An Empirical Test of Weak Form Market Efficiency on an Emerging Market: Evidence from Dhaka Stock Exchange

Abstract

Efficient Market Hypothesis is the cornerstone of modern financial
theories. As the tests of market efficiency firstly started from developed markets, the
studies on these markets are more in numbers compared with that of on emerging
markets. Dhaka Stock Exchange (DSE) is an emerging market of South Asia. The
current study has tested this market against weak form market efficiency by using a
set of Parametric (serial correlation coefficient test, unit root test, ARIMA) and Nonparametric
tests (runs test, Kolmogorov Smirnov test, Shapiro Wilk test) on DGEN
and DSE 20 index (two indices of DSE) for the period of 2002-2010 and has
concluded that the market is not weak form efficient.