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Testing Weak-Form Efficiency of the Dhaka Stock Exchange


Muhammad Zahedur Rahman


Eastern University

Amirus Salat


University of Dhaka

Mohammad Mominul Hoque Bhuiyan


Asian University of Bangladesh

Journal of Business Studies, Vol. 25, No. 2, pp. 175-188, December 2004

Abstract:     
The existence of weak-form efficiency in the Dhaka stock exchange is examined for the period 31/01/1990 - 31/09/2003 using monthly Dhaka Stock Exchange index time series. To assess the predictability of the Dhaka Stock Exchange (DSE) index time series unit root tests are conducted for the null hypothesis of a random walk model. Support is obtained for monthly data only. Unit root tests developed by Dickey and Fuller (1979) and Phillips-Perron test, developed by Phillips and Perron (1988) are applied to DSE index time series. The results support the hypothesis that DSE index time series contains a unit root, which means that there is an existence of weak-form of efficiency in the DSE.

Keywords: Weak-form efficiency, EMH, Random Walk Model, Unit Root

JEL Classification: C22, G14, G15

Accepted Paper Series


Date posted: July 6, 2007  

Suggested Citation

Rahman, Muhammad Zahedur, Salat, Amirus and Bhuiyan, Mohammad Mominul Hoque, Testing Weak-Form Efficiency of the Dhaka Stock Exchange. Available at SSRN: http://ssrn.com/abstract=997748

Contact Information

Muhammad Zahedur Rahman (Contact Author)
Eastern University ( email )
H # 15/2, R # 3, Dhanmondi R/A,
Dhaka, 1205
Bangladesh
88-02-9676031 (Phone)
88-02-9675981 (Fax)
HOME PAGE: http://www.easternuni.edu.bd
Amirus Salat
University of Dhaka ( email )
Bangladesh
Mohammad Mominul Hoque Bhuiyan
Asian University of Bangladesh ( email )
Bangladesh
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