Identifying Financial States Of Dhaka Stock Exchange Using Index Cohesive Force

• Author(s): Mohammed Nizam Uddin ; Farhana Akhtar ; Ashadun Nobi
• Paper ID: 1700691
• Page: 28-33
• Published Date: 29-05-2018
• Published In: Iconic Research And Engineering Journals
• Publisher: IRE Journals
• e-ISSN: 2456-8880
• Volume/Issue: Volume 1 Issue 11 May-2018

Abstract

We investigated the time series data of Dhaka stock exchange from 2006-2012. The technique of correlation is applied to the return of daily closing prices of 92 stocks making one month time window for each year. The average cross-correlation increases significantly in 2011-2012 indicating the financial crisis of Dhaka stock exchange. However, just before the financial market crash in 2011, the average correlation show the lower values in comparison of our investigation period, can be used as a warning of financial market crash. The index cohesive force (ICF) is calculated and observes that ICF is higher during the periods of 2011-2012 indicating the severe periods of the market. Finally, the variations of correlation entropy with average stock index correlation also identify the financial states of the market. The change of ICF and correlation entropy can identify the financial states and can be used as an indicator of upcoming crisis.

Keywords

Dhaka Stock Exchange, Index Cohesive Force, MATLAB Programming.

Citations

IRE Journals:
Mohammed Nizam Uddin , Farhana Akhtar , Ashadun Nobi "Identifying Financial States Of Dhaka Stock Exchange Using Index Cohesive Force" Iconic Research And Engineering Journals Volume 1 Issue 11 2018 Page 28-33

IEEE:
Mohammed Nizam Uddin , Farhana Akhtar , Ashadun Nobi "Identifying Financial States Of Dhaka Stock Exchange Using Index Cohesive Force" Iconic Research And Engineering Journals, 1(11)