Identifying Spillover Effect & Bubble in Bangladeshi Asset Markets: An Analysis of Stock Market and Real Estate

Sisili Rahman, Biplab Das and Tazrina Farah
Additional contact information
Sisili Rahman: Department of Business Administration, University of Asia Pacific, Bangladesh,
Biplab Das: Venture Investment Partners, Bangladesh,
Tazrina Farah: Finance, University of Dhaka, Bangladesh

International Journal of Economics and Financial Issues, 2018, vol. 8, issue 6, 76-83

Abstract: This paper seeks to identify the spillover effect of remittance and private sector credit disbursement, on the capital market and real estate of Bangladesh during the period of 2003-2013. The paper applied Vector Auto regression and Cholesky Factorization to construct spillover index through covariance matrix. The remittance and private sector credit were taken as input variables where market capitalization and real estate sector contribution to GDP were taken as outputs. The model tried to identify asset bubbles using calculated index scores. Both of the asset classes showed getting similar degree of influence by the inputs as their Return spillovers were around 40% and volatility spillovers were around 25%. The score for capital market indicated a bubble and the subsequent crash of 2010-11. As similar scenario was seen in case of real estate, it suggests that real estate too was experiencing a bubble which might lead to a crash soon.

Keywords: Asset Bubble; Spillover Index; Vector Auto Regression; Stock Market; Real Estate (search for similar items in EconPapers)
JEL-codes: G1 G15 G17 G29 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econjournals.com/index.php/ijefi/article/download/7037/pdf (application/pdf)
https://www.econjournals.com/index.php/ijefi/article/view/7037/pdf (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2018-06-11

Access Statistics for this article

International Journal of Economics and Financial Issues is currently edited by Ilhan Ozturk

More articles in International Journal of Economics and Financial Issues from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().