Randomness in CASPI (CSE All Share Price Index): An Empirical Study

Tahsina Haque Simu
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Tahsina Haque Simu: Lecturer, Department of Business Administration Shahjalal University of Science and Technology, Bangladesh

Indian Journal of Commerce and Management Studies, 2012, vol. 3, issue 2, 01-05

Abstract: The existence of randomness in Chittagong Stock Exchange (CSE) in Bangladesh has been empirically examined in this article using monthly stock returns. The presence of the randomness has been reported in several developed and emerging stock markets. This study investigates the existence of randomness in return series of Chittagong Stock Exchange (CSE) All Share Price Index (CASPI) by calculating the return series using monthly values of the index for the period from 2001 to 2011. It is widely believed that asset prices, such as stock prices or exchange rates follow random walk, that is future prices are not predictable on the basis of past prices and therefore there is no scope for profitable speculation in the stock market. Several statistical and econometric methods were used to measure the randomness of the data series. The findings of the study reveal that the return series deviates from normal distribution. Empirical analysis also finds that the values are statistically dependent. The results do not conform to the existence of random walk in stock returns in CSE. The data series is also found to be stationery, that is does not follow random walk.

Keywords: Monthly stock returns; Stationarity of returns; Unit root. (search for similar items in EconPapers)
Date: 2012
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