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8/20/2019 Relationship Between Exchange Rate and Stock Market Index(the Case of Bangladesh)
1/21
STOCK MARKET INDEX AND EXCHANGE RATE: THE
CASE OF BANGLADESH
AN INTERNSHIP REPORT SUBMITTED TO
THE DEPARTMENT OF BUSINESS ADIMINISTRATION
OF
INTERNATIONAL ISLAMIC UNIVERSITY CHITTAGONG,
DHAKA CAMPUS
BY
MD. TANVIR AHMED
IN PARTIAL FULFILLMENT OF THE REQUIREMENTS
FOR
THE DEGREE OF BACHELOR OF BUSINESS ADMINISTRATION
IN
FINANCE AND BANKING
JUNE 2012
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STOCK MARKET INDEX AND EXCHANGE RATE: THE
CASE OF BANGLADESH
An Int!n"#$% R%&!t S'()$tt* t& t# D%+!t)nt & B'"$n""
A*)$n$"t!+t$&n & Int!n+t$&n+- I"-+)$ Un$/!"$t C#$tt+&n, D#++
C+)%'" $n P+!t$+- F'-$--)nt & t# R3'$!)nt" &! t# D! &
B+#-&! & B'"$n"" A*)$n$"t!+t$&n $n F$n+n +n* B+n$n.
S'%!/$"* B
M*. 4+#+n$! A-+)
A""$"t+nt P!&""&! & F$n+n
S'()$tt* B
M*. T+n/$! A#)*
ID5 (062062
J'n, 2012
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LETTER OF TRANSMITTAL
M*. 4+#+n$! A-+)
A""$"t+nt P!&""&! & F$n+n
Int!n"#$% S'%!/$"&!
D%+!t)nt & B'"$n"" +*)$n$"t!+t$&n
Int!n+t$&n+- I"-+)$ Un$/!"$t C#$tt+&n
D#++ C+)%'"
Subject: Letter of Tran!"tta#
D+! S$!,
It $" ) !+t %-+"'! t& "'()$t ) Int!n"#$% R%&!t +" + %+!t & ) BBA %!&!+) t& &' t#+t I
+) +""$n* t& %!%+! 'n*! &'! *$!t "'%!/$"$&n &n t# t&%$ nt$t-* 7Stoc$ Mar$et In%e&
an% E&c'an(e Rate: T'e Cae of Ban(#a%e'8. I +) &!t'n+t n&'# t#+t I t +n 9%!$n*
+n* $$nt %!&""$&n+- t+) $n t# A-:A!++# I"-+)$ B+n L$)$t*, K&n+%+!+ B!+n#. I &(t+$n
t# &%%&!t'n$t t& ;&! ;$t# t#) +t *$!nt "t$&n" & t# "+$* B+n.
I t! ) -/- ("t t& "#&; ) "$--, ;#$# $" +#$/* ( t#! )&nt#", %!+t$+- 9%!$n
t#!&'# t#$" !%&!t. F$n+--, I ;&'-* -$ t& +""'! t#+t I !)+$n "t+n*( &! +n -+!$$+t$&n,
9%-+n+t$&n +" +n* ;#n !3'$!*.
T#+n &' $n +*/+n &! &'! $n* &&%!+t$&n $n t#$" !+!*.
S$n!- &'!",
ID? (062062
BBA P!&!+)
D%+!t)nt & B'"$n"" A*)$n$"t!+t$&n
Int!n+t$&n+- I"-+)$ Un$/!"$t C#$tt+&n
D#++ C+)%'"
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LETTER OF ENDORSEMENT
T# Int!n"#$% R%&!t nt$t-* E9#+n St& M+!t In*9 +n* E9#+n R+t? T# C+" &
B+n-+*"# $" "'()$tt* t& t# O$ & D%+!t)nt & B'"$n"" A*)$n$"t!+t$&n, $n %+!t$+-
'-$--)nt & t# !3'$!)nt" &! t# *! & B+#-&! & B'"$n"" A*)$n$"t!+t$&n, M+@&! $n
F$n+n +n* B+n$n, F+'-t & B'"$n"" St'*$" ( M%) Tan*"r a'!e%+ ID , b-./-./) T#
!%&!t )+ ( +%t* +n* )+ ( %!"nt* t& t# Int!n"#$% Dn" B&+!* &! /+-'+t$&n.
