Testing Weak-Form Efficiency of the Dhaka Stock Exchange

Journal of Business Studies, Vol. 25, No. 2, pp. 175-188, December 2004

Posted: 6 Jul 2007  

Muhammad Zahedur Rahman

Eastern University

Amirus Salat

University of Dhaka

Mohammad Mominul Hoque Bhuiyan

Asian University of Bangladesh

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

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: https://ssrn.com/abstract=997748

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

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