Weak-Form Market Efficiency of Dhaka Stock Exchange (DSE), Bangladesh
24 Pages Posted: 25 Aug 2009
Date Written: August 24, 2009
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.
Keywords: efficient market hypothesis, Dhaka Stock Exchange, random walk model, volatility clustering
JEL Classification: G14, N25, G34
Suggested Citation: Suggested Citation