Efficiency Measures of Capital Market: A Case of Dhaka Stock Exchange

Abstract

Dhaka Stock Exchange has experienced two market crashes since its inception (November 1996 and December2010). The regulator tried to reform the market as an efficient market by taking various measures. This study isdesigned to measure market efficiency level of DSE; Market efficiency is used to explain the relationshipbetween information and share price in capital market, following whether or not returns in a market follow arandom walk process over a longer period of time. For testing of market efficiency, we conducted normality testalong with serial dependencies of stock return from one period to another. The Result of the study indicates thatthe DSE is not ‘Weak form of Efficient’ and not follow ‘Random Walk model’.