Market Efficiency in Emerging Stock Market
Market Efficiency in Emerging Stock Market
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DOI：
10.1177/097265270700700102
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发表时间：
2008-01
影响因子：
1.5
通讯作者：
A. Mobarek;A. Mollah;Rafiqul Bhuyan
中科院分区：
文献类型：
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作者：
A. Mobarek;A. Mollah;Rafiqul Bhuyan
本研究旨在证明孟加拉国的达卡证券交易所（DSE）的回报序列是否是独立的，并遵循随机游走模型。该研究的重点是评估DSE是否偏离理想效率。样本主要包括1988年至2000年期间DSE每日价格指数的所有上市公司。非参数检验（Kolmogrov-Smirnov：正态性检验和游程检验）和参数检验（自相关性检验、自回归模型、ARIMA模型）的结果均证明了证券收益率不服从随机游走模型，并且不同时滞下显著的自相关系数拒绝了弱式有效性的零假设。结果与不同子样本的观察结果一致，没有离群值和单个证券。有效市场假说的这种反常现象支持了这样一种观点，即市场对新信息的反应不是即时的。这可能是由于延迟发布新的价格敏感信息或市场参与者对此类信息的反应存在偏差（反应不足或过度）。这也可能是与羊群效应有关的动量效应，特别是一般投资者的“正反馈交易”或“趋势跟踪”交易策略。
This study seeks evidence on whether the return series on Bangladesh's Dhaka Stock Exchange (DSE) is independent and follows the random walk model. The study focuses on assessing if the DSE deviates from idealised efficiency. The sample primarily includes all the listed companies on the DSE daily price index over the period 1988 to 2000. The results of both non-parametric (Kolmogrov—Smirnov: normality test and run test) and parametric test (Auto-correlation test, Auto-regressive model, ARIMA model) provide evidence that the security returns do not follow the random walk model and the significant auto-correlation coefficient at different lags reject the null hypothesis of weak-form efficiency. The results are consistent with observations in different sub-samples without outlier and for individual securities. This anomaly with the efficient market hypothesis supports the thought that the market does not respond to new information instantaneously. This may be due to a delay in dissemination to new price sensitive information or biases (under or over reaction) in the response of market participants to such information. It may also be for the momentum effect related to herding in particular ‘positive feed back trading’ or ‘trend following’ the trading strategy by the average investors.