Please enter verification code
Relevance of Net Asset Value (NAV) in Determining the Volatility of Stock Returns: A Study on Dhaka Stock Exchange
International Journal of Finance and Banking Research
Volume 2, Issue 1, February 2016, Pages: 7-12
Received: Jan. 21, 2016; Accepted: Jan. 25, 2016; Published: Feb. 4, 2016
Views 5014      Downloads 173
Md Saiful Islam, Department of Business Administration, German University Bangladesh, Gazipur, Bangladesh
Md Lutfor Rahman, Department of Business Administration, Northern University Bangladesh, Dhaka, Bangladesh
Article Tools
Follow on us
This research paper investigates the relevance of NAV per share in influencing the volatility of share prices. Standard deviation has been considered as the measurement scale of volatility. Besides NAV, the other variables considered include P/E ratio, face value and market lot size. Using 92 companies for the period between 2000 to 2009, this research found NAV per share has significant impact in determining the market volatility. Unlike what happened in the Dhaka Stock Exchange during the years between 2006-2010, changes in the face value and the market lot size should not have any impact in determining the market volatility.
NAV, Market Lot Size, Share Face Value, Stock Market Volatility, DSE
To cite this article
Md Saiful Islam, Md Lutfor Rahman, Relevance of Net Asset Value (NAV) in Determining the Volatility of Stock Returns: A Study on Dhaka Stock Exchange, International Journal of Finance and Banking Research. Vol. 2, No. 1, 2016, pp. 7-12. doi: 10.11648/j.ijfbr.20160201.12
Copyright © 2016 Authors retain the copyright of this article.
This article is an open access article distributed under the Creative Commons Attribution License ( which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Aggarwal, R., Inclan, C., and Leal, R, (1999), "Volatility in Emerging Stock Markets", Journal of Financial and Quantitative Analysis, Vol. 34, 33-55.
Aggarwal, R. and P. Rivoli, (1990), “Fads in the Initial Public Offering Market?” Financial Management, 19, 45–57.
Batra, A, (2004), "Stock Return Volatility Persistence in India: 1973-2003", Working Paper, ICRIER, New Delhi, India.
Baillie, R. and Degennaro, R, (1990), "Stock Return and Volatility", Journal of Financial and Quantitative Analysis, Vol. 25, 203-214.
Barua, S. and M. H. Rahman (2006), “Monetary Policy and Capital Market Development in Bangladesh”, Bangladesh Bank Quarterly, Vol. IV, No. 2.
Bekaert, G., Harvey, C. and Lundblad, C. (2005), Did financial liberalization spur economic growth? Journal of Financial Economics 77, 3–55.
Bessler, D. A., and J. Yang (2003), “The structure of interdependence in international stock markets”, Journal of International Money and Finance 22, 261–287.
Bollerslev, T., (1986), “Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, Vol. 72, 307-327.
Bollerslev, T., Chou, R. Y., and Kroner, K. F., (1992), "ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence", Journal of Econometrics, Vol. 52, 5-59.
Brandt, M. W. and Kang, Q., (2003) “On the Relationship between the Conditional Mean and Volatility of Stock Returns: A latent VAR Approach”, Working Paper, University of Pennsylvania.
Chowdhury, A. R. (1994), “Statistical Properties of Daily Return from the Dhaka Stock Exchange”, Bangladesh Development Studies, Vol. XXII, No. 4.
Claessens, S., Dasgupta, S., and Glen, J., (1993) "Stock Price Behaviour in Emerging Stock Market," in Stijin Claessens and Sudarshan Gooptu, (eds.), Portfolio Investment in Developing Countries, World Bank Discussions Paper, 228, Washington, D. C.
Campbell, J. Y., Lo, A. W., and Mackinlay, A. C., (1997), The Econometrics of Financial Markets, Princeton.
Chou, R. Y., (1998), "Volatility Persistence and Stock Valuations: Some Empirical Evidence using GARCH", Journal of Applied Econometrics, Vol. 3, 279-294.
Choudhury, T., (1994), "Stock Markets Volatility and the crash of 1987: Evidence from Six Emerging. Markets", Journal of International Money and Finance, Vol. 1.5, 969-981.
Cohen K., Ness, W., Okuda, H., Schwartz, R., and Whitcomb, D., (1976), "The Determinants of Common Stock Returns Volatility: An international Comparison," Journal of Finance, Vol. 31, 733-740.
