Weak Form Efficiency of the Chittagong Stock Exchange: An Empirical Analysis (2006-2016)

Hussain, Shahadat; Nath, Sujit Kumer Deb; Bhuiyan, Md. Yeasir Arafat

doi:10.18533/ijbsr.v6i11.1015

Cited by 5 publications

(4 citation statements)

References 8 publications

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“…And CSE is not an efficient market. Following the same pattern of using both parametric and non-parametric tests based on daily data of CSE a research took place in 2016 (Hussain, Nath, & Bhuiyan, 2016). All combined they have used autocorrelation coefficient test, L-B statistics and runs test check market efficiency of CSE.…”

Section: Empirical Study Evidencementioning

confidence: 99%

Testing Weak Form of Market Efficiency of DSE Based on Random Walk Hypothesis Model: A Parametric Test Approach

Sadat

Hasan

2019

ijafr

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Stock market is one great indicator of any country’s economic condition. Hence, measuring the capital market in different forms has always been a great interest to finance researchers. This paper measures the market efficiency and randomness of Dhaka stock Exchange (DSE) in weak form employing daily observations (return) from two comparatively new ventured indices viz. DS30 and DSEX. Initially, the study tests for normality using Jarque-Bera test of normality and found data series are not normally distributed. Later, some widely used parametric tests were conducted to examine the historic price dependencies or to examine the random walk hypothesis (RWH) of DSE indices. Augmented Dickey-Fuller test (ADF), Autocorrelation function (ACF), and variance ratio test (Lo & MacKinlay) were used and all of the results suggested DSE to be not efficient in weak form. Meaning, prices of DSE do not follow a random walk.

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Section: Empirical Study Evidencementioning

confidence: 99%

Testing Weak Form of Market Efficiency of DSE Based on Random Walk Hypothesis Model: A Parametric Test Approach

Sadat

Hasan

2019

ijafr

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“…Different streams of the literature on environmental accounting and reporting have been identified (Hussain et al. , 2016).…”

Section: Resultsmentioning

confidence: 99%

“…Different streams of the literature on environmental accounting and reporting have been identified (Hussain et al, 2016). This section focuses on national and financial accounting streams.…”

Section: Definitions and Scopementioning

confidence: 99%

“…The IPBES (2022a) proposed adopting a broad perspective, as nature refers to the non-human living world, including the scientific categories of biodiversity, ecosystem structure and functioning, evolution, biosphere, humankind’s shared evolutionary heritage and biocultural diversity. However, from an accounting perspective, a more formal definition is required, which, in turn, may depend on the literature stream to which the research refers (Hussain et al. , 2016): national, financial and management accounting [1].…”

Section: Introductionmentioning

confidence: 99%

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Safeguarding our roots: natural resources accounting and reporting in the public sector

Aggestam Pontoppidan,

Bisogno,

Caruana

et al. 2024

MEDAR

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Purpose This study aims to explore natural resources from a public sector accounting perspective, focusing on their definitions, classifications, recognition criteria and disclosure requirements provided by different standard-setters and regulators at both international and national levels. Design/methodology/approach By reviewing accounting frameworks for natural resources, this study extrapolates accounting dilemmas around the debate on natural resource accounting, using the dialogic accounting perspective as a theoretical framework. Findings Natural resources cannot be defined as a single category. Various categories have different characteristics, requiring different standards to recognize multiple orientations. This avoids monetary reductionism. Furthermore, uncertainty, both in existence and measurement, may disqualify some of these resources from being considered assets. Perhaps, concentrating on the flow of services derived from natural resources is better than focusing on their valuation. This may lead to a split-asset approach (flows and underlying assets) for certain resources. This study’s findings indicate that public-sector entities should consider preparing a separate non-financial report regarding the management of natural resources with the objective of maintaining inter-generational equity. Originality/value This study contributes to the debate on natural resources from an accounting and reporting perspective, highlighting the importance of holding public-sector entities accountable for the use of natural resources.

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Month of Ramadan effect swings and market becomes adaptive

Shahid

Sattar

Aftab

et al. 2019

JIMA

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Purpose This paper aims to enhance the existing literature on adaptive market hypothesis (AMH) as this study first time links the month of Ramadan with AMH that permits the performance of well-known Ramadan effect to fluctuate over time. Design/methodology/approach To fulfill the purpose, the authors inspect the daily returns of 107 individual firms listed at Pakistan Stock Exchange over the period of 20 years. To explore the varying degree of return predictability during Ramadan, the authors use four different subsamples comprising equal length of observations of five years each. The authors use a GARCH (1,1) regression model which facilitates for time varying nature of volatility in equity returns. To facilitate the non-normal nature of stock return data, the authors use Kruskal–Wallis test statistic. Findings The authors find that behavior of Ramadan effect evolves over time, as performance of this effect varies from time to time and consistent with AMH. Finally, the paper proposes that AMH is well elucidation of behavior of Ramadan effect than traditional efficient market hypothesis. Research limitations/implications First limitation is related to the choice of sub-sample as the study uses a sub-sample of five years. Second, the authors ignore transection cost (commissions, fee and taxes) as it is freely negotiated and varies between 4 and 10% (Khan, 2013). Due to such varying information we ignore the transaction cost. It is suggested that a sub-sample analysis of long period may be a more appropriate method to elucidate the idea of AMH in future research and suggest the current method could be adapted and helpful to examine other calendar and market anomalies in different equity markets. Practical implications The paper includes implications for investors to choose a better model for investment. Investors can exploit greater returns in future month of Ramadan periods. Furthermore, the researchers can easily extend the methodology used in the study to address multiple issues like adaptive behavior of returns from bonds, real estate investment trusts, cryptocurrencies and trading rules of strategies. Social implications Study confirms from sample t-test and GARCH (1,1) model that Ramadan effect is present in the full and in certain sub-samples; therefore, based on these discrepancies investors can earn abnormal returns by developing specific investment strategies as investors usually make investments in share according to the religious context of Islamic Calendar. The results provide good references for suitable time of investment in stock market. The findings of this study will be helpful to investors and brokers as well as portfolio managers to capture favorable returns across the Islamic calendar. Originality/value The paper identified need to study why behavior of Ramadan effect varies over time. The data set comprises daily returns of 107 individual companies over the period of 20 years to better investigate the varying nature of anomalous effect of month of Ramadan. The findings are valuable for international investors and portfolio managers.

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Weak Form Efficiency of the Chittagong Stock Exchange: An Empirical Analysis (2006-2016)

Cited by 5 publications

References 8 publications

Testing Weak Form of Market Efficiency of DSE Based on Random Walk Hypothesis Model: A Parametric Test Approach

Testing Weak Form of Market Efficiency of DSE Based on Random Walk Hypothesis Model: A Parametric Test Approach

Safeguarding our roots: natural resources accounting and reporting in the public sector

Month of Ramadan effect swings and market becomes adaptive

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