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Weak-form market efficiency of Dhaka Stock Exchange (DSE), Bangladesh

conference contribution
posted on 2017-12-06, 00:00 authored by Abu Mollik, Md Khokan Bepari
This paper examines the weak-form efficiency in Dhaka Stock Exchange (DSE) of Bangladesh adjusting for thin trading problem. Both non-parametric tests and parametric tests are used. The data sets consist of daily DSE General Index (DSE-GEN) and DSE 20 Index for the period ranging from January 1, 2002 to December 31, 2007. The results of the study reveal that DSE return series are not normally distributed. Both the return series are stationary and do not follow a random walk. Overall, the study rejects the weak form efficiency of DSE

History

Parent Title

22nd Australasian Finance and Banking Conference 2009, Shangri-La Hotel, Sydney, organised by Australian School of Business, UNSW, December 16 - 18.

Start Page

1

End Page

24

Number of Pages

24

Start Date

2009-01-01

Location

Sydney, NSW

Publisher

SSRN

Place of Publication

U.S.A.

Full Text URL

Peer Reviewed

  • Yes

Open Access

  • No

External Author Affiliations

Faculty of Arts, Business, Informatics and Education; La Trobe University; Not affiliated to a Research Institute;

Era Eligible

  • Yes

Name of Conference

Australasian Finance and Banking Conference

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    Categories

    Keywords

    Efficient market hypothesisDhaka Stock ExchangeRandom walk modelWeak form of efficiencyReturn autocorrelationFinanceFinancial Econometrics

    Licence

    CQUniversity General 1.0

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