Abstract

http://ssrn.com/abstract=997748
 
 

Citations



 


 



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


Not Available For Download

Date posted: July 6, 2007  

Suggested Citation

Rahman, Muhammad Zahedur and 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
Feedback to SSRN


Paper statistics
Abstract Views: 904

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.265 seconds