Stock market efficiency is an important concept, for understanding the working of the capital markets particularly in emerging stock market such as Bangladesh. There is enough evidence on market efficiency and day of the week effect in the developed markets, however, the same is not true for the emerging stock markets. This paper provides empirical evidence on weak form efficiency which has been carried out to diagnose the random walk behavior of Chittagong Stock Exchange (CSE) by composing daily returns of three indices for the period of 2006 to 2015. Different non-parametric tests (Wald-Wolfowitz Runs Test, Variance Ratio Test and Kolmogorov Smirnov (K-S) Goodness of Fit Test) and parametric test (Augmented Dickey-Fuller (ADF) Test and Autocorrelation Function Test (ACF)) have been used to test the existence of Efficient Market Hypothesis (EMH) and provide evidences against random walk behavior in CSE in the Chittagong Stock Exchange. Thus the researcher found that the Chittagong Stock Exchange is not efficient in weak form. Therefore, there exist the opportunity of generating a superior return by the investors.
Digital Object Identifier (DOI)
Siddikur Rahman, Md.; M. Simon, H.; and Murad Hossain, Md.
"An Empirical Analysis of Weak Form Market Efficiency: Evidence from Chittagong Stock Exchange (CSE) of Bangladesh,"
Journal of Statistics Applications & Probability: Vol. 5
, Article 17.
Available at: https://dc.naturalspublishing.com/jsap/vol5/iss3/17