IDEAS home Printed from https://ideas.repec.org/p/osf/osfxxx/m5gsr.html
   My bibliography  Save this paper

Effect of Policy Reforms on Market Efficiency: Evidence from Dhaka Stock Exchange (DSE)

Author

Listed:
  • Alam, Md. Mahmudul

    (Universiti Utara Malaysia)

  • Yasmin, Shakila
  • Rahman, Mahmudur
  • Uddin, Gazi Salah

Abstract

The paper tries to find evidence supporting the impact of continuous policy reforms on the market efficiency on the Dhaka Stock Exchange (DSE). Different policies formed/reformed from 1994 to 2005 were categorized in eleven groups depending on their time of issue and subject matter. To get the result, both non-parametric test (Kolmogrov-Smirnov normality test and Run test) and parametric test (Auto-correlation test, Auto-regression) has been performed. Analyses were done for each policy group, and it is found that formed/reformed policies for DSE during the study period failed to improve the market efficiency even in the weak form level

Suggested Citation

  • Alam, Md. Mahmudul & Yasmin, Shakila & Rahman, Mahmudur & Uddin, Gazi Salah, 2019. "Effect of Policy Reforms on Market Efficiency: Evidence from Dhaka Stock Exchange (DSE)," OSF Preprints m5gsr, Center for Open Science.
    • Handle: RePEc:osf:osfxxx:m5gsr
    DOI: 10.31219/osf.io/m5gsr
    as

    Download full text from publisher

    File URL: https://osf.io/download/5c70df4382a395001aca3fc8/
    Download Restriction: no
    File URL: https://libkey.io/10.31219/osf.io/m5gsr?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Sharma, J. L. & Kennedy, Robert E., 1977. "A Comparative Analysis of Stock Price Behavior on the Bombay, London, and New York Stock Exchanges," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(3), pages 391-413, September.
    2. Chan, Kam C & Gup, Benton E & Pan, Ming-Shiun, 1992. "An Empirical Analysis of Stock Prices in Major Asian Markets and the United States," The Financial Review, Eastern Finance Association, vol. 27(2), pages 289-307, May.
    3. M. Kabir Hassan & Anisul M. Islam & Syed Abul Basher, 2000. "Market Efficiency, Time-Varying Volatility and Equity Returns in Bangladesh Stock Market," Working Papers 2002_6, York University, Department of Economics, revised Jun 2002.
    4. Karemera, David & Ojah, Kalu & Cole, John A, 1999. "Random Walks and Market Efficiency Tests: Evidence from Emerging Equity Markets," Review of Quantitative Finance and Accounting, Springer, vol. 13(2), pages 171-188, September.
    5. Ainul Islam & Mohammed Khaled, 2005. "Tests of Weak-Form Efficiency of the Dhaka Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(7-8), pages 1613-1624.
    6. Ojah, Kalu & Karemera, David, 1999. "Random Walks and Market Efficiency Tests of Latin American Emerging Equity Markets: A Revisit," The Financial Review, Eastern Finance Association, vol. 34(2), pages 57-72, May.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Masud Pervez & Md. Harun Ur Rashid & Md. Asad Iqbal Chowdhury & Mahbubur Rahaman, 2018. "Predicting the Stock Market Efficiency in Weak Form: A Study on Dhaka Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 8(5), pages 88-95.
    2. Alam, Md. Mahmudul & Uddin, Gazi Salah, 2019. "The Impacts of Interest Rate on Stock Market: Empirical Evidence from Dhaka Stock Exchange," OSF Preprints r3jpx, Center for Open Science.
    3. Alam, Md. Mahmudul & Akbar, Chowdhury Shahed, 2019. "Rationality of the Capital Market: Capitalistic System vs. Islamic System," SocArXiv 83ekv, Center for Open Science.
    4. Subrata Roy, 2018. "Testing Random Walk and Market Efficiency: A Cross-Stock Market Analysis," Foreign Trade Review, , vol. 53(4), pages 225-238, November.
    5. Asma Mobarek & A. Sabur Mollah & Rafiqul Bhuyan, 2008. "Market Efficiency in Emerging Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 7(1), pages 17-41, January.
    6. Siva Kiran & Prabhakar Rao.R, 2019. "Analysis of Stock Market Efficiency in Emerging Markets: Evidence from BRICS," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 22(72), pages 60-77, June.
    7. Andrew C. Worthington & Helen Higgs, 2003. "Weak-form market efficiency in European emerging and developed stock markets," School of Economics and Finance Discussion Papers and Working Papers Series 159, School of Economics and Finance, Queensland University of Technology.
    8. Graham Smith, 2008. "Liquidity And The Informational Efficiency Of African Stock Markets," South African Journal of Economics, Economic Society of South Africa, vol. 76(2), pages 161-175, June.
    9. Khan, Walayet & Vieito, João Paulo, 2012. "Stock exchange mergers and weak form of market efficiency: The case of Euronext Lisbon," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 173-189.
    10. Angelovska, Julijana, 2018. "Testing Weak Form Of Stock Market Efficiency At The Macedonian Stock Exchange," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 9(2), pages 133-144.
    11. Andrew C. Worthington & Helen Higgs, 2003. "Tests of random walks and market efficiency in Latin American stock markets: An empirical note," School of Economics and Finance Discussion Papers and Working Papers Series 157, School of Economics and Finance, Queensland University of Technology.
    12. Hiremath, Gourishankar S & Bandi, Kamaiah, 2012. "Variance ratios, structural breaks and nonrandom walk behaviour in the Indian stock returns," MPRA Paper 48710, University Library of Munich, Germany.
    13. Francesco Guidi & Rakesh Gupta & Suneel Maheshwari, 2011. "Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 10(3), pages 337-389, December.
    14. Felix Schindler, 2014. "Persistence and Predictability in UK House Price Movements," The Journal of Real Estate Finance and Economics, Springer, vol. 48(1), pages 132-163, January.
    15. Felix Schindler, 2013. "Predictability and Persistence of the Price Movements of the S&P/Case-Shiller House Price Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 46(1), pages 44-90, January.
    16. Basu, Anup K. & Huang-Jones, Jason, 2015. "The performance of diversified emerging market equity funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 116-131.
    17. Hiremath, Gourishankar S & Bandi, Kamaiah, 2010. "Some Further Evidence on the Behaviour of Stock Returns in India," MPRA Paper 48518, University Library of Munich, Germany.
    18. Lagoarde-Segot, Thomas & Lucey, Brian M., 2008. "Efficiency in emerging markets--Evidence from the MENA region," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(1), pages 94-105, February.
    19. Mamdouh Abdulaziz Saleh Al-Faryan & Everton Dockery, 2021. "Testing for efficiency in the Saudi stock market: does corporate governance change matter?," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 61-90, July.
    20. Mobarek, Asma & Fiorante, Angelo, 2014. "The prospects of BRIC countries: Testing weak-form market efficiency," Research in International Business and Finance, Elsevier, vol. 30(C), pages 217-232.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:osf:osfxxx:m5gsr. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: OSF (email available below). General contact details of provider: https://osf.io/preprints/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.