8/20/2019 Relationship Between Exchange Rate and Stock Market Index(the Case of Bangladesh)
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ST3DENT4S DECLARATION
I #!( *-+! t#+t +-- $n&!)+t$&n $n t#$" *&')nt #+" (n &(t+$n* +n* %!"nt* $n
+&!*+n ;$t# ++*)$ !'-" +n* t#$+- &n*'t. I +-"& *-+! t#+t, +" !3'$!* ( t#"
!'-" +n* &n*'t, I #+/ '-- $t* +n* !!n* +-- )+t!$+- +n* !"'-t" t#+t +! n&t &!$$n+- t&
t#$" ;&!.
ID 5 (062062
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ACKNO5LEDGEMENT
I would like to express my gratitude to my distinguished supervisor; Mr. Md.
Zahangir Alam, Assistant Professor of Finane, !epartment of "usiness
Administration, International Islami #niversity $hittagong, !haka $ampus, whose
ordial supervision and guidelines ena%le me to omplete my internship report
properly.
I am also grateful to the &xeutives of Al'Arafah Islami "ank (imited, )onapara
"ranh; my family mem%ers; and well'wishers who give all sorts of support during
my study period.
8/20/2019 Relationship Between Exchange Rate and Stock Market Index(the Case of Bangladesh)
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Tab#e of ContentE&ecut"*e u!!er6)))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))"
Intro%uct"on))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))) 7
Int!&*'t$&n..................................................................................................................................... .....1.1
F+"$($-$t & t# St'*.....................................................................................................................1.2
O(@t$/" & t# "t'*...............................................................................................................1.=
O't-$n & t# !%&!t..........................................................................................................................1.
L"terature re*"e8)))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))/
B!$ -$t!+t'! "'!/........................................................................................................................... 2.1
T'eoret"ca# Fra!e8or$)))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))9
Met'o%o#o(6 of t'e tu%6))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))
R"+!# *"$n.................................................................................................................................... .1
S+)%-$n........................................................................................................................................... .2
D+t+ &--t$&n %!&*'!"..............................................................................................................=
D+t+ +n+-"$" %!&*'!" ...................................................................................................................
reu#t)))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))));
F"n%"n( an% ana#6")))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))) <
P!"nt+t$&n +n* *$"'""$&n & $n*$n"................................................................................................ .1
conc#ut"on))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))))) =
S'))+! & t# "t'* +n* $n*$n".................................................................................................1 R&))n*+t$&n" $n t# -$#t & $n*$n"............................................................................................2
L$)$t+t$&n & "t'*.............................................................................................................................=
EXEC3TI>E S3MMAR?
8/20/2019 Relationship Between Exchange Rate and Stock Market Index(the Case of Bangladesh)
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It $" /$*n* !&) t# 7&&*" )+!t t#&!8 +n* 7%&!t&-$& (+-+n +%%!&+#8 t#+t t#
"t& $n*9 +n* t# E9#+n R+t *t!)$n +# &t#!. T#$" "t'* t!$" t& +n+- t# *n+)$
!-+t$&n"#$% (t;n "t& )+!t $n*9 +n* 9#+n !+t $n t# B+n-+*"#$ &n&). '"
R!""$&n +n+-"$" t& $n* t# !-+t$&n"#$% (t;n 9#+n !+t +n* "t& )+!t $n*9. DSE
n!+- %!$ $n*9 & D#++ St& E9#+n $" '"* +" + *%n*+nt /+!$+(-. N& "$n$$+nt
!-+t$&n"#$% $" &'n* (t;n t# "t& $n*9 +n* 9#+n !+t. It $" n&;n t#+t )$!&&n&)$
+t&! ;&! +" ""t)+t$ !$" +t&! &! t# +""t %!$$n. A+$n )&"t & t# $n/"t&!" +!
$n-$n* t& n&; ;#t#! 9#+n !+t #+" +n $n-'n &/! "t& %!$ $n*9 &! n&t. D$!nt
&n!n +'t#&!$t$" !+!*$n "t& %!$ $n*9 +n* 9#+n !+t ;$-- t +n $n"$#t !&) t#$"
%+%! &! t#$! !"%t$/ ;&!.
