BUSINESS RESEARCH METHODOLOGY
RESEARCH PROPOSAL ON:
“Portfolio Analysis of Commercial Banks Investment on Share Market”
DR. MD. RAFIQUL ISLAM
DEPARTMENT OF BANKING,
FACULTY OF BUSINESS STUDIES,
DEWAN ABDUL KADER ZILANI
EMBA, 09TH BATCH, ROLL: 50609037
DEPARTMENT OF BANKING
FACULTY OF BUSINESS STUDIES
UNIVERSITY OF DHAKA
DATE OF SUBMISSION : March 7, 2011
: Portfolio Analysis of Commercial Banks Investment on Share Market Researcher
: Dewan Abdul Kader Zilani
: Professor Dr. Md. Rafiqul Islam
Background of the Study
This research paper presents the mathematical procedure that is used to determine optimum portfolio for investors. This is a comparative study of four major banks i.e. AB Bank Ltd, Agrani bank Ltd, IFIC bank Ltd, and Janata Bank Ltd. We know that, before Markowitz’s scientific procedure, commonsense guidelines are used by investors. But having a set of efficient portfolio’s by researcher, institutional investor’s decisions are passing through a framework of portfolio analysis. The impact of and consideration of those decisions are addressed by this research paper. We know, As per Bank company act 1991, a bank cannot own shares more than 10 percent of its liabilities. Therefore, recent share market’s turmoil situation and its impact is visualized through portfolio analysis of some commercial banks. Both merchant bank portfolio and direct invest portfolio is taken as input to analysis. Data has been collected through Annual reports. Then various statistical tools have been used accordingly to compile the result.
The paper aims to examine the following specific objectives: I. To compare Market Return Vs Securities Return i,e: Rate of Return statistics. II. To compare of Market Variance & Securities Variance i,e: Risk Statistics III. To figure out Correlation between General Index and some selected Securities
A book titled Security Analysis in 1934 was considered as the first major work in the field of Security Analysis. After that several researcher tried to analyze Portfolio from different perspective.
Markowitz provided analytical tools for the analysis and selection of the optimal portfolio. His work was extended by william Sharpe, John Linter and Jan Mossin through developing Capital Asset Pricing Model (CAPM). Robert S.Hamada (1969) in “Portfolio Analysis, Market equilibrium and Corporate Finance ” derived the three propositions using the standard deviation-mean portfolio model in a market equilibrium context. Eugene F. Fama (1965) in “Portfolio analysis in a Stable Paretian Market” developed a Portfolio Analysis Model using generalized form of a technique proposed by Sharpe. He also shows the range of conditions under which diversification is a meaningful economic activity, even though probability distributions of returns on individual securities have infinite variances. Campbell, Grossman, & Wang,1993; Lo & Wang,2000 relate return on portfolio to trading volume in some recent studies. Robert F. Stambaugh (1966) in “Analyzing Investments whose histories differ in length” shows multivariate methods for investment analysis based on return histories that differ in length across assets. Gordon J. Alexander & Alexandre M. Baptista, 2000 in “ Economic implications of Using a Mean-VaR Model for portfolio selection : A Comparison with Mean variance Analysis.” suggest that the risk exposure of a highly risk-averse agent , as measured by standard deviation , increases as when he decides to use VaR as the relevant measure of risk .
Nature of the Research:
This research can be treated as casual research. Here the correlation between the variables is examined in a relatively controlled environment.
Type of Data
No primary data would be required in this study.
References: I] Kothari CR(2005),’Research Methodology, Methods & Techniques(2nd Edition), New Age International (P) Limited, New Delhi, India.
II] Malhotra NK(2007-2008), ‘Marketing Research (5th Edition)’, Prentice-Hall of India Private Limited, New Delhi, India.
III] Robert S.Hamada (1969), “Portfolio Analysis, Market equilibrium and Corporate Finance”, The Journal of Finance, Vol 24, No 1 (Mar, 1969), pp 13-31
IV] Eugene F. Fama (1965),“Portfolio analysis in a Stable Paretian Market”Management Science , Vol 11, No 3 (1965)
V] C. Gourieroux, J.P.Laurent & O.Scaillet (2000), “Sensitivity analysis at Value at Risk”, Journal of Empirical Finance 7(2000),pp 225-245
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