M. M. KARIM1* and M. M. HUQ2
1=Dr. Md. Masud Karim, Associate Professor, Department of Finance, University of Rajshahi, Rajshahi-6205, Bangladesh and 2Dr. Md. Monimul Huq, Professor, Department of Statistics, University of Rajshahi Rajshahi-6205, Bangladesh. Email: mhuq75@gmail.com. *Corresponding author’s Email: mhuq75@gmail.com
ABSTRACT
The study was conducted at the Department of Finance, University of Rajshahi, Rajshahi, Bangladesh during 2001 to 2018. Stock market efficiency has been playing a noteworthy role in economic development all over the world. The main challenge of Bangladesh is to launch its economy on the path of development. An efficient market is indispensable for mobilizing and allocating scarce capital in meaningful way. Government policies and outlooks have significant influence on stock market and market behavior can be changed with changing political scenario. The purpose of this study was to investigate the efficiency of Dhaka Stock Exchange (DSE) by testing random walk hypothesis (RWH) during the last four government cycles. Unit root tests and variance ratio test have been applied to test RWH. The empirical findings show that the DSE was inefficient under all government cycles.
Keywords: Market efficiency, Government cycle, Unit root tests and Variance ratio test.