8/20/2019 Relationship Between Exchange Rate and Stock Market Index(the Case of Bangladesh)
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CHA@TER ONE: INTROD3CTION
1.1 Int!&*'t$&n?
T# !nt -$(!+-$+t$&n & &!$n +%$t+- &nt!&-" +n* +*&%t$&n & -&+t$n 9#+n !+t
!$) $n B+n-+*"# #+/ ;$*n* t# "&% & "t'*$n t# !-+t$&n"#$% (t;n 9#+n
!+t" +n* "t& %!$". L$(!+-$+t$&n & &!$n +%$t+- &nt!&-" #+" &%n* t# %&""$($-$t &
$nt!n+t$&n+- $n/"t)nt +n* t# +*&%t$&n & -&+t$n 9#+n !+t !$) #+" $n!+"* t#
/&-+t$-$t & &!$n 9#+n )+!t. T#'" *tt$n t# +""&$+t$&n (t;n "t& %!$" +n*
9#+n !+t" #+" (&) !'$+- &! t# ++*)$$+n", %!+t$t$&n!" +n* %&-$ )+!". T#$"
)%$!$+- %+%! n+!!&;" *&;n $t" &'" &n t# *n+)$ t" & 9#+n !+t #+n" &n t#
&/!+-- "t& )+!t !t'!n" $n B+n-+*"#.
R-+t$&n"#$% (t;n "t& !t'!n" +n* &!$n 9#+n !+t" #+" !3'nt- (n 't$-$* $n
%!*$t$n t# 't'! t!n*" &! +# &t#! ( $n/"t&!". M&!&/!, t# &nt$n'$n $n!+"" $n t#
;&!-* t!+* +n* +%$t+- )&/)nt" #+/ )+* t# 9#+n !+t" +" &n & t# )+$n
*t!)$n+nt" & ('"$n"" %!&$t+($-$t +n* 3'$t %!$" . E9#+n !+t #+n"
*$!t- $n-'n t# $nt!n+t$&n+- &)%t$t$/n"" & $!)", $/n t#$! $)%+t &n $n%'t +n*
&'t%'t %!$
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+%%!&+# $nt& &n &n&)$ /+!$+(-, t# 9#+n !+t, +n* &$n t& "t'* t#+t ;+t#! t#
9#+n !+t #+" t# $n-'n &n "t& %!$ $n*9.
T# $n/"t&! $" +-;+" n t& n&; +(&'t t# +""&$+t$&n (t;n 9#+n !+t +n* "t& %!$
$n*9 +n* ;+t#! t# %!*$t+(- &n t# (+"$" & t# /+-' & &t#! /+!$+(-. A+$n &/!n)nt
$" $n-$n* t& n&; ;#t#! &!$n 9#+n !+t #+" "$n$$+nt +t &n t# "t& )+!t
$n*9 &! n&t. T# +'t#&!$t$" !+!*$n 9#+n !+t )+!t +n* "t& )+!t ;$-- t +n $n"$#t
!&) t#$" %+%! &! t#$! !"%t$/ ;&!".
1.= O(@t$/" & t# St'*?
E9#+n !+t" #+/ (&) !'$+- &! t# ++*)$$+n", %!+t$t$&n!" +n* %&-$ )+!" +n*
t# $)%&!t+n & "t& )+!t $" n&;n t& +--. T# &(@t$/" & t#$" %+%! +! t& $n* &'t?1. T# +""&$+t$&n (t;n "t& )+!t $n*9 +n* 9#+n !+t
2. +t#! t# %!*$t+(- &n t# (+"$" & t# /+-' & &t#! /+!$+(- .
1. O't-$n & t# R%&!t?
C#+%t! &n $" +n $nt!&*'t$&n #+%t! ;#! +n $nt!&*'t$&n $" )+* +(&'t &'! &'nt!"
9#+n !+t +n* "t& )+!t $n*9. In #+%t! t;& + (!$ -$t!+t'! "'!/ #+" (n )+*
;#! )+n & t# !"+!#!" !"+!# ;&! +! *"!$( $n (!$. C#+%t! t#! $/" '" +)&*- ( ;#$# &'! )+t#)+t$+- +n+-"$" #+" &n*'t*. In #+%t! &'! t# )t#&*&-& &
t# "t'* +! *"!$( +(&'t #&; t# *+t+ $" &--t*, +(&'t ;#$# +!" *+t+ $" t+n, !"+!#
*"$n t. #+%t! $/ $" t# !"'-t & t# )t#&*&-&. C#+%t! "$9 $" ;#+t ; $n* $n &'! ;&!
+n* $n #+%t! "/n, t# &n-'"$&n #+%t!, "&) !&))n*+t$&n +n* "&) -$)$t+t$&n & t#$"
"t'*$" $" $/n.
CHA@TER T5O: LITERAT3RE RE>IE5
2.1 B!$ L$t!+t'! S'!/
T# 9$"tn & + !-+t$&n"#$% (t;n "t& %!$" +n* 9#+n !+t #+" !$/* &n"$*!+(-
+ttnt$&n. E+!- "t'*$" $n t#$" +!+ &n"$*!*
&n- t# &!!-+t$&n (t;n t# t;& /+!$+(-":9#+n !+t" +n* "t& !t'!n". T#&!
