Efficiency of Bangladesh stock market: evidence from monthly index and individual firm data

Abstract

Using monthly data for market index and 46 actively traded individual firms from January 1991 through May 2003, we examine the efficiency of stock market of an emerging market. We employ a battery of tests including variance ratio tests to examine the efficiency issue of Bangladesh stock market. Portfolio results suggest that the DSE is weak-form efficient, but the individual firm returns suggest that DSE is weak-form inefficient. We suggest that individual firm returns are influenced by nonsynchronous trading and firm-specific and market micro-structure effects.