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Emerging Markets and the Global Economy by Duc Khuong Nguyen, Sabri Boubaker, Mohammed Hedi Arouri

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Chapter 7

An Investigation of the Deviation from the Market Efficiency and its Implications for Capital Market Development: The DSE Evidence

A.S.M. Sohel Azad, Amirul Ahsan and Victor Fang,    School of Accounting, Economics and Finance, Faculty of Business and Law, Deakin University, Melbourne, Australia,    E-mail: s.azad@deakin.edu.au, amirul@deakin.edu.au, v.fang@deakin.edu.au

Abstract

This chapter investigates whether the Dhaka Stock Exchange (hereafter, DSE) deviates from the random walk and efficiency hypothesis. We apply the new unit root tests of Ng and Perron (2001) and variance-ratio tests of Lo and MacKinlay (1989) and Wright (2000) to the DSE’s daily indices and return series from January 1990 to January 2013. Overall, the results ...

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