Weak Form Efficiency of the Chittagong Stock Exchange: An Empirical Analysis (2006-2016)

Shahadat Hussain (), Sujit Kumer Deb Nath () and Md. Yeasir Arafat Bhuiyan ()
Additional contact information
Shahadat Hussain: Department of Finance, Bangladesh University of Business and Technology (BUBT), Dhaka, Bangladesh
Sujit Kumer Deb Nath: Department of Business Administration, Prime University, Dhaka, Bangladesh.
Md. Yeasir Arafat Bhuiyan: Department of Business Administration, Prime University, Dhaka, Bangladesh.

International Journal of Business and Social Research, 2016, vol. 6, issue 11, 58-66

Abstract: We study the random walk behavior of Chittagong Stock Exchange (CSE) by using daily returns of three indices for the period of 2006 to 2016 employing both non-parametric test (run test) and parametric tests [autocorrelation coefficient test, Ljung– Box (LB) statistics]. The skewness and kurtosis properties of daily return series are non-normal, with a hint of positively skewed and leptokurtic distribution. The results of run test; autocorrelation and Ljung–Box (LB) statistics provide evidences against random walk behavior in the Chittagong Stock Exchange. Overall our result suggest that Chittagong Stock Exchange does not exhibit weak form of efficiency. Hence, there is opportunity of generating a superior return by the active investors.

Keywords: Autocorrelation test; CSE; Random walk hypothesis; run test. (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://thejournalofbusiness.org/index.php/site/article/view/1015/640 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mir:mirbus:v:6:y:2016:i:11:p:58-66

Access Statistics for this article

More articles in International Journal of Business and Social Research from MIR Center for Socio-Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by M Kabir ().