11.07.2015 Views

Index of EWU Authors - East West University

Index of EWU Authors - East West University

Index of EWU Authors - East West University

SHOW MORE
SHOW LESS
  • No tags were found...

You also want an ePaper? Increase the reach of your titles

YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.

Abstract <strong>of</strong> Published Papers 2008Business and EconomicsInternational Conference on Statistical Sciences (collaboration with Carleton <strong>University</strong>Canada, under the theme “Recent Development <strong>of</strong> Statistical Sciences”), North South<strong>University</strong>, Dhaka, December 26 &27, pp. 208-218, 2008, (ISBN984-300-002873-0)Testing Random Walk Hypothesis for Dhaka Stock Exchange: An EmpiricalExaminationMd Gazi Salah Uddin*, A. K. M Nabiul Khoda**, Y.A.M. Rafiqul Haq***AbstractThis paper investigates whether stock-price indexes <strong>of</strong> Dhaka stock markets can becharacterized as random walk (unit root) processes. This study seeks evidence supporting theexistence <strong>of</strong> market efficiency in the Dhaka Stock Exchange Ltd (DSE).In this paper; wehave analyzed the behavior <strong>of</strong> daily return <strong>of</strong> Dhaka Stock Market indices. The sampleincludes the daily price indices <strong>of</strong> all securities listed on the DSE general, DSE top 20indices, and Day wise indices listed in the Dhaka stock market. Again as a proxy <strong>of</strong> the <strong>of</strong> themovement <strong>of</strong> individual stock prices, daily closing prices <strong>of</strong> 23 companies operating in thePharmaceutical sector has been analyzed. This industry is chosen as this sector is rapidlygrowing in Bangladesh stock markets. The results from the unit root test, the ADF test onDSE general price indices and DSE top 20 indices day wise indices and on individual stockprices <strong>of</strong> the proxy companies provide evidence that the Dhaka stock exchange (DSE) is notefficient even in weak form and DSE does not follow the random walk model.Keywords: Efficient Market Hypothesis, Random walk model, Dhaka Stock ExchangeJEL Classification: G14, C22* School <strong>of</strong> Business, Presidency <strong>University</strong>, (Currently Senior Lecturer, Department <strong>of</strong>Business Administration, <strong>East</strong> <strong>West</strong> <strong>University</strong>).E-mail address gsu@ewubd.edu.** Parkway Health Singapore Private Limited Dhaka, Bangladesh.Email address: shovoninfo@gmail.com*** School <strong>of</strong> Business, Presidency <strong>University</strong>, Bangladesh.Email address: rafiq@presidency.edu.bd22

Hooray! Your file is uploaded and ready to be published.

Saved successfully!

Ooh no, something went wrong!