“Is Dhaka Stock Exchange (DSE) efficient in weak form after introducing new indices from 2013?”
92 Pages Posted: 18 Feb 2021
Date Written: July 01, 2020
Testing the Efficient Market Hypothesis (EMH) is considered one of the center points of modern financial economics. This research seeks to test the weak-form market efficiency of the Dhaka Stock Exchange (DSE) after the introduction of new indices from 2013 using DSE Broad Index (DSEX), DSE Shariah Index (DSES) and DSE selected 30 Index (DS30). Besides the primary objective of testing whether the Dhaka Stock Exchange (DSE) market shows efficiency in weak form or not i.e. market follows a random walk model or not after the introduction of new indices from 2013, this paper also widens its analysis on to test the impact of institutional factors in analyzing the volatility in the market and in exploring the relationship between risk and return.
Keywords: Efficient Market Hypothesis, Random Walk Theory, Kolmogrov-Smirnov goodness of fit test, Ljung - Box test, Augmented Dickey-Fuller test, Variance-Ratio test, Auto Regressive Moving Average method, Generalized Auto regressive Conditional Heteroskedasticity method
JEL Classification: C01, C12, C15, C22, C51, C52, C53, C58, C87, G14
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