8/20/2019 Relationship Between Exchange Rate and Stock Market Index(the Case of Bangladesh)
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!-+t$&n" $n t# )!$n &n&)$". T# 9%-+$n* t# *$!nt !"'-t" ( t# *$!n" $n
t# "t!'t'! +n* #+!+t!$"t$" & $n+n$+- )+!t" (t;n t#" !&'%". M&!- +n*
Pnt&"t &n*'t* + "t'* &n G: &'nt!$", $n+-- "t+t$n t#+t t# !+"&n &! t# -+
& "t!&n !-+t$&n"#$%" (t;n 9#+n !+t" +n* "t& %!$" )+ ( *' t& t# 9#+n
&nt!&-" t#+t ;! $n t $n t# 160". S$)$-+!-, N$# +n* L $n 2001 9+)$n* t#
!-+t$&n"#$% (t;n "t& %!$" +n* 9#+n !+t" &! G: &'nt!$" &! t# %!$&* !&)
Ot&(! 1, 1= t& F(!'+! 1, 1.T# -+$)* n& -&n:!'n 3'$-$(!$') !-+t$&n"#$% &!
+# G: &'nt!$". #$- &n *+" "#&!t:!'n "$n$$+nt !-+t$&n"#$% #+" (n &'n* $n !t+$n
G: &'nt!$", t#! $" n& "$n$$+nt &!!-+t$&n $n t# Un$t* St+t". T#" !"'-t" )$#t (
9%-+$n* ( +# &'nt!" *$!n" $n &n&)$ "t+, &/!n)nt %&-$, 9%t+t$&n
%+tt!n, t. In 200=, K$) "#&;* t#+t SP" &))&n "t& %!$ $" n+t$/- !-+t* t& t#
9#+n !+t. C&nt)%&!+!$-, S)t# +n* N+n*#+ "t'*$* t# !-+t$&n"#$% &! P+$"t+n, In*$+,
B+n-+*"# +n* S!$ L+n+ &/! t# %!$&* 1:2001 +n* %!&/* n& -&n !'n !-+t$&n"#$%
(t;n /+!$+(-". Un$*$!t$&n+- +'"+-$t ;+" "n !'nn$n !&) 9#+n !+t" t& "t& %!$"
&! &n- In*$+ +n* S!$ L+n+. A-"&, I(!+#$) +n* A$ +n+-* *n+)$ -$n+" (t;n t#
/+!$+(-" &! M+-+"$+, '"$n )&nt#- *+t+ &/! t# %!$&* 1:16 +n* t#$! !"'-t" "#&;*
t#+t 9#+n !+t $" n+t$/- +""&$+t* ;$t# t# "t& %!$". R"'-t" t#+t +) !&) G&!*&n
G'%t+ $n 200= +n* B+(' +n* P!+(#"# $n 200 -+$)* ($*$!t$&n+- +'"+-$t "t+t$n t#+t
&!$n $n/"t&!" #+/ t# +($-$t & %-+$n -$ )+!t )+!" $/n t#$! /&-') &
$n/"t)nt".
A+$n $n 200, G!$$n "t+t* &!$n -&;" +! "$n$$+nt %!*$t&! & !t'!n" $n T#+$-+n*, In*$+,
K&!+, T+$;+n +n* $n 200, D&&n t +-. "#&;* t#+t t#" $n+n$+- /+!$+(-" +! n&t
&$nt!+t*. B$*$!t$&n+- +'"+-$t &'-* ( *tt* $n In*&n"$+, K&!+, M+-+"$+ +n*
T#+$-+n* +n* "$n$$+nt- n+t$/ !-+t$&n (t;n t# "t& !t'!n" +n* t# &nt)%&!+n&'"
#+n $n t# 9#+n !+t" &! +-- &'nt!$" 9%t T#+$-+n*.O+$! +n* V&*$n+
;&!* ;$t# US *+t+. #$- O+$! %!&/* n& +'"+- -$n+ +n* n& C&$nt!+t$&n (t;n t#"
t;& $n+n$+- /+!$+(-", t# -+tt! -+$)* +'"+-$t !&) -+!:+% "t&" t& 9#+n !+t".
K'!$#+!+ t+" J+%+n" "t& %!$", U.S. "t& %!$", 9#+n !+t, J+%+n" $nt!"t
!+t t.. T# !"'-t" "#&;* t#+t 9#+n !+t +n* U.S.
