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Tests of Weak‐Form Efficiency of the Dhaka Stock Exchange

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  • Ainul Islam
  • Mohammed Khaled

Abstract

Conflicting evidence on weak form efficiency of the Dhaka Stock Market appears to stem from the use of monthly versus daily data, structural changes after the 1996 market crash, and the use of tests with or without heteroscedasticity adjustment. Heteroscedasticity‐robust tests indicate short‐term predictability of share prices prior to the crash, but not afterwards. Although a heteroscedasticity‐robust Box‐Pierce test was used by Lo and MacKinlay (1989) in their simulations, our study appears to be the first to apply this test to stock prices. Typical rejection of weak‐form market efficiency by the usual autocorrelation tests may be reversed by a heteroscedasticity‐robust test.

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  • Ainul Islam & Mohammed Khaled, 2005. "Tests of Weak‐Form Efficiency of the Dhaka Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(7‐8), pages 1613-1624, September.
    • Handle: RePEc:bla:jbfnac:v:32:y:2005:i:7-8:p:1613-1624
    DOI: 10.1111/j.0306-686X.2005.00642.x
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    5. Salih Ulev & Mervan Selçuk, 2022. "Testing the Weak-Form Market Efficiency for the Islamic Market Indices: Evidence from Fourier Wavelet ADF Unit Root Test," Journal of Economic Policy Researches, Istanbul University, Faculty of Economics, vol. 9(2), pages 315-329, July.

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