...Weak- Form Market Efficiency of Dhaka Stock Exchange (DSE), Bangladesh ABU TAHER MOLLIK Economics & Finance, Regional School of Business, Faculty of Law and Management, La-Trobe University, Bendigo, VIC 3550, Australia. Email:abumollik@yahoo.com.au; a.mollik@latrobe.edu.au M KHOKAN BEPARI PhD Student School of Commerce and Marketing Faculty of Arts, Business, Informatics and Education Central Queensland University, Australia Email: k.bepari@cqu.edu.au; khokan552@yahoo.com Phone:+610402917968 Weak Form Market Efficiency of Dhaka Stock Exchange (DSE), Bangladesh Abstract This paper examines the weak-form efficiency in Dhaka Stock Exchange (DSE) of Bangladesh adjusting for thin trading problem. Both non-parametric tests and parametric tests are used. The data sets consist of daily DSE General Index (DSE-GEN) and DSE 20 Index for the period ranging from January 1, 2002 to December 31, 2007. The results of the study reveal that DSE return series are not normally distributed. Both the return series are stationary and do not follow a random walk. Overall, the study rejects the weak form efficiency of DSE. Key words: Efficient Market Hypothesis; Dhaka Stock Exchange; Random Walk Model; Weak Form of Efficiency; Return autocorrelation. JEL classification: G14, N25, G 34 Weak Form Market Efficiency of Dhaka Stock Exchange (DSE), Bangladesh 1. Introduction The theory of efficient market hypothesis (EMH) proposed by Fama (1965) was a ‘water...
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...School of Business & Emmett Interdisciplinary Program in Environment and Resources, School of Earth Sciences, Stanford University **Steyer-Taylor Center for Energy Policy and Finance, Stanford University Executive Summary This work provides a case study of the organizational changes necessary at eBay Inc. to support the development and operation of efficient data center infrastructure, hardware, and software. As a part of this process, the eBay Inc. infrastructure Engineering and Operations team (responsible for the delivery of technical services including Cloud services and data center hosting) embarked on a multi-year journey to dramatically improve the efficiency of the company’s technical infrastructure, and to connect infrastructure productivity to business drivers. eBay Inc.’s technical achievements in improving energy efficiency and decreasing infrastructure operations cost has been well documented elsewhere; instead this...
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...Efficient Market Hypothesis: Examining the Case of South Asian Stock Markets Sharon Prakash Abstract This study examines the relevance of the Efficient Market Hypothesis among emerging stock markets belonging to the South Asian Association for Regional Cooperation (India, Pakistan, Sri Lanka and Bangladesh) and the Global economy. The study employs daily closing prices of eminent market indices from a time period 2004-2013.The stock returns have been subjected to unit root tests such as the Augmented Dickey Fuller test and a panel unit root test. Additionally the existence of random walk for these stock markets has also been examined through the Jarque-Bera statistic. The results indicate information inefficiency in the time period under study for all indices. Investors can therefore predict future prices on the basis of historical information, and receive excessive returns. The results have implications for developing economies wherein the government has to ensure that all asset related information be made public, to curb state interference. Introduction The concept of Efficient Market Hypothesis (EMH) holds special importance in the field of Finance, especially Capital markets. This hypothesis postulates that markets are informationally efficient. This asserts that the price of any security will fully reflect all the information that is available to the investors. That being said, one cannot consistently achieve returns that are excess of the average market returns...
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...Testing the weak form efficiency of Islamabad Stock exchange (ISE) Syed Tauseef Raza Gilani Department of Management Sciences, The Islamia University of Bahawalpur, Pakistan Email: tosif399@gmail.com, Tel: +00923006327270 Abstract The characteristics of stock prices reflect the all available information in market. This study explored the weak form efficiency of Islamabad Stock Exchange (ISE). In this research paper, we have also revealed the behavior of prices traded in Islamabad Stock Exchange, and how it behaves in different unusual events. Stock markets are the major contributor to economy. To test the weak form efficiency of Islamabad Stock exchange, we have tested Efficient Market Hypothesis. EMH is method to measure the stock prices trends in the market. Efficient market hypothesis also helps for making the right investment decisions. From two of decades, EMH has obtained much great importance in the field of finance. So it has attracted many researchers to explore the anomalous behavior of efficient stock market. Efficient market hypothesis has three main categories: 1. Weak form 2. Semi-strong form 3. Strong form. We will focus only weak form of market efficiency in ISE. Focus of the study is to analyze the weak form of ISE-10 in the stock market. For this purpose we have used different statistical technique for analyzing the data that is collected from the official website of ISE. Data will be in the form of weekly ISE-10 share index. Time period of data is From...