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"t& %!$" +t* J+%+n" "t& %!$". C&n"3'nt-, t# 3'+nt$t+t$/ +"$n %&-$
$)%-)nt* $n 2001 #+" $n-'n* J+%+n" "t& %!$".
P+n t +-. )%-&* *+t+ & "/n E+"t A"$+n &'nt!$" &/! t# %!$&* 166 t& 16,
%!&/$n ($*$!t$&n+- +'"+- !-+t$&n &! H&n K&n (&! t# 1 A"$+n !$"" +n*
'n$*$!t$&n+- +'"+- !-+t$&n !&) 9#+n !+t" +n* "t& %!$" &! J+%+n, M+-+"$+, +n*
T#+$-+n* +n* !&) "t& %!$" t& 9#+n !+t &! K&!+ +n* S$n+%&!. D'!$n t# A"$+n
!$"", &n- + +'"+- !-+t$&n !&) 9#+n !+t" t& "t& %!$" $" "n &! +-- &'nt!$" 9%t
M+-+"$+. C&nt)%&!+!$-, E!(++- +n* O'+n "t'*$* 1= */-&%$n &n&)$", '"$n
*$!nt t$) %!$&*" +n* $n*$+t* +'"+-$t !-+t$&n" &! $#t &n&)$":'n$*$!t$&n+- !&)
"t& %!$ t& 9#+n !+t" $n t# $/ & t#) +n* ($*$!t$&n+- &! t# !)+$n$n t#!. N&
+'"+-$t ;+" *tt* $n T'! t# !+"&n & *$!n )+ ( t# t$) %!$&* '"*. H&;/!,
S/'t$n +n* N+!-n-! &'n* ($*$!t$&n+- +'"+-$t (t;n t# t;& $n+n$+-
/+!$+(-" $n T'!, '"$n )&nt#- *+t+ !&) 16 t& 200.A+$n, T+"#$ "#&;*
'n$*$!t$&n+- +'"+-$t !&) "t& !t'!n" t& FII -&;", $!!-/+nt & t# "+)%- %!$&* $n In*$+
;#! +" t# !/!" +'"+-$t ;&!" &n- %&"t 200=.
T& "'))+!$, /n t#&'# t# t#&!t$+- 9%-+n+t$&n )+ ") &(/$&'" +t t$)", )%$!$+-
!"'-t" #+/ +-;+" (n )$9* +n* 9$"t$n -$t!+t'! $" $n&n-'"$/ &n t# $""' & +'"+-$t.
T#$" %+%! +tt)%t" t& $n/"t$+t $nt& t# +'"+- !-+t$&n"#$% (t;n t# t;& /+!$+(-". T#
%!$&* & t# "t'* #+" (n t+n !&) J+n'+! 1=:D)(! 200.; ;$-- t! t& $n* +n*
+n+- t# +'"+- !-+t$&n"#$% (t;n t#" t;& /+!$+(- ;$t#$n t#+t t$).
H%&t#""
T#! $" + "$n$$+nt !-+t$&n"#$% (t;n t# 9#+n !+t +n* "t& )+!t !t'!n $n &nt9t& B+n-+*"#.
CHA@TER THREE: THEORETICAL FRAME5ORK
T#&!t$+- F!+);&!
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CHA@TER FO3R: METHODOLOG? OF THE ST3D?
.1 R"+!# *"$n
In t#$" !"+!#, !-+t$&n"#$% #+" (n "+!#* ;$t# *%n*nt /+!$+(- +n* $n*%n*nt/+!$+(-". C&&%!, +n* S#$n*-! "t+t*, 7R"+!# t#+t "t'*$" t# !-+t$&n"#$% (t;nt;& &! )&! /+!$+(-" $" +-"& !!!* t& +" + &!!-+t$&n "t'*.8 In t#$" %+%!, t# *%n*nt
/+!$+(- $" "t& )+!t !t'!n. T# $n*%n*nt /+!$+(-" +! 9#+n !+t.
.2 S+)%-$n
T# "+)%-$n %!$&* &! t# %+%! ($n" !&) J+n'+! 1= t& n*" $nD)(! 200.
.= D+t+ &--t$&n %!&*'!
E9#+n !+t" +! &--t* !&) t# )&nt#- !%&!t n+)* 7E&n&)$ t!n*"8 ;#$# $" %'(-$"#* ( t# B+n-+*"# B+n. T# DSE +-- n!+- "#+! %!$ $n*9 $" &--t* !&) t#+!#$/ & t# D#++ St& E9#+n ;(%+.
