An Alternative Investigation of Weak Form Efficiency in Dhaka Stock Exchange Based on Technical Analysis

An Alternative Investigation of Weak Form Efficiency in Dhaka Stock Exchange Based on Technical Analysis

Md. Mahbubul Haque Khan

Contact

Umma Rumana Huq

Contact

University of Dhaka

An Alternative Investigation of Weak Form Efficiency in Dhaka Stock Exchange Based on Technical Analysis

Article Fingerprint

ReserarchID

C: FINANCEW89M5

An Alternative Investigation of Weak Form Efficiency in Dhaka Stock Exchange Based on Technical Analysis Banner

AI TAKEAWAY

Connecting with the Eternal Ground

Abstract

One highly documented method to test a capital market for weak form efficiency is to identify the return predictability of technical trading rules in that market. Studies on these tests are fewer in number in emerging markets than that of in developed markets and most of the tests have drawn conclusion by including only trend indicators in their trading rules. But it has already been recognized in some previous developed markets studies that trend indicators generally fail to identify sufficient information content in the past prices; hence practitioners very often use these trend indicators combined with confirming indicator (Loh 2007). The current study has investigated Dhaka Stock Exchange, an emerging market of South Asia, for weak form market efficiency by approaching the tests of technical trading rules and has confirmed the profitability of these rules up to 2.15 percent costs per transaction. Here it has used stochastic oscillator as a confirming indicator combined with moving averages (trend indicators) which is the first study of its kind in this market, and has found that it can improve the return predictability only for the short length moving averages.

References

44 Cites in Article

Reference Format

Shelina Akhter,M Misir,Abu (2005). Capital Markets Efficiency: Evidence from the Emerging Capital Market with Particular Reference to Dhaka Stock Exchange.
Sidney Alexander (1961). Price Movements in Speculative Markets-Trends or Random Walks.
Sidney Alexander (1964). Price Movements in Speculative Markets-Trends or Random Walks.
Franklin Allen,Risto Karjalainen (1999). Using genetic algorithms to find technical trading rules.
Hassan Aly,Mehdian,& Seyed,Perry,J Mark (2004). An Analysis of Day-of-the-Weak Effects in the Egyptian Stock Market.
William Brock,Josef Lakonishok,Blake Lebaron (1992). Simple Technical Trading Rules and the Stochastic Properties of Stock Returns.
Sergio Chion,C Veliz,N Carlos (2008). On the Normality of Stock Return Distributions: Latin American Markets, 2000-2007.
Arusha Cooray,Guneratne Wickremasinghe (2007). The Efficiency of Emerging Stock Markets: Empirical Evidence from the South Asian Region.
Eugene Fama,Marshall Blume (1966). Filter Rules and Stock-Market Trading.
Eugene Fama,Kenneth French (1988). Permanent and Temporary Components of Stock Prices.
E Fama (1965). The Behavior of Stock Market Prices.
E Fama (1965). Random Walks in Stock Market Prices.
Eugene Fama (1970). Efficient Capital Markets: A Review of Theory and Empirical Work.
Eugene Fama (1991). Efficient Capital Markets: II.
Claire Gilmore,Ginette Mcmanus (2001). Random-Walk and Efficiency Tests of Central European Equity Markets.
Rakesh Gupta,Junhao Yang (2011). Testing Weak form Efficiency in the Indian Capital Market.
Arshad Hassan,Muhammad Abdullah,Shoib,Zulfiqar Shah,Ali (2007). Testing of Random Walks and Market Efficiency in an Emerging Market: An empirical Analysis of Karachi Stock Exchange.
Yongmiao Hong,Tae-Hwy Lee (2003). Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models.
Robert Hudson,Michael Dempsey,Kevin Keasey (1996). A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices - 1935 to 1994.
Tashfeen Hussain,Liton Chakraborty,Mir Kabir,Ahasan (2008). Is Dhaka Stock Exchange Efficient? An Application of Technical Trading Rule.
Dušan Isakov,Marc Hollistein (1999). Application of Simple Technical Trading Rules to Swiss Stock Prices: Is it Profitable?.
F James,Jr (1968). Monthly Moving Average-An Effective Investment Tool.
Michael Jensen,George Benington (1970). RANDOM WALKS AND TECHNICAL THEORIES: SOME ADDITIONAL EVIDENCE.
Mir Kader,Afm Abdul & Rahman,Ataur (2005). Testing the Weak-Form Efficiency of an Emerging Market: Evidence from the Dhaka Stock Exchange References Références Referencias of Bangladesh.
M Kendall (1953). The Analysis of Economic Time-Series Part I: Prices.
Md Khan,Haque,Umma Huq,Rumana (2012). Distribution of Risk and Return: A Statistical Test of Normality on Dhaka Stock Exchange.
Md Khan,Haque,Umma Huq,Rumana (2013). An Empirical Test of Weak Form Market Efficiency on an Emerging Market: Evidence from Dhaka Stock Exchange.
Rakesh Kumar,Raj Dhankar (2011). Distribution of Risk and Return: A Test of Normality in Indian Stock Market.
Camillo Lento (2007). The Effectiveness of Technical Trading Models in Asian Equity Markets around the Financial Crisis.
Andrew Lo,A Mackinlay (1988). Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test.
Elaine Loh (2007). An alternative test for weak form efficiency based on technical analysis.
Massoud Metghalchi,Xavier Garza-Gomez,Yong Glasure,Yung-Ho Chang (2008). Are Moving Average Trading Rules Profitable? Evidence From The Mexican Stock Market.
Terence Mills (1997). Technical Analysis and the London Stock Exchange: Testing Trading Rules Using the FT30.
Asma Mobarek,A Mollah,Rafiqul