Weak-Form Market Efficiency of Dhaka Stock Exchange (DSE), Bangladesh

24 Pages Posted: 25 Aug 2009

See all articles by A. T. Mollik

A. T. Mollik

Faculty of Business & Government, UC

Md. Khokan Bepari

Central Queensland University, School of Commerce and Law

Date Written: August 24, 2009

Abstract

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

Mollik, Abu Taher and Bepari, Md. Khokan, Weak-Form Market Efficiency of Dhaka Stock Exchange (DSE), Bangladesh (August 24, 2009). 22nd Australasian Finance and Banking Conference 2009. Available at SSRN: https://ssrn.com/abstract=1460536 or http://dx.doi.org/10.2139/ssrn.1460536

Abu Taher Mollik

Faculty of Business & Government, UC ( email )

6C 26
Canberra, Bruce Campus, ACT 2617
Australia
+61 2 6201 2019 (Phone)
+61 2 62015238 (Fax)

Md. Khokan Bepari (Contact Author)

Central Queensland University, School of Commerce and Law ( email )

PO Box 197
North Rockhampton, QLD 4701
Australia
+610402917968 (Phone)

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