Predicting the Stock Market Efficiency in Weak Form: A Study on Dhaka Stock Exchange

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dc.contributor.authorPervez, Masud
dc.contributor.authorRashid, Md. Harun Ur
dc.contributor.authorChowdhury, Md. Asad Iqbal
dc.contributor.authorRahaman, Mahbubur
dc.date.accessioned2019-07-20T03:57:12Z
dc.date.available2019-07-20T03:57:12Z
dc.date.issued2018
dc.description.abstractThis study aims to examine the efficiency of Dhaka Stock Exchange (DSE) in the weak form using random walk model of Efficient Market Hypothesis (EMH) based on daily return series. The study applies both non-parametric (Kolmogorov–Smirnov test with Lilliefors coefficient, run test) and parametric test (autocorrelation test, unit root test and variance ratio test) on DSE general index, DSE broad index (DSEX) and DSE30 index ranging from June 1, 2004, to March 18, 2018. The results of the study show that the normality test and unit root test reject the null hypothesis of randomness while the result of the run test shows that only the share prices of DSE30 index follow the random walk out of three indices. Besides, the return series of DSE broad index show some signs in favour of randomness by autocorrelation test and the returns of DSE general index support the efficiency concerning variance ratio test under both homoscedastic and heteroskedastic assumptions. The overall results of the study show inefficiency of DSE in the weak form which means the investor has a chance to make an abnormal profit predicting the historical data. This study also provides valuable insight to the shareholders, investors, the board of directors and regulatory bodies.en_US
dc.identifier.citationVolume 8 Issue 5; 2018; Page: 88-95en_US
dc.identifier.issn21464138
dc.identifier.urihttp://dspace.iiuc.ac.bd:8080/xmlui/handle/88203/1533
dc.language.isoenen_US
dc.publisherEconJournalsen_US
dc.subjectStock Marketen_US
dc.subjectWeak Form Efficiencyen_US
dc.subjectStock market efficiencyen_US
dc.subjectDhaka Stock Exchangeen_US
dc.subjectEfficient Market Hypothesisen_US
dc.titlePredicting the Stock Market Efficiency in Weak Form: A Study on Dhaka Stock Exchangeen_US
dc.typeArticleen_US

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