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

Shafir Zaman

doi:10.14414/jebav.v21i3.1615

Authors

Shafir Zaman University of Chittagong

DOI:

https://doi.org/10.14414/jebav.v21i3.1615

Keywords:

Efficient Capital Market, Random Walk, Weak form efficiency, Weak form inefficient.

Abstract

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.

Author Biography

Shafir Zaman, University of Chittagong

I am Shafir Zaman.I have completed BBA and MBA(Finance) from University of Chittagong.I am working as a researcher.I have written several research articles and have been published in good journals.

References

Abraham, A., Seyyed, F. J., and Alsakran, S. A. (2002). Efficiency test of Gulf stock markets with respect to Random walk behavior. The Financial Review , 37 (3), 469- 480.

Ali, B. M. (2012). Efficiency in Stock Markets:Dhaka Stock Exchange (DSE) and Chittagong Stock Ex-change (CSE) . International Journal of Academic Research in Economics and Management Sciences, vol. 1, no. 6.

Alom, K.& Raquib,M. (2014). Capital Market Effi-ciency and Portfolio Equity Inflows in Bangla-deshâ€™, . World Vision Research Journal,, vol. 8, no. 1.

Awad, I.&Daraghma,K. (2009). Palestinian stock exchange weak form efficiency test. International Research Journal of Finance and Economics, 32, 7-17.

Blume, L. D. (2008). The New Palgrave Dictionary of Economics. New York.

Branes, P. (1986). Market efficiency testing of Kaula Lumpur Stock Exchange . Journal of Business Fi-nance and Accounting, 13(4) winter, 609-617.

Cooray, A. &Wickremasingle,G. (2005). The Efficien-cy of stock market of South African region . Dis-cussion Paper. University of Tasmania.

Chittagong Stock Exchange (2013-2017).Retrieved from https://www.cse.com.bd/market/historical_market

Darrat, A. F. and Zhong, M. (2000). The random-walk hypothesis test: a model comparison ap-proach. The Financial Review, Vol. 35, No. 3, pp. 105-124.

Dickey, D.A. and Fuller, W.A. (1979). Distributions of the Estimators for Autoregressive Time Series with a Unit Root. Journal of American Statistical Association, 74(366), 427-481.

Dhaka Stock Exchange (2013-2017).Retrieved from https://www.dsebd.org/recent_market_information.php

El-Erian, M. &Manmohan, S. Kumar. (1995). Emerg-ing Equity Markets in the Middle eastern coun-tries. IMF staff papers ,IMF, 42(2),313-343.

Fawson, C, Glover, T. F., Fang, W. and Chang, T. (1996). Testing theThe Weak-Form Efficiency of the share market of Taiwan . Applied Economics Letters, pp. 3, 663-667.

Fama, E.F. (1970). Efficient capital market:A review of Theory and Empirical Work. Journal of Finance, vol.25,383-417.

Grossmann, S. J. and Stiglitz, J. E. Impossibility of informationally efficient market. Journal of Fi-nance, Vol. 31, 573-538.

Gupta, R. & Basu, PK. (2007). Testing Weak Form Efficiency of Indian Stock Markets. International Business &Economics Research Journal, Vol. 6, No. 3, pp. 57-64.

Gujarati,D.N. (2003). Basic Econometrics. New Delhi: The McGraw-Hill Companies(4th edition).

Hossain, M.S. & Uddin, M.G.S. (2011). Efficiency Analysis and Volatility Effect testing of stock ex-change of Bangladesh. Cambridge Business & Economics Conference 27-28 June

Khandoker, M.S.H., Siddik, M.N.A. & Azam, M. 2011, Tests of Weak-form Market Efficiency of Dhaka Stock Exchange: Evidence from Bank Sec-tor of Bangladesh, Interdisciplinary Journal of Re-search in Business, vol. 1, no. 9, pp.47- 60.

Lo, A, & Mackinlay, C .(1988). Stock market not fol-low Random Walk:Evidence from simple speci-fication test . Review of Financial Studies, vol.1,pp-41-66.

Magnusson, M.A.& Wydick, B. (2002). How efficient are Africaâ€™s emerging stock markets? Journal of Development Studie, 38, 141-156.

Mobarek, A. and Keavin, K.(2000). Weak-form mar-ket efficiency of an emerging Market: Evidence from Dhaka Stock Market of Bangladesh. ENBS Conference held on Oslo.

Moustafa, M. A.(2004),Testing the Weak-Form Effi-ciency of the United Arab Emirates stock market. International Journal of Business, Vol. 29, No. 3, pp. 310-325.

Nisar, S.& Hanif,M. (2012 ). Testing Weak Form ef-ficinecy of South Asian Market. World Applied Sciences Journal , 17 (4): 414-427.

Phillips, P. and Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Journal of Biomet-rica, 75(2),335-346.

Siddik, M.& Azam, M.(2011). Weak-form Market Efficiency test of Dhaka Stock Exchange:An em-pirical evidence from Banking Sector of Bangla-desh. Interdisciplinary Journal of Research in Busi-ness, vol. 1, no. 9, pp.47- 60.

Samuels, J.M.& Yacout, M. (1981). Stock Exchange in Developing Countries, Savings and Develop-ment.

Tasy, R.S. (2010). Analysis of Financial Time Series. New York: Wiley-Interscience Second Edition.