Testing Weak-Form Efficiency of the Dhaka Stock Exchange
Muhammad Zahedur Rahman
University of Dhaka
Mohammad Mominul Hoque Bhuiyan
Asian University of Bangladesh
Journal of Business Studies, Vol. 25, No. 2, pp. 175-188, December 2004
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, G15Accepted Paper Series
Date posted: July 6, 2007
© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo1 in 0.359 seconds