An Empirical Study: Weak form of Efficiency test on Dhaka Stock Exchange (DSE) Based on Random Walk Hypothesis Model
Journal Title: IOSR Journal of Economics and Finance (IOSR-JEF) - Year 2018, Vol 9, Issue 6
Abstract
This paper investigates the market efficiency in weak form by employing RWH model on returns taken from the daily, weekly, and monthly data of DSE indices, DS30 and DSEX, which were introduced in the beginning of 2013. The time series analysis is conducted based on five years (approximate) of time period with above 1300 observations in total. After initial descriptive statistics test (Jarque Bera), return series found to be not normally distributed, hence, non-parametric testing method is used. According to Unit root test (Phillips and Perron) data has unit root, which suggests that return series are stationary in nature. The paper concluded that DSE data does not follow a random walk. Meaning, market is not efficient in weak form. Therefore, it can be said that investors functioning in DSE can make above average return by using investment strategies and DSE market do not reflect the rational and appropriate price of the stocks.
Authors and Affiliations
Ahmed Raihan Sadat
Keywords
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- EP ID EP430426
- DOI 10.9790/5933-0906035763.
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