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...1 Introduction: Bangladesh capital market is one of the smallest in Asia but the third largest in the south Asia region. It has two full-fledged automated stock exchanges namely Dhaka Stock Exchange (DSE) and Chittagong Stock Exchange (CSE) and an over-the counter exchange operated by CSE. It also consists of a dedicated regulator, the Securities and Exchange Commission (SEC),since, it implements rules and regulations, monitors their implications to operate and develop the capital market. It consists of Central Depository Bangladesh Limited (CDBL), the only Central Depository in Bangladesh that provides facilities for the settlement of transactions of dematerialized securities in CSE and DSE. 2.1 Functions of capital market: The functioning of an efficient capital market may ensure smooth floatation of funds from the savers to the investors. When banking system cannot meet up the total need for funds to the market economy, capital market stands up to supplement. To put it in a single sentence, we can therefore say that the increased need for funds in the business sector has created an immense need for an effective and efficient capital market. It facilitates an efficient transfer of resources from savers to investors and becomes conduits for channeling investment funds from investors to borrowers. T 2.2 Product of capital market: • Shares, • Debentures, • Mutual funds, • Bonds, • Derivatives, • Future and options. 2.3 Player...
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...Content Executive Summary Introduction Operation Efficiency Success Failure Recommendation Conclusion Executive Summary: Introduction: The stock market of Bangladesh is considered to be one of the emerging markets in the context of the global financial system. The market has immense potentials for country’s industrialization, development of infrastructure in particular and economic growth in general. The government and the Securities and Exchange Commission (SEC) have undertaken a good number of initiatives to meet Bangladesh's development financing requirements with a particular focus on developing long term infrastructure financing and strengthening financial stability through promotion of capital market. In this regard formulation of a Master Plan is of crucial importance. Stock markets or Stock exchanges play an important role in the modern capitalized economy by providing the strength to nation's economic infrastructure. Now the stock market is one of the most important sources for companies to raise capital. Stock market allows businesses to raise additional capital for expansion by transferring the ownership of the company. It provides individuals the opportunity to invest in corporations. The size of the world stock market was estimated at about $36.6 trillion at the beginning of October 2008. In Bangladesh, there are two stock exchanges, the Dhaka Stock Exchange (DSE) and the Chittagong Stock Exchange (CSE), DSE was setup on April 28, 1954 that started formal...
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...Article 1 Title of Journal Article: Testing for the Weak-Form Market Efficiency of the Dar es Salaam Stock Exchange DETAILS:- Author(s)- Year- Name of Journal- Volume- Issue- Page number | Authors : Yilmaz Guney - University of Hull, Gabriel Vitus Komba - Mzumbe University, School of BusinessDate: October 21, 2015. | - RESEARCH OBJECTIVES(s)-RESEARCH QUESTION(s) | This study investigates into the weak-form efficiency of the Dar es Salaam stock exchange (DSE), a frontier market, in Tanzania. | - HYPOTHESES- VARIABLES:Eg: Dependent variables, Independent variables | The weak-form efficiency of the Dar es Salaam stock exchange (DSE), a frontier market, in Tanzania.Dependent Variable: Weak-form efficiency of DSE | METHODOLOGY:Eg: Scope of study, Respondent type & number, Analysis used | The study covers the period from January 2007 to December 2014. To establish the consistency and robustness of the obtained conclusions, we employ different tests (i.e., Augmented Dickey-Fuller test, variance-ratio test, and Ranks and Sign test) to examine the hypothesis that the returns based on the price and return indices follow a random walk process | FINDINGS & DISCUSSION:Eg: Types of relationships (support or not), Reliability & variance | Wright (2000) shows that ranks and sign tests can be exact, and have better power properties than the conventional variance-ratio tests. Moreover, they demonstrate that rank-based variance-ratio tests have, generally, more power than...
