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Article
Publication date: 4 May 2023

Md. Bokhtiar Hasan, Md Mamunur Rashid, Md. Naiem Hossain, Mir Mahmudur Rahman and Md. Ruhul Amin

This research explores the spillovers and portfolio implications for green bonds and environmental, social and governance (ESG) assets in the context of the rapidly expanding…

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Abstract

Purpose

This research explores the spillovers and portfolio implications for green bonds and environmental, social and governance (ESG) assets in the context of the rapidly expanding trend in green finance investments and the need for a green recovery in the post-COVID-19 era.

Design/methodology/approach

This study utilizes Diebold and Yilmaz’s (2014) spillover method and portfolio strategies (hedge ratio, optimal weights and hedging effectiveness) for the data starting from February 29, 2012, to March 14, 2022.

Findings

The study’s findings reveal that the lower volatility spillover is evidenced between the green bonds and ESG stocks during tranquil and turbulent periods (e.g. COVID-19 and Russia-Ukraine War). Furthermore, hedging costs are lower both in normal times and during economic slumps. Investing the bulk of the funds in green bonds makes it possible to achieve maximum hedging effectiveness between the S&P green bond (GB) and the S&P 500 ESG.

Practical implications

Both investors and policymakers may use these findings to make wise investment and policy choices to achieve post-COVID environmental sustainability.

Originality/value

Unlike previous research, this is the first to explore the interconnectedness among the major global and country-specific green bonds and ESG assets. The major findings of this study about the lower volatility spillovers and hedging costs between green bonds and ESG assets during the tranquil and turbulent periods may contribute to the post-COVID investment portfolio for environmental sustainability.

Details

Fulbright Review of Economics and Policy, vol. 3 no. 1
Type: Research Article
ISSN: 2635-0173

Keywords

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Article
Publication date: 27 January 2023

Md. Bokhtiar Hasan, Mustafa Raza Rabbani, Tapan Sarker, Tanzila Akter and Shaikh Masrick Hasan

This study aims to examine the effect of risk disclosure (RD) on commercial banks’ credit rating (CR) in the context of Bangladesh. It also explores the factors influencing RD in…

383

Abstract

Purpose

This study aims to examine the effect of risk disclosure (RD) on commercial banks’ credit rating (CR) in the context of Bangladesh. It also explores the factors influencing RD in both Islamic and conventional banks.

Design/methodology/approach

The sample includes 200 bank-year observations consisting of 20 commercial banks (15 conventional and 5 Islamic banks) from 2010 to 2019. The sample is further segregated into Islamic and conventional banks. Ordered logit and random effect ordinary least square models are used to analyze the data. Furthermore, the two-stage least squares approach is used to perform a robustness test.

Findings

This study shows that RD significantly positively impacts CR, with a stronger effect in Islamic banks than in conventional banks. This study also finds that banks’ age and leverage negatively influence CRs. Moreover, banks’ size and total capital have a positive and negative influence on CRs, respectively. This study also shows that the age of Islamic and conventional banks positively and negatively influences the RD scores, respectively. In contrast, the RD score of conventional banks is positively impacted by bank size.

Practical implications

By examining which variables substantially impact RD and, hence, CR scores, bank stakeholders may make better financing, investment and other policy decisions. Investors may choose stocks with a high level of RD in the annual reports as the earlier studies imply that higher RD enhances CR.

Originality/value

Only a few studies have examined the relationship between RD and CRs, while, to the best of the authors’ knowledge, this study is the maiden attempt in the Bangladesh context. This study also compares the link between Islamic and conventional banks.

Details

International Journal of Islamic and Middle Eastern Finance and Management, vol. 16 no. 5
Type: Research Article
ISSN: 1753-8394

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Article
Publication date: 4 November 2021

Md. Bokhtiar Hasan, M. Kabir Hassan, Md. Mamunur Rashid, Md. Sumon Ali and Md. Naiem Hossain

In this study, the authors evaluate seven calendar anomalies’–the day of the week, weekend, the month of the year, January, the turn of the month (TOM), Ramadan and Eid…

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Abstract

Purpose

In this study, the authors evaluate seven calendar anomalies’–the day of the week, weekend, the month of the year, January, the turn of the month (TOM), Ramadan and Eid festivals–effects in both the conventional and Islamic stock indices of Bangladesh. Also, the authors examine whether these anomalies differ between the two indices.

Design/methodology/approach

The authors select the Dhaka Stock Exchange (DSE) Broad Index (DSEX) and the DSEX Shariah Index (DSES) of the DSE as representatives of the conventional and Islamic stock indices respectively. To carry out the investigation, the authors employ the generalized autoregressive conditional heteroskedasticity (GARCH) typed models from January 25, 2011, to March 25, 2020.

Findings

The study’s results indicate the presence of all these calendar anomalies in either conventional or Islamic indices or both, except for the Ramadan effect. Some significant differences in the anomalies between the two indices (excluding the Ramadan effect) are detected in both return and volatility, with the differences being somewhat more pronounced in volatility. The existence of these calendar anomalies argues against the efficient market hypothesis of the stock markets of Bangladesh.