. D+t+ +n+-"$" %!&*'! "+)%-
T& +n+- t# *+t+, /+!$&'" "t+t$"t$+- t&&-" +! '"*. M+n, "t+n*+!* */$+t$&n, )+9$)'),)$n$)'), !+%#" +! '"* t& #+/ +n* $*+ & t# n!+- %!&$- & t# /+!$+(-". T& n&; t#9tnt & +""&$+t$&n +)&n *$!nt /+!$+(-", S%+!)+n !+n &$$nt & &!!-+t$&n $" '"*.F&! t"t$n t# "$n$$+n & &!!-+t$&n &$$nt, t# "t'*nt" t:t"t $" '"*.
T& $n* &'t t# -$n+! !-+t$&n"#$%, M'-t$%- R!""$&n +n+-"$" $" &n*'t*. C#+;-+, +n*S!$n$/+"+n "t'*$* t# !-+t$&n"#$% (t;n t# "'!$t %!$" +n* t;& )+@&! )&nt+!/+!$+(-", /$, )&n "'%%- +n* $nt!"t !+t ( '"$n )'-t$%- -$n+! !!""$&n t#n$3'.
It $" !'*$n +*)$tt+n !&) t# !"+!#!" t#+t +'t&&!!-+t$&n $" &'n* $n t$) "!$" *+t+.D&'#!t "t+t*, 7A't&&!!-+t$&n n&!)+-- &'!" &n- $n !!""$&n +n+-"$" '"$nt$) "!$" *+t+.8 A+$n G'@!+t$ &n""" t#+t t$) "!$" *+t+ +n +-"& "'! !&) t##t!&"*+"t$$t %!&(-). At$n*#&', +n* G'- )+* !"+!# &n C+n+*$+n "t&
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!t'!n t& $n* &'t t# $n-'n & 9#+n !+t &n C+n+*$+n (+n "t& !t'!n. T# t"t*+'t&&!!-+t$&n +n* #t!&"*+"t$$t +n* !)&/ t#" %!&(-). In t#$" %+%! !"'-t" +! %!"nt* +t! !)&/$n t# %!&(-) & +'t&&!!-+t$&n +n* #t!&"*+"t$$t. T# "$n$$+n& t# &$$nt & 9%-+n+t&! /+!$+(-" +! t"t* ( &)%'t$n t# "t'*nt t:"t+t$"t$". T&*t!)$n t# %!&%&!t$&n & 9%-+$n* /+!$+t$&n $n t# *%n*nt /+!$+(-, &$$nt & )'-t$%-
*t!)$n+t$&n < $" ;&!* &'t.
T# "t+t$"t$+- %++ St+t+SE 6 $" '"* t& +n+- t# +(&/ t#n$3'"
CHA@TER FI>E: RES3LT
CHA@TER SIX: FINDINGS AND ANAL?SIS
.1 P!"nt+t$&n +n* D$"'""$&n & F$n*$n"
T# #%&t#"$" t#+t E9#+n !+t #+/ "$n$$+nt !-+t$&n"#$% ;$t# "t& )+!t !t'!n #+"
"t!&n $nt'$t$/ +%%+- ('t +-)&"t n& )%$!$+- "'%%&!t $n &'! &n&). T#&'# P+!, +n*R&- &'n* t# !-+t$&n"#$% (t;n t# #+n $n )&n "'%%-, #+n $n $n*9 &
%!&*'t$&n +n* $n-+t$&n !+t ;$t# t# )+!t !t'!n $n t# U. S E&n&). B't $n +" &
B+n-+*"#, $t *&" n&t )+t# ;$t# E9#+n !+t +n* M+!t $n*9. In B+n-+*"# n&
"$n$$+nt !-+t$&n"#$% $" &'n*. A+$n At$n*#&', +n* G'- &'n* t#+t "t& !t'!n"
;! !-+t* ;$t# $nt!"t !+t +n* 9#+n !+t $n C+n+*$+n E&n&). In &'! &n&) t#$"
*&" n&t #+%%n. B't +t! !)&/$n t# %!&(-) & #t!&"*+"t$$t, t# $nt!"t !+t $" !-+t*
;$t# t# )+!t !t'!n +t t# 10 "$n$$+nt -/- ;#$# ;+" +-"& &'n* $n t# C+n+*$+n
&n&) +t! !)&/$n t# %!&(-) & #t!&"*+"t$$t $n t# !"+!# & At$n*#&', +n*
G'- .
