Weak Form Efficiency of the Chittagong Stock Exchange: An Empirical Analysis (2006-2016)
DOI:
https://doi.org/10.18533/ijbsr.v6i11.1015Keywords:
Random walk hypothesis, run test, autocorrelation test, CSE.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.
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