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...Internship Report On Effectiveness of DSE Monitoring System SUBMITTED TO: Md. Rafiqul Islam Professor Department of Business Administration Faculty of Business & Economics Daffodil International University SUBMITTED BY: Md. Nasir Uddin ID: 072-11-2038 BBA Department of Business Administration Faculty of Business & Economics Daffodil International University Daffodil International University September 10, 2011 Internship Report On Effectiveness of DSE Monitoring System Date of Submission: 10 September, 2011 4/2, Sobhanbagh, Prince Plaza, Mirpur Road Dhanmondi, Dhaka-1207, Bangladesh LETTER OF TRANSMITTAL August 10, 2011 Md. Rafiqul Islam Professor Internship Supervisor Department of business administration Daffodil International University Subject: Submission of internship report. Dear Sir, This is my pleasure to present my internship report entitled “Effectiveness of DSE Monitoring System” Which was prepared from my experience in Dhaka Stock Exchange. With your kind supervision I believe that the knowledge and experience gathered...
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...BANGLADESH STOCK MARKET GROWING? KEY INDICATORS BASED ASSESSMENT M Khokan Bepari Assistant Professor Department of Cooperation and Marketing Faculty of Agricultural Economics & Rural Sociology Bangladesh Agricultural University, Mymensingh-2202, Bangladesh Phone: +88 01716601759 khokan552@yahoo.com Dr. Abu Mollik Senior Lecturer and Finance Discipline Leader School of Commerce and Marketing Division of Business and Informatics Central Queensland University abumollik@yahoo.com.au Abstract This paper focuses on the growth of Bangladesh stock market over time. The market trends in terms of market capitalization, market liquidity, market concentration, number of listings, volatility in the market index and foreign portfolio investment were considered. The study finds that key indicators are significantly correlated. Stock market growth index is constructed considering market capitalization ratio; turn over ratio, value traded to GDP ratio and volatility in market index. The findings of the study suggest that although Bangladesh stock market is growing over time, the growth has not yet assumed any stable and obvious trend. We conclude that Bangladesh stock market is still at an early stage of its growth path with a small market size relative to GDP and is characterized by poor liquidity and high market concentration. Introduction Demirguc-Kunt and Levine (1996), Singh (1997) and Levine and Zervos (1998) find that stock market growth plays an...
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...Course No. F 618 Course Title: Financial Markets and Institutions Assignment on “Reasons for Share Market Debacle in 1996 & 2010 and Recommendations for Improvement” Submitted to Dr. Jamal Uddin Ahmed Professor Department of Finance University of Dhaka Submitted by Tahasin Monabil Haq ID No. 21005 Table of contents Topics | Page | Acknowledgement | 3 | What is Stock Exchange? , Features of Stock Exchange | 4-5 | Stock Market in Bangladesh, Securities and Exchange Commission | 5-6 | Dhaka Stock Exchange (DSE)& Chittagong Stock Exchange (CSE) | 5-6 | Structure of Bangladesh Stock Market & Settlement | 6-7 | Stock market crash in 1996 | 7-8 | Reasons Behind the Stock market crash in 1996 | 8-9 | Stock market crash in 2010 | 09-12 | Reasons behind share market crash (2010) | 12-15 | Suggestions to improve the activities of Stock Market | 16-17 | Conclusion | 17 | References | 18 | | ACKNOWLEDGEMENT First of all I want to pay my gratitude to the Almighty Allah for helping me in preparing this paper successfully. Secondly, I want to express my gratefulness to our respective faculty, Dr. Jamal Uddin Ahmed, for providing us continuous support and guidelines to prepare a collaborative formal paper. His contribution to us can only be acknowledged but never be compensated. Furthermore, i want to convey my heartiest thanks to my friends and classmates especially who...
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...problems. The specific objectives of this study are: _ To give an overall idea about the capital market-its structures, functions, importance, etc. _ To identify the current situations of our capital market of Bangladesh. _ To compare the relative conditions of Bangladesh capital market to other countries of the world. _ To sort out the problems associated with our capital market. _ To suggest some practicable solutions to these problems. Methodology Secondary data and information were used in preparing this seminar paper, and these were collected through teamwork by adopting the following processes: ■ Visiting in person, the following organizations and respective key personnel: _ Dhaka Stock Exchange (DSE) _ Dhaka Chamber of Commerce (DCC) _ Bangladesh Bank (BB) _ Monetary...
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...overcome the existing problems. The specific objectives of this study are: To give an overall idea about the capital market-its structures, functions, importance, etc. To identify the current situations of our capital market of Bangladesh. To compare the relative conditions of Bangladesh capital market to other countries of the world. To sort out the problems associated with our capital market. To suggest some practicable solutions to these problems. - Page | 1 - 1 Ch[pt_r 1 Secondary data and information were used in preparing this seminar paper, and these were collected through teamwork by adopting the following processes: ■ Visiting in person, the following organizations and respective key personnel: Dhaka Stock Exchange (DSE) Dhaka Chamber of Commerce (DCC) Bangladesh Bank (BB) Monetary Policy Department (MPD), BB ■...