CHA@TER SE>EN: CONCL3SION
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.1 S'))! & t# "t'* +n* $n*$n"
T#$" !"+!# %+%! !/+-" t#+t t#! $" +-)&"t n& "$n$$+nt !-+t$&n"#$% (t;n t# )+!&&n&)$ +t&!" +n* "t& )+!t !t'!n $n &'! &n&). F't'! !"+!# +n ( *&n t& $n*&'t t# !-+t$&n"#$% +)&n t# 9%t+t$&n+- *+t+ +n* "t& )+!t %!$. A+$n &t#! )&*-"-$ GARCH )&*-, EGARCH )&*-, -&+!$t#&)$ )'-t$%- !!""$&n )&*- +n ( '"* &!
)&! -&$+- $n*$n" t#+n t# %!"nt &n. T#$" %+%! $" -$)$t* t& $n* &'t t# !-+t$&n"#$% & )+!&&n&)$ +t&!" ;$t# D#++ St& E9#+n $n*9. R-+t$&n"#$% +n ( "+!#* ;$t#t# C#$tt+&n St& E9#+n $n*9.
.2 R&))n*+t$&n" $n t# -$#t & t# $n*$n"
Un*!"t+n*$n t# !-+t$/ $n-'n & t# )+!&&n&)$ +t&!" &n )+!t !t'!n $" #-%'-
&! &/!n)nt, $n/"t)nt +n+-"$", ++*)$$+n" +n* $n/"t&!".
1> It $" %$/&t+- *'t & t# &/!n)nt t& n'!t'! t# "t& )+!t t& +-!+t t#
$n*'"t!$+-$+t$&n %!&"". T# #+/ t& t+ t# $"+- +n* )&nt+! %&-$ "& t#+t t# "t&
)+!t $" n&t ($n +t* +(!'%t-. S& n&;-* & )+!& +t&!", !-+t$&n"#$% ;$t# t#
)+!t !t'!n, ;$-- +$* t#) t& +*&%t &&* &n&)$ %&-$.
2> T# $n/"t)nt +n+-"t" +n +"$- 'n*!"t+n* $n ;#$# *$!t$&n t# "t& )+!t $" &$n
t+ + )&/ ( &("!/$n t# )+!& +t&!" ;#$# #+/ !-+t$&n"#$% ;$t# t# )+!t $n*9. S&
t#$! *$"$&n ;$-- ( )&! +-'-+t$/.
=> T# ++*)$$+n" ;$-- +$n t# !+- +t +(&'t t# "t& )+!t $n*9. In t#$" ;+ t#
+n $n* &'t t# )$")+t# & t# !+- +t ;$t# t# t#&! ;#$# ;$-- /nt'+-- -+* t#) t&
)+ + 't'! !"+!# t& 'n+!t# t# t!'t#.
> In*$/$*'+- $n/"t&!" #+/ /! )'# -$tt- n&;-* +(&'t t# "t& )+!t. I t#
n&; t# !-+t$&n"#$% ;$t# t# E9#+n !+t +n* )+!t $n*9, t# +n +"$- )+ +n
*'+t* '"" & t# 't'! $n/"t)nt ( &("!/$n t# E9#+n !+t ;#$# /nt'+--
!*'" t#$! !$".
.= L$)$t+t$&n" & t# St'*
T#$" "t'* *&" n&t t!+n"n* t# (&'n*+! & -$)$t+t$&n". T# -$)$t+t$&n" ;#$# )$#t !*'t# !-$+($-$t & t#$" %+%! $" ;!$ttn (-&;?
1> R"+!#!" '" $n t#$! !"+!# + "$)%- (+"t & 10 )+@&! '!!n$" 3'+-- ;$#t*, $nt!)" & &n &!$n '!!n t& t# US *&--+!. In t#$" "t'*, $t $" n&t %&""$(- t& '" t# &!$n
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'!!n (+"t. S'# $n* & '!!n (+"t &! +-- t# n""+! '!!n $" n&t +/+$-+(- !&)t# t$) n** &! t#$" %+%!.2>
In t#$" !"+!#, &n- !-+t$&n"#$% & &n )+!& +t&! ;$t# )+!t $n*9 $" "+!#*. T#!+! -&t" & &t#! +t&!" ;#$# +nn&t $n&!%&!+t $n t#$" )&*- ;#$# )$#t #+/ &&*!-+t$&n"#$% ;$t# t# )+!t $n*9.
