Tests of Weak‐Form Efficiency of the Dhaka Stock Exchange

Islam, Ainul; Khaled, Mohammed

doi:10.1111/j.0306-686x.2005.00642.x

Cited by 57 publications

(33 citation statements)

References 12 publications

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“…However, inter alios, MacKinlay (1988, 1989) 31 and Islam and Khaled (2005) note that a heteroscedasticity-consistent estimator of the variance of the sample autocorrelations r j is instead provided by…”

Section: Resultsmentioning

confidence: 99%

Foreign exchange, fractional cointegration and the implied–realized volatility relation

Kellard

Dunis

Sarantis

2010

Journal of Banking & Finance

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JEL classification: F31 G14 C14 C22 Keywords:Market efficiency Options markets Fractional cointegration Narrow band least squares Bootstrap Traded volatility Intra-day data a b s t r a c t Almost all relevant literature has characterized implied volatility as a biased predictor of realized volatility. In this paper we provide new time series techniques to investigate the validity of this finding in several foreign exchange options markets, including the Euro market. First, we develop a new fractional cointegration test that is shown to be robust to both stationary and non-stationary regions. Second, we employ both intra-day and daily data to measure realized volatility in order to assess the relevance of data frequency in resolving the bias. Third, we use data on implied volatility traded on the market. In contrast to previous studies, we show that the frequency of data used for measuring realized volatility within a fractionally cointegrating framework is important for the results of unbiasedness tests. Significantly, for many popular exchange rates, the use of intra-day rather than daily data affects the emergence of a different bias, as the possibility of a fractionally integrated risk premium admits itself! Ó

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Section: Resultsmentioning

confidence: 99%

Foreign exchange, fractional cointegration and the implied–realized volatility relation

Kellard

Dunis

Sarantis

2010

Journal of Banking & Finance

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“…Kader and Rahman (2005) showed that there is no evidence that DSE is weak form efficient by using technical trading rule. Islam and Khaled (2005) analyzed on the predictability of the share price in Dhaka Stock Exchange prior to the boom in 1996 and found evidence in favor of short-term predictability of share prices in the Dhaka stock market prior to the 1996 boom. In order to test whether CAPM is a good indicator of asset pricing in Bangladesh, Rahman et al (2006) considered Fama and French (1992) methodology on five variables (Stock market return, Beta, Book to market value, Market capitalization and Sales) and found that the variables have significant relationship with the stock return.…”

Section: Studies In Dse Marketmentioning

confidence: 99%

Analyzing and Estimating Portfolio Performance of Bangladesh Stock Market

Hasan

Kamil

Mustafa

et al. 2013

American Journal of Applied Sciences

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Capital Asset Pricing Model (CAPM) is one of the most important developments in the finance literature. Simply, CAPM is a model that describes the relationship between risk and expected return. The theoretical validity of CAPM is well tested and accepted but the practical validity of CAPM is in questioned. This study is designed to analyze and estimate the portfolio performance of Bangladesh stock market in a CAPM framework. For this study, monthly stock returns from 80 companies for the period of January 2005 to December 2009 are chosen. In order to examine whether the CAPM is satisfied in the portfolio or not, the 80 stocks are arranged in descending order of beta and 10 portfolios are being made of eight stocks in each. The All Share Price Index (DSI) is used as a proxy for the market portfolio and Bangladesh government 3-Month T-bill rate is used as the proxy for the risk-free asset. The results of this analysis show that the intercept terms are not significantly different from zero, linearity in the securities market line and insignificant unique risk for the 10 portfolios during the period. But, the results in term of slope contradict the CAPM hypothesis and indicate evidence against the CAPM in the portfolios. This analysis will obviously be used as a basis of reference for future investigates and the researchers and they will get proper instruction from this study.

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“…To contribute to economic development, it has to be ensured that investors get desirable returns from it. In that respect, Dhaka Stock Exchange is not weak-form efficient (Hasan, 2004), but a counter argument is given by Islam and Khaled (2005) who found that it was weak-form efficient after the crash of 1996 due to steps taken by Securities and Exchange Commission.…”

Section: Introductionmentioning

confidence: 99%