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

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  • Tahsina Haque Simu

    (Lecturer, Department of Business Administration Shahjalal University of Science and Technology, Bangladesh)

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.

Suggested Citation

  • Tahsina Haque Simu, 2012. "Randomness in CASPI (CSE All Share Price Index): An Empirical Study," Indian Journal of Commerce and Management Studies, Educational Research Multimedia & Publications,India, vol. 3(2), pages 01-05, May.
    • Handle: RePEc:aii:ijcmss:v:3:y:2012:i:2:p:01-05
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    References listed on IDEAS

    as
    1. M. Kabir Hassan & Anisul M. Islam & Syed Abul Basher, 2000. "Market Efficiency, Time-Varying Volatility and Equity Returns in Bangladesh Stock Market," Working Papers 2002_6, York University, Department of Economics, revised Jun 2002.
    2. Dokko, Yoon & Edelstein, Robert H, 1989. "How Well Do Economists Forecast Stock Market Prices? A Study of the Livingston Surveys," American Economic Review, American Economic Association, vol. 79(4), pages 865-871, September.
    3. Chen Ping, 1996. "A Random Walk or Color Chaos on the Stock Market? Time-Frequency Analysis of S&P Indexes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 1(2), pages 1-19, July.
    4. repec:bla:econom:v:56:y:1989:i:221:p:61-70 is not listed on IDEAS
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