=>
It $" &'n* t#+t %!/$&'" !"+!#!" #+/ &n*'t* t#$! !"+!# (+"* &n ;- *+t+. In&'! &'nt!, ;- *+t+ $" n&t +/+$-+(-. T# ;- *+t+ & t# )+!t $n*9 $" +/+$-+(-. B't$n*%n*nt /+!$+(-" ;- (+"$" *+t+ $" n&t +/+$-+(-. T#+t $" ;# Q'+!t!- *+t+ $" '"* $nt#$" !"+!#.
LIST OF REFERENCE
A+!;+-, R. . E9#+n !+t" +n* "t& %!$"? A "t'* & t# US +%$t+- )+!t" 'n*! -&+t$n9#+n !+t". Akron Business and Economic Review, 12, :12.A@+$, R. A., M&'&', M. . On t# *n+)$ !-+t$&n (t;n "t& %!$" +n* E9#+n R+t".
Journal of Financial Research, 1 , 1=:20.A@+$., R. A., F!$*)+n, J., M#*$+n, S. M. . On t# !-+t$&n"#$% (t;n "t& !t'!n" +n* 9#+n!+t"? T"t & !+n! +'"+-$t. Global Finance Journal, , 21:21.B+(', M. S., P!+(#"#, K. . C+'"+- R-+t$&n"#$%" (t;n F&!$n In"t$t't$&n+- In/"t)nt" +n* "t&!t'!n" $n In*$+. International Journal of Trade and Global arkets, V&-. 1 N&. =2006 , 2:2.B+#)+n$:O"&&, M., A.S!+($+n. . St& P!$" +n* t# Et$/ E9#+n R+t & t# D&--+!.
A!!lied Economics, 2 , .C.K.M+, K+&, G. . . On E9#+n R+t C#+n" +n* St& P!$ R+t$&n". Journal of Business
Finance " Accounting, 1 , 1:.B+#)+n$ O"&&, M. S!+($+n, A. . St& P!$" +n* t# t$/ 9#+n !+t & t# *&--+!. A!!lied
Economics, .2, :B#+tt+#+!+, B. M'#!@, J. . C+'"+- !-+t$&n"#$% (t;n "t& )+!t +n* 9#+n !+t. &!$n9#+n !"!/" +n* /+-' & t!+* (+-+n? A +" "t'* &! In*$+. P+%! %!"nt* +t t# F$t# Ann'+-C&n!n &n M&n +n* F$n+n $n t# In*$+n E&n&), J+n'+! 200=.C#+!+(+!t$, R. . FII F-&;" t& In*$+? N+t'! +n* C+'"". one# and Finance, V&-. 2 I""' ,Ot:D .C#&', Y. L. . $tatistical Anal#sts% L&n*&n? H&-t R$n#+!t +n* $n"t&n.D$, D. A., F'--!, . A. . L$-$#&&* R+t$& St+t$"t$" &! A't&!!""$/ T$) S!$" ;$t# + Un$tR&&t. Econometrica, , 10:102.D&&n, S.:C., Y+n, S.:Y., +n, A. T. . T# E)!$n R-+t$&n"#$% +n* P!$$n & St&" +n*E9#+n R+t"? E)%$!$+- E/$*n !&) A"$+n E)!$n M+!t". Journal of American Academ# of Business,&ambridge, , , 116:12=.En*!", . . A!!lied Economic Time $eries% N; Y&!? $-.En-, R. F., G!+n!, C. . . C&:$nt!+t$&n +n* !!&!:&!!t$&n? R%!"nt+t$&n, "t$)+t$&n +n*
t"t$n. Econometrica, , 212.E!(++-, E., O'+n, H. A. . H$"" Sn*$ F$+t-+! $- D/$ K'!' $-$$"$?G-$)t O-+n --!!$n A)%$!$ B$! U'-+)+. B''( Bankac)l)k ve Finansal *i#asalar 'ergisi, 1, :6.G&!*&n, J., G'%t+, P. . P&!t&-$& F-&;" $nt& In*$+? D& D&)"t$ F'n*+)nt+-" M+tt! IF +orking
*a!er umber, P0=02, 21:22.G!$$n, J. M., N+!*+!$, F., St'-, R. M. . D+$- !&"":(&!*! 3'$t -&;"?P'"#* &! %'--* Review of
Economics and $tatistics, /&-. 6, 1:.G'@+!+t$, D. N. . Basic Econometrics. MG!+; H$--, In*$+.I(!+#$), M., A$, M. . M+!&&n&)$ /+!$+(-" +n* t# M+-+"$+n 3'$t )+!t? A !&--$n t#!&'#
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APPENDICES? L$"t & +((!/$+t$&n, "&) t+(- %!&*'* ( '"$n "&t;+!