Journal of Commerce and Accounting Research

Shuvashish Roy ¹, Arindam Das ²

Affiliations
1 K. B Group of Industries, Bokshigonj, Jamalpur, Mymensingh, BD
2 Department of Commerce, The University of Burdwan, Golapbag, Burdwan, West Bengal, IN

Abstract

The main objective of our study is to analyze the financial performance of select scheduled banks (namely, the state-owned commercial banks, private commercial banks and foreign commercial banks) in Bangladesh during the period 2000-2013 with the help of TOPSIS (i.e., Technique for Order Preference by Similarity to an Ideal Solution). In the context of banking sector in Bangladesh, the broad classification of ratios/indicators has been done with the help of the methodology of Bangladesh Institute of Bank Management [Bank-Reviews, (2012-2013)]. After computing all category wise ratios/indicators (i.e., profitability and efficiency ratios, size and growth indicators, strength and soundness ratios and asset quality ratios) for all the select nineteen banks during the study period, the weights of the selected ratios/indicators have been calculated with the help of Shannon entropy method. Composite index values of the select banks have been determined on the basis of TOPSIS and from major findings of the present research work it can be concluded that the profitability, efficiency, strength and soundness, size and growth and asset quality positions of foreign commercial banks and private commercial banks are better than those of state-owned commercial banks.

Keywords

Financial Performance, Shannon Entropy, TOPSIS.

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Rajib Bhattacharya ¹, Arindam Das ², Shuvashish Roy ³

Affiliations
1 Associate Professor, Globsyn Business School, Kolkata, West Bengal,, IN
2 Professor, Department of Commerce, The University of Burdwan, Golapbag, Burdwan, West Bengal, IN
3 Financial Advisor, Hazrat Khajar Bashir Unani Ayurvedic Medical College & Hospital Foundation, Jamalpur, BD

Abstract

Cryptocurrencies have recently emerged as a popular asset class, with investors having high risk appetite and speculative attributes. They are not backed by physical assets, such as commodities or real currencies; they are purely speculative assets having high volatility. Regulatory authorities across the globe have conflicting rules regarding cryptocurrencies. Recent studies on volatility of cryptocurrencies have primarily addressed univariate volatility analysis and volatility spillover between cryptocurrencies and other asset classes, mostly stocks and commodities. This study has three objectives. Firstly, it considers six prominent cryptocurrencies, i.e., Bitcoin, Ethereum, Binance Coin, Cardano, Tether, and Ripple, and examines the nature of asymmetrical volatility in them using EGARCH and TGARCH techniques. Secondly, it examines whether there are volatility spillovers between the cryptocurrencies as well as from one of the most popular global fear indices, i.e., CBOE volatility index, using dynamic conditional correlation (DCC). Thirdly, it further measures the total and directional volatility spillover among the cryptocurrencies using the Diebold-Yilmaz index. This study has found that Ethereum and Ripple may be used to construct a portfolio. There exists long-term volatility spillover among all the cryptocurrencies; however, there is no short-term spillover of volatility. Volatility of Binance Coin, Cardano, and Ripple influence and are influenced the most by volatilities of other cryptocurrencies.

Keywords

Cryptocurrency, Volatility Spillover, EGARCH, TGARCH, Dynamic Conditional Correlation (DCC), Diebold-Yilmaz Index

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