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

2009 ◽  
Author(s):  
A. T. Mollik ◽  
Md. Khokan Bepari
Keyword(s):  
Market Efficiency ◽  
Stock Exchange ◽  
Weak Form

scholarly journals Weak form market efficiency test of Bangladesh Stock Exchange: an empirical evidence from Dhaka Stock Exchange and Chittagong Stock Exchange

2019 ◽  
Vol 21 (3) ◽  
pp. 285
Author(s):  
Shafir Zaman
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Investment Decision ◽  
Weak Form ◽  
Efficiency Test ◽  
Non Parametric ◽  
Weak Form Efficiency

Investors need to have an idea about stock market before making investment whether the stock markets are efficient or not to take investment decision in stock market. For that reason, measurement of market efficiency of stock market bears significance to investors. Bearing it in mind, the study is undertaken to find out the existence of weak form efficiency prevails in largest stock market of Bangladesh. In order to get perfect result Parametric and Non Parametric tests were conducted of DSE & CSE for 2013 to 2017. It was found from all tests that Dhaka and Chittagong Stock exchange are not weak form efficient. Therefore, the result of the study will act as a helping hand to researchers to find out the reason of Bangladesh stock market not being weak form efficient as well as providing measurement to make the stock market weak form efficient.

scholarly journals IS PAKISTAN STOCK MARKET EFFICIENT? (A COMPREHENSIVE STUDY ON PAKISTAN STOCK EXCHANGE)

2017 ◽  
Vol 5 (4) ◽  
pp. 250-262
Author(s):  
Muhammad Shaukat Malik ◽  
Samavia Munir ◽  
Noorulain Waheed
Keyword(s):  
Market Efficiency ◽  
Stock Markets ◽  
Stock Exchange ◽  
Research Work ◽  
Unit Root Test ◽  
Weak Form ◽  
Graphical Analysis ◽  
Individual Investors ◽  
Data Points ◽  
The Individual

The purpose of this research is to find weak form of market efficiency of Pakistan stock exchange.  Daily return of KSE-100 index was obtained during the time period of 2nd November 1991 to 28th may 2015. Total time span of the study was 23 years 6 month and 26 days. To examine the stationary in the data points three test named as Graphical Analysis, Autocorrelation Function (ACF) and The Unit Root Test were applied. After that ARIMA (1, 1, 2) model was applied and SPSS 21 used for data analysis. Results revealed that the Pakistan stock exchange not fulfill the necessary assumptions of weak form of market efficiency. Research findings would be beneficial for the individual investors as well as for the businesses as it guide individual investors for establishment of their investment portfolio and for businesses to get funds at appropriate cost. This research is valuable for the researchers as they can explore the current idea of research in other equity investment alternatives of Pakistan and also provide guideline for law regulatory authorities for establishment of laws and regulations of stock markets. This research work would be a valuable addition in the current literature as very few studies have been conducted in emerging stock markets.

scholarly journals The market efficiency of the Tanzania stock market

2016 ◽  
Vol 11 (3) ◽  
pp. 75-86 ◽  
Author(s):  
Josephine Njuguna
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Unit Root ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Weak Form ◽  
Ratio Test ◽  
Variance Ratio ◽  
Test Unit ◽  
Variance Ratio Test

The purpose of this article is to examine the efficiency of the Tanzania stock market. The study attempts to answer whether the Tanzania stock market is weak-form efficient. The study applies a battery of tests: the serial correlation test, unit root tests, runs test and the variance ratio test using daily and weekly data with a sample spanning from November 2006 to August 2015 for the Dar es Salaam Stock Exchange (DSE) all share index and from January 2009 to August 2015 for the DSE share index. Overall, the results of the market efficiency are mixed. The serial correlation test, unit root test and the runs test do not support weak-form efficiency, while the more robust variance ratio test supports weak-form efficiency for the DSE. The main contribution of the study is that the market efficiency of the Tanzania stock market has increased over the sample period. Keywords: adaptive market hypothesis, efficiency market hypothesis, serial correlations test, unit root test, runs test, variance ratio test, Dar es Salaam Stock Exchange. JEL Classification: G14, G15

scholarly journals Effect of Policy Reforms on Market Efficiency: Evidence from Dhaka Stock Exchange

2011 ◽  
Vol 2011 ◽  
pp. 1-8 ◽  
Author(s):  
Md. Mahmudul Alam ◽  
Shakila Yasmin ◽  
Mahmudur Rahman ◽  
Md. Gazi Salah Uddin
Keyword(s):  
Market Efficiency ◽  
Subject Matter ◽  
Stock Exchange ◽  
Weak Form ◽  
Nonparametric Test ◽  
Policy Reforms ◽  
Parametric Test ◽  
Normality Test ◽  
Run Test ◽  
The Impact

The paper tries to find evidence supporting the impact of continuous policy reforms on the market efficiency on the Dhaka Stock Exchange (DSE). Different policies formed/reformed from 1994 to 2005 were categorized in eleven groups depending on their time of issue and subject matter. To get the result, both nonparametric test (Kolmogrov-Smirnov normality test and run test) and parametric test (autocorrelation test, autoregression) have been performed. Analyses were done for each policy group, and it is found that formed/reformed policies for DSE during the study period failed to improve the market efficiency even in the weak form level.

Sign in / Sign up

Export Citation Format

Share Document