Weak Form, Run test, Autocorrelation test, Variance Ratio Test, CSE.

What is it about?

This paper provides empirical evidence on weak form efficiency which has been carried out to diagnose the random walk behavior of Chittagong Stock Exchange (CSE) by composing daily returns of three indices for the period of 2006 to 2015

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Why is it important?

With regard to calendar effects, there were anomalies found related to day of the week effects which do not appear to be related to the pattern of trading days over the week, and which might be accounted for by other institutional factors specific to the countries in the sample. Asiri (2008) used cross sectional time series data for forty listed companies in Bahrain Stock Exchange (BSE) over the period from June 1, 1990 to December 31, 2000 to study the behavior of stock prices in BSE. Random walk models such as unit root and dickey fuller test were used as basic stochastic tests for nonstationarity of daily prices for all listed companies in BSE and autoregressive integrated moving average (ARIMA) and exponential smoothing method were also used. The results confirmed random walk for all daily stock prices and thus the market is considered efficient in weak form. Chigozie (2009) investigated whether the Nigerian stock market, from period 1984 to 2006, follows random walk.

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