Abstract-This paper is an investigation of the comovement in the form of return and volatility spillover across financial market participants of Bangladesh. This study uses daily price data of commercial banks, non-bank financial institutions (NBFI), and insurance companies traded in the Dhaka Stock Exchange (DSE) for the period spanning 2009 to 2016. Bayesian Vector Autoregressive (VAR) model has been used in the conditional mean equations of EGARCH and GJR-GARCH models have been used to test the return spillover effects whereas lagged squared residuals and lagged conditional variances have been used as variance regressors in conditional variance equations to test the spillover effects of historical volatility and innovations transmitting in the form of shock to other participants operating in the same market. Bayesian VAR output reveals a highly significant bi-directional return spillover between bank-insurance pair and also between NBFIs-insurance pair. However, return spillover between commercial banks and NBFIs is unidirectional; only bank returns are affecting returns from NBFIs. Conditional volatility of NBFIs exhibit a highly significant asymmetric effect implying that bad news increases volatility of NBFIs to a greater degree than good news. Both GJR-GARCH and EGARCH output reveal bidirectional volatility spillover in the form of historical volatility and innovations among commercial banks, NBFIs and insurance companies.Index Terms-Bayesian VAR, E-GARCH, GJR-GARCH, return spillover, volatility spillover, DSE.

The 1980s have seen a great increase in the number of failed savings and loan institutions. In order to pment such failures, it would be helpful if regulators have an early warning model. Such a model should be able to flag potential failed firms t o prevent failure. In this paper, a robust multivariate proc e d u~ is u d to successfully identify potentially failed firms well ahead of an actual failure date. Subject A m -Banking and Finance and StoliFticcrl lkhMua

While economic exposure is an important issue for the management of a multinational financial system, few models have been developed to measure this risk. The major challenge to measuring economic exposure is the interdependence of affiliate performances vis‐a‐vis changes in currency values. In this paper, a model has been developed that not only measures the sensitivity of the value of the firm to changes in currency values, but also recognizes the interdependence among the affiliates. The model takes a global view of the problem and also leads to guidelines for managing economic exposure. While the discussion focuses on geographically diversified multinational companies, the content of the paper is equally applicable to domestic companies.

We have examined the right offers made between January 2010 to October 2012 by companies listed on the Dhaka Stock Exchange and tested the speed of adjustment of market price of the issuers to the right issues. The analysis leads to the conclusion that the adjustment is not immediate, the market price is about 10-11 percent higher than the right adjusted price on the average and the difference is statistically significant. It takes about 15 days for the market price to reach a stage where the difference between the market price and right adjusted price is no longer statistically significant. This delay in adjustment can actually lead to a profitable strategy for investors in which the investor holds the stock till record date and then sells the stocks at the first opportunity after the record date.

If a firm's profitability is affected by inefficient working capital practices, it is logical to assume that an adjustment of working capital will improve profitability. In particular, small and medium-sized businesses in the least developed countries (LDCs) and the new economies of Europe suffer from long delays relating to the payment of dues which threaten their survival. When the policies and practices are reasonably efficient, tweaking practices is not expected to be very beneficial. We should observe benefits from adjusting working capital practices for those companies that are clearly outside the norm in the industry. A major part of working capital management is receivables management and collection. In this study, we examine the data on receivables from Bangladesh from 2000 to 2017 to see if companies with inefficient working capital levels benefit from adjusting toward the norm, which is a new way of examining the benefits of adjustment. Specific actions and reactions will depend on the situation. Any adjustments that management make to fine-tune working capital management are unlikely to produce much value unless the underlying circumstances are taken into account. A new firm with a compelling case of quality and competitive strength may be more successful in managing a successful low average collection period (ACP) operating structure, and keeping the ACP low is strongly advised.