The stock market is considered essential for economic growth and expected to contribute to improved productivity. An efficient pricing mechanism of the stock market can be a driving force for channeling savings into profitable investments and thus facilitating optimal allocation of capital. This study investigated the technical efficiency of selected groups of companies of Bangladesh Stock Market that is the Dhaka Stock Exchange (DSE) market, using the stochastic frontier production function approach. For this, the authors considered the Cobb-Douglas Stochastic frontier in which the technical inefficiency effects are defined by a model with two distributional assumptions. Truncated normal and half-normal distributions were used in the model and both time-variant and time-invariant inefficiency effects were estimated. The results reveal that technical efficiency decreased gradually over the reference period and that truncated normal distribution is preferable to half-normal distribution for technical inefficiency effects. The value of technical efficiency was high for the investment group and low for the bank group, as compared with other groups in the DSE market for both distributions in time-varying environment whereas it was high for the investment group but low for the ceramic group as compared with other groups in the DSE market for both distributions in time-invariant situation.
In this paper, we present a method to estimate the market parameters modelled by an asymmetric jump diffusion process. The method proposed is based on Kou's jump diffusion model while the market parameters refer to the market drift, the market volatility, the jump intensity on market price, and the rate of jump occurrence in a consistent manner throughout the entire paper. The model captures the asymmetric nature of the price fluctuation during up trend markets and down trend markets. The results are compared to conventional options to observe the impact of jump effects. The results from simulation show that the asymmetric jump diffusion model can estimate the fair prices of European call options and annuity better than the Black-Scholes model and the symmetric jump diffusion model proposed by Kou and Merton.
We examine the evidence from the long-run abnormal returns using data for 76 health care and biopharmaceutical initial public offerings (IPOs) listed in a 29-year period between 1986 and 2014 in the Association of Southeast Asian Nations (ASEAN) countries such as Indonesia, Malaysia, Singapore, Thailand, the Philippines, Vietnam, Myanmar, and Laos. Based on the event-time approach, the 3-year stock returns of the IPOs are investigated using cumulative abnormal return (CAR) and buy-and-hold abnormal return (BHAR). As a robustness check, the calendar-time approach, related to the market model as well as Fama-French and Carhart models, was applied for verifying long-run abnormal returns. We found evidence that the health care IPOs overperform in the long-run, irrespective of the alternative benchmarks and methods. In addition, when we divide our sample into 5 groups by listing countries, our results show that the health care stock prices of the Singaporean firms behaved differently from those of most of the other firms in ASEAN. The Singaporean IPOs are characterized by a worse post-offering performance, whereas the IPOs of Malaysian and Thai health care companies performed better in the long-run.
The Sub-Saharan Africa (SSA) is far lag behind the sustainable targets that set out in the United Nation's Sustainable Development Goals (SDGs), which is highly needed to embark the priorities by their member countries to devise sustainable policies for accessing clean technologies, energy demand, finance, and food production to mitigate high-mass carbon emissions and conserve environmental agenda in the national policy agenda. The study evaluated United Nation's SDGs for environmental conservation and emission reduction in the panel of 35 selected SSA countries, during a period of 1995-2016. The study further analyzed the variable's relationship in inter-temporal forecasting framework for the next 10 years' time period, i.e., 2017-2026. The parameter estimates for the two models, i.e., CO2 model and PM2.5 models are analyzed by Generalized Method of Moment (GMM) estimator that handle possible endogeneity issue from the given models. The results rejected the inverted U-shaped Environmental Kuznets Curve (EKC) for CO2 emissions, while it supported for PM2.5 emissions with a turning point of US$5540 GDP per capita in constant 2010 US$. The results supported the "pollution haven hypothesis" for CO2 emissions, while this hypothesis is not verified for PM2.5 emissions. The major detrimental factors are technologies, FDI inflows, and food deficit that largely increase carbon emissions in a panel of SSA countries. The IPAT hypothesis is not verified in both the emissions; however, population density will largely influenced CO2 emissions in the next 10 years' time period. The PM2.5 emissions will largely be influenced by high per capita income, followed by trade openness, and technologies, over a time horizon. Thus, the United Nation's sustainable development agenda is highly influenced by socio-economic and environmental factors that need sound action plans by their member countries to coordinate and collaborate with each other and work for Africa's green growth agenda.
Matched MeSH terms: Investments/statistics & numerical data