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dc.contributor.authorPushpita, Romana
dc.date.accessioned2019-09-11T08:19:00Z
dc.date.available2019-09-11T08:19:00Z
dc.date.issued2019-09-11
dc.identifier.urihttp://dspace.uiu.ac.bd/handle/52243/1364
dc.description.abstractThis paper attempts to examine whether DSE, an emerging and less developed market, is efficient in weak-form or not. In order to do that, this paper employs daily share closing price index of DSEX (DSE Broad Index) for the period of 30th January, 2013 to 31st July 2019. The efficiency is verified by analyzing descriptive statistics, one parametric test (Auto Correlation test) and two non-parametric tests (Runs Test and Kolmogorov-Smirnov Goodness of Fit Test) using the software Statistical Package for Social Science (SPSS). All the tests are conducted on market return series that has been calculated from the daily closing price index of DSEX. The findings from descriptive statistics show that the data set is not normally distributed. Also, from Kolmogorov-Smirnov test, it has been found that daily price index of DSEX does not fit by normal or uniform distribution. The result of the runs test reveals that share price of the DSEX does not support random walk hypothesis (RWH). Again, autocorrelation test has been applied for 16 lag periods. The results show little indication in support of random walk hypothesis. Therefore, this paper concludes that daily closing price index of DSEX does not follow a random walk and thus, rejects the RWH, meaning that, DSE Broad Index is not efficient in weak form. Hence, DSEX does not reflect the rational and appropriate prices of the stocks. Thus, it can be said that investors operating in DSEX can forecast subsequent prices by using historical price data or information and therefore; they can generate excessive return using investment strategies.en_US
dc.publisheruiuen_US
dc.titleTesting the weak form of stock market efficiency at Dhaka Stock Exchange of Bangladeshen_US


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