Edwards, F. (1998), “Does Futures Trading Increase Stock Market Volatility?” Financial Analysts Journal, January/February 1998.
Engle, R. F., (1982), "Autoregressive Conditional Heteroskedasticity with Estimates of UK Inflation", Econometrics, Vol. 50, 987-1008.
Engle, R. F., and Bollerslev, T., (1986), "Modeling the Persistence of Conditional Variances", Econometric Reviews, Vol. 5, 81-87.
Ferson, W., and Harvey, C. (1993), “The risk and predictability of international equity returns,” Review of Financial Studies 6, 527–566.
French, K. R, Schwert, W. G., and Stambugh, R. F., (1987), "Expected Stock Return and Volatility", Journal of Financial Economics, Vol. 19, 3-29.
Habib, M. A. and Ljungqvist, A. P. (2001) Underpricing and entrepreneurial wealth losses in IPOs, Review of Financial Studies 14, 433–458.
Glosten, L. R., Jagannathan, R., and Runkle, D. E., (1993), "On the Relation between the Expected Value and Volatility of the Nominal Excess Returns on Stocks", The Journal of Finance, Vol. 48, 1779-1801.
Haque, M., and Hassan, M. K., "Stability, Predictability and Volatility of Latin American Emerging Markets", University of Orleans, Working Paper, 2000.
Harvey, C. R., "Portfolio Enhancement using Emerging Markets and Conditioning Information", in Stijn Classens and Shan Gooptu, Eds., Portfolio Investment in Developing Countries (Washington: The World Bank Discussion Series, 1993, 110-144.
Harvey, C. R., "The Cross-section of Volatility and Auto-correlation in Emerging Markets", Finanzmarkt und portfolio Management, Vol. 9, 1995a, 12-34.
Harvey, C. R., "Predictable Risk and Return in Emerging Markets", The Review of Financial Studies, Vol. 8, 1995b, 773-816.
Harvey, C. R., "The Specification pf Conditional Expectations", Journal of Empirical Finance, Vol. 8(5), 2001, 573-637.
Imam, A. O. and A. S. M. M. Amin (2003), “Volatility in the Stock Return: Evidence from Dhaka Stock Exchange”, Journal of Institute of Bankers Bangladesh, Vol. 51, No. 1.
Jain, R. K. (2001), Putting Volatility to Work, ACTIVE TRADERS, April 2001.
Kanniainen, J. (2007), “On Dividend Expectations and Stock Return Volatility”, International Research Journal of Finance and Economics, Issue 12.
Karolyi, G. A. (2001), Why Stock Return Volatility Really Matters, Preliminary and incomplete version, February 2001.
Khalily, M. A. Baqui. et. al. (2003), “Capital Market Development in Bangladesh: Need For More Macro-Economic and Financial Policy Interventions”, Journal of Institute of Bankers Bangladesh, Vol. 50, No. 2.
Li, K., (2002), "Long-memory versus Option-Implied Volatility Prediction", Journal of Derivatives, Vol. 9(3), 9-25.
Mollah, A. S., Mobarek, A., (2007),. "Does Stock Market Volatility Differ Across Counties? Evidence from Fifty International Markets", Melbourne, Australia.
Rahman, M. L. Nahar, N. and Mostafa, S. G. (2010a), “Holiday Effect on Stock Returns in Dhaka Stock Exchange (DSE)-an Empirical Investigation”, Proceeding of the International Conference on Business Competencies in a Changing Global Environment 2010. Global Business Management Forum (GBMF), USA and Southeast University Bangladesh.
Rahman, M. L., Nurun, N. and Mollah, F. A. (2010b), “Day-of-the-Week Effect: Evidence from Dhaka Stock Exchange under Six-Days-a-Week trading.” Proceedings of the International Conference on Knowledge Globalization 2010, ISBN: 978-984-33-1691-2, Suffolk University, USA, Knowledge Globalization Institute, USA and North South University Bangladesh.
Schwert, G. W. and R. Stambaugh (1987), “Expected Stock Returns and Volatility”, Journal of Financial Economics, No. 19.
Shahiduzzaman, M. and M. S. Naser (2006), “Volatility in the Overnight Money-Market Rate in Bangladesh: Recent Experiences”, Bangladesh Bank Quarterly, Vol. IV, No. 2.
Science Publishing Group
1 Rockefeller Plaza,
10th and 11th Floors,
New York, NY 10020
Tel: (001)347-983-5186