International Journal of Science and Research (IJSR)

International Journal of Science and Research (IJSR)
Call for Papers | Fully Refereed | Open Access | Double Blind Peer Reviewed

ISSN: 2319-7064

Downloads: 128 | Views: 233

Research Paper | Financial Engineering | Bangladesh | Volume 2 Issue 12, December 2013 | Rating: 6.7 / 10

Testing on Weak Form Market Efficiency Hypothesis: The Evidence from Dhaka Stock Market Year 2004-2012

Md. Abdus Salam [2]

Abstract: The purpose of this study is to test The Weak Form Efficient Market Hypothesis in Dhakas Stock Market. The study examined the distribution of equity returns by dividing the sample period into two sub periods of daily DSE General Index (DGEN) and sub periods are sample-1 (2004-2007), and sample-2 (2008-2012). Also, monthly general index starting from 1990 to 2012 are taken as sample to test the Random walk model (RWM) and market efficiency. The sample included total 1099 daily observations for sample-1, 1189 for sample-2 and 20 for each month return. Return distributions are studied by comparing the descriptive statistics of the Dhaka Stock Exchange Index (DGEN). The five conventional ways: Descriptive statistics, Kolmogrov Smirnov goodness of fit test (K-S test) autocorrelation, run test and Technical trading rules are used to prove the evidences of weak form market efficiency. The result shows only the tests of weak-form efficiency. By applying Descriptive statistics, Kolmogrov Smirnov goodness of fit test (K-S test) autocorrelation and Technical trading rules tests provides that daily return of Dhaka stock market is not weak form efficient and strongly rejects the null hypothesis. The run test of monthly return of Dhaka Stock market accepts the Null hypothesis significantly and shows efficient at weak form.

Keywords: Efficient market, Random walk model, Autocorrelation, Run test, Dhaka stock exchange

Edition: Volume 2 Issue 12, December 2013,

Pages: 371 - 377

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