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

Author

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  • 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.)

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.

Suggested Citation

  • Shahadat Hussain & Sujit Kumer Deb Nath & Md. Yeasir Arafat Bhuiyan, 2016. "Weak Form Efficiency of the Chittagong Stock Exchange: An Empirical Analysis (2006-2016)," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 6(11), pages 58-66, November.
    • Handle: RePEc:mir:mirbus:v:6:y:2016:i:11:p:58-66
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    References listed on IDEAS

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    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. Pyemo Afego, 2012. "Weak Form Efficiency of the Nigerian Stock Market: An Empirical Analysis (1984 2009)," International Journal of Economics and Financial Issues, Econjournals, vol. 2(3), pages 340-347.
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    Cited by:

    1. Erdas Mehmet Levent, 2019. "Validity of Weak-Form Market Efficiency in Central and Eastern European Countries (CEECs): Evidence from Linear and Nonlinear Unit Root Tests," Review of Economic Perspectives, Sciendo, vol. 19(4), pages 399-428, December.
    2. repec:mth:ijafr8:v:9:y:2019:i:1:p:400-413 is not listed on IDEAS

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