Abstract:
The stakeholders of the stock markets in Bangladesh are trying their best
to make better infrastructure of stock markets in comparison to other stock-markets
in Asian nations. To bring the stock market in an operational and informational
order, two stock markets have been set up in Bangladesh of which the Dhaka Stock
Exchange (DSE) is one of them. Consequently, the traders of the markets are rolling
fund, stakeholders and other philanthropist organizations are using data for
estimating indices such as price per share, price earning ratio, current market price of
the share etc. mainly to know whether the markets are running efficiently. The data
on these indicators of 1st quarter of the financial years 2004, 2005, 2006 & 2007
have been collected to test the EMH (Efficient Market Hypothesis) because this
hypothesis states that market prices instantaneously or fully reflect all relevant
available information. It means that the market prices of the securities will always
equal their intrinsic values. Thus, the hypothesis holds that the share price
movements are random and systematic. According to this hypothesis, it is possible to
earn normal returns by randomly choosing securities at a given risk level. This
research attempts to test whether the series on the industry such as bank, insurance,
service, food and allied and textile really follow the behavior of normal distribution.
The different descriptive statistics, non-parametric estimators and ARCH models are
used for testing the hypotheses. The results may be important to the planners,
security analysts, investors and security exchange regulatory bodies for improving
the market status in this connection. The estimated results are found very useful.
