanatory variables are inflation rate, GDP growth rate, interest rate, and exchange rate. To measure those, we use eight proxy variables such as age, size, loss ratio, solvency margin, assets tangibility, liquidity ratio, debt ratio, and management competence index as explanatory variables. The research employs panel data regression methodology to examine the effects of macroeconomic variables on the performance of the aforementioned companies. The regression results of our study suggest that except interest rate, none of the macroeconomic variables has statistically significant influence on the performance of non-life insurance companies. These results, indeed, gainsay with economic theories. On the other hand, the firms’ specific factors; e.g. age, sizes, loss ratio, solvency margin, tangibility of assets, and management competence index have statistically significant impact on the performance of the non-life insurance sector of Bangladesh. Thus interest rate along with firm specific factors can be identified as determinants of the performance of the Bangladeshi non life insurance companies. This analysis obviously provides some noteworthy new information to different stakeholders of the Bangladesh non-life insurance sector. In particular, the findings of the study are expected to be useful to both domestic and foreign investors to make more rational decisions regarding selection of insurance companies’ stocks for their portfolios at Dhaka stock exchange. Public policy authorities may also use the same results to formulate sound policies to ensure economic growth and stability of the nation.

Asian Economic and Financial Review, 2018

Research and Information Department, DSE., Jan 19, 2016

International Journal of Economics and Finance, Canada, Jan 1, 2015

International Journal of Business and Management, Apr 18, 2014

Advances in Economics and Business, Nov 1, 2013

Universal Journal of Accounting and Finance, USA., Oct 2013

Journal of Academic Research in Economics

International Journal of Management Research and Business Strategy, India, Jul 1, 2013

Universal Journal of Accounting and Finance, Oct 20, 2013