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...Working Paper 3/2010 Investment Climate Series Investment Climate in Bangladesh: Enhanced Role of the Capital Market Dr. Prashanta K. Banerjee Md. Mohiuddin Siddique Economic Research Group Working paper No: 3/2010 Investment Climate Series Investment Climate in Bangladesh: Enhanced Role of the Capital Market Authors Dr. Prashanta Kumer Banerjee1 Mohiuddin Siddique2 Mentors Mohammad Musa Ph.D3 Farook Chowdhury4 ECONOMIC RESEARCH GROUP JUNE 2010 1 Senior Associate Professor, Bangladesh Institute of Bank Management (BIBM), Dhaka 2 Associate Professor, BIBM, Dhaka 3 Professor of Finance, School of Business, United International University 4 Program Manager, BMB Mott MacDonald, Dhaka. Published By Economic Research Group (ERG), Dhaka, Bangladesh The papers in this series are published as part of contract under the Small Grants Program, implemented by ERG and BMB Mott MacDonald and supported by the Bangladesh Investment Climate Fund (BICF). BICF is managed by IFC, in partnership with the U.K. Department for International Development and the European Union. Details about the program can be found at http://www.ergonline.org/ifc/index_of_SGAPP.html © Dr. Prashanta Kumer Banerjee, Mohiuddin Siddique, 2010 This publication may be reproduced, stored or transmitted for research and academic works without prior permission of the publisher or the author(s) but proper acknowledgement must be given...
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...Bangladesh Bank (Central Bank of Bangladesh) Scholarship Donor: Asian Institute of Technology School of Management Thailand May2012 ACKNOWLEDGEMENTS My greatest Gratitude is given to Dr. Sundar Venkatesh, my project advisor, for his deep insight in capital market, which helped me to accomplish the project paper. His dedication towards teaching, motivating and supervising influenced me greatly, leading to do my project work carefully and seriously. I wish to express my deepest gratitude and appreciation to Bangladesh Bank, My office, for granting me a scholarship, to pursue my Masters in banking and finance. I express my gratitude and deepest appreciation to my friend Ms. Senjuti binte rafiq, My Colleagues in Bangladesh Bank and DSE Library staffs who helped me by providing valuable suggestions and necessary data for my analysis. I am very much thankful to Dr. Winai Wongsurawat and Dr. Juthathip Jongwanich for their valuable suggestions regarding my project. I express my gratitude and deepest appreciation to Ms Kluaymai Thongkham, Ms. Farah Nashid Hossain and other AIT staffs for their effort in creating a homely atmosphere amid the difficult time. ii ABSTRACT The Capital Market of Bangladesh is passing tough times since December 2010 as high volatility is eroding the capital of Thousands of Investors that might turn into social instability. This fall is caused by many factors that I tried to...
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...Securities and Exchange Commission, Bangladesh ANNUAL REPORT 2010-2011 1 SECURITIES AND EXCHANGE COMMISSION ANNUAL REPORT 2010-2011 Jiban Bima Tower (15th , 16th & 20th Floor) 10, Dilkusha Commercial Area Dhaka-1000, Bangladesh Phone: 9568101-2, 9561525 Website: http://www.secbd.org E-mail: secbd@bdmail.net Fax: (88)-02-9563721 Securities and Exchange Commission 2 SECURITIES AND EXCHANGE COMMISSION ANNUAL REPORT 2009-2010 CONTENTS INSIDE 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 Chairman’s Statement Economic Indicators of Bangladesh Capital Market Over the World Bangladesh Capital Market Capital Market Regulatory Reforms and Compliance Listing in Stock Exchanges Capital Issue Corporate Finance Registration Mutual Fund and SPV Surveillance Supervision and Regulation of Markets and Issuer Companies Supervision and Regulation of Intermediaries Central Depository Enforcement Law Management Information Systems Research & Development Bangladesh Institute of Capital Market Future Planning Financial Statements of the Commission Annexure Commission and the Commission’s Officers PAGE 04 06 09 11 16 26 28 30 32 36 38 39 47 49 50 50 50 51 52 52 53 54 86 3 1. Chairman’s Statement Securities and Exchange Commission (SEC) was established on 8 June 1993 through enactment of the Securities and Exchange Commission Act, 1993. The objectives of the SEC are to develop the securities markets and to frame necessary rules and regulations of capital...
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