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Tests of Weak-form Market Efficiency of Dhaka Stock Exchange: Evidence from Bank Sector of Bangladesh

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Author(s): Md. Sogir Hossain Khandoker | Md. Nur Alam Siddik | Md Azam

Journal: Interdisciplinary Journal of Research in Business
ISSN 2046-7141

Volume: 1;
Issue: 9;
Start page: 47;
Date: 2011;
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Keywords: Efficient Market Hypothesis (EMH) | Random walk model | Dhaka Stock Exchange (DSE).

ABSTRACT
This paper uses Random walk hypothesis to test market efficiency in the Dhaka Stock Exchange Ltd (DSE).In this paper; with Runs test, Dickey-Fuller Unit root test processed and analyzed the behavior of daily return of Dhaka Stock Market indices during the past 11 years. The sample includes the daily price indices of all securities listed on the DSE general, DSI (All Share), DSE top 20 indices, and Daily indices listed in the market. As a proxy of movement of individual stock prices, daily closing prices of 30 companies operating in the Bank sector has been analyzed. The results provide evidence that DSE does not follow the random walk model and so the Dhaka stock exchange (DSE) is not efficient even in weak form. To improve the capital market, the timely disclosure and dissemination of information to the shareholders and investors on the performance of the listed companies should be emphasized.
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