Practical implications

The study’s results can benefit investors and portfolio managers to comprehend different market anomalies and make investment strategies to beat the market for abnormal gains. Foreign investors can also be benefited from cross-border diversifications with DSE.

Originality/value

To the authors’ knowledge, first the calendar anomalies in the context of both conventional and Islamic stock indices for comparison purposes are evaluated, which is the novel contribution of this study. Unlike previous studies, the authors have explored seven calendar anomalies in the Bangladesh stock market's context with different indices and data sets. Importantly, no study in Bangladesh has analyzed calendar anomalies as comprehensively as the authors’.

Details

Managerial Finance, vol. 48 no. 2
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 7 May 2021

Md. Bokhtiar Hasan, Abu N. M. Wahid, Md. Ruhul Amin and Md. Delowar Hossain

The purpose of this study is to examine the impact of ownership structure such as family, government, institutional, foreign and public on dividend payouts as a representative of…

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Abstract

Purpose

The purpose of this study is to examine the impact of ownership structure such as family, government, institutional, foreign and public on dividend payouts as a representative of dividend policy of nonfinancial firms in Bangladesh.

Design/methodology/approach

This study employs a dynamic panel data model, namely, differenced generalized method of moments (GMM), which follows a two-step process. The study uses annual data of a sample of 159 nonfinancial firms of Dhaka Stock Exchange for the period 2008–2017, which constitutes a panel data of 1,590 firm-year observations.

Findings

This study’s findings reveal that family and public ownerships have a significant and positive effect on dividend payouts, while government and institutional ownerships have a significant but negative effect. This study additionally incorporates some very important controlled variables and finds that except for size, all the selected controlled variables, i.e. lagged-one of dividend payout, returns on assets, debts to assets, price-earnings (PE) ratio, age and financial crisis have a significant effect on the dividend payouts. However, the findings support several dividend-related theories or hypotheses, i.e. agency cost theory, dividend stability theory and reputation hypothesis.

Research limitations/implications

This study could consider some other aspects of corporate governance, as well as other emerging markets and financial institutions to perceive whether the results differ. Also, investigation could be carried out on conventional and Islamic firms individually to observe if the findings are different. However, the researchers are suggested to incorporate these issues in their future studies.

Practical implications

This study offers an important insight into the relationship dynamics between dividend payouts and ownership structure in the context of an emerging market like Bangladesh. Moreover, it enhances the understanding of the ties of dividend payouts with the firm-specific factors as well as the financial crisis. The findings of the present study have also important implications for managers, policymakers and researchers, who are in quest of directions on the dividend policy of publicly listed nonfinancial firms.

Originality/value

Most of the previous studies consider one or two types of ownership to examine the impacts on dividend payouts, while this study uses five types of ownership accompanied by a different data set. Moreover, to the authors’ knowledge, no study in Bangladesh has yet addressed this issue in such a comprehensive manner as theirs.

Details

International Journal of Emerging Markets, vol. 18 no. 3
Type: Research Article
ISSN: 1746-8809

Keywords

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Article
Publication date: 25 August 2020

Md. Bokhtiar Hasan Aarif, Muhammad Rafiqul Islam Rafiq and Abu N.M. Wahid

This paper aims to examine whether the Sharīʿah indices outperform the conventional indices as evident from Dhaka Stock Exchange (DSE). To achieve the objective, the study, first…

293

Abstract

Purpose

This paper aims to examine whether the Sharīʿah indices outperform the conventional indices as evident from Dhaka Stock Exchange (DSE). To achieve the objective, the study, first, assesses the risk adjusted returns of the Sharīʿah and conventional indices and compares the same between the two indices. Second, it examines the short-run and long-run associations between the two indices.

Design/methodology/approach

The DSEX Sharīʿah index and DSE broad index of the DSE are used as representatives of the Sharīʿah and conventional indices, respectively. The study uses monthly data for the period 2014–2018 and applies a number of techniques such as risk adjusted returns, Johansen’s cointegration test, vector error correction model, Granger causality test, forecast error variance decomposition and impulse response functions techniques.

Findings

The study reveals that albeit there is no significant difference in simple mean between the two indices, the Sharīʿah index outperforms its conventional counterpart based on the risk adjusted returns. The two indices are associated only in the long-run, while no causal relationship is spotted between them. The overall results show that the Sharīʿah index has dominance over the conventional index in Bangladesh.

Research limitations/implications

The study could use more pairs of indices, including additional variables such as financial crisis and macroeconomic variables.

Practical implications

The study has important implications to investors, especially the religious Muslims and ethical ones, who are suggested to invest their funds in the Sharīʿah index without sacrificing returns, rather be monetarily more benefited. Moreover, the other investors can generate diversification benefits by adding both Sharīʿah and conventional indices in their portfolios in the short-run.

Originality/value

Unlike previous studies, this study endeavors to use a comprehensive methodology to conduct its analysis. Moreover, this is supposedly the first ever effort to conduct such a study in the context of Bangladesh.

Details

International Journal of Islamic and Middle Eastern Finance and Management, vol. 14 no. 1
Type: Research Article
ISSN: 1753-8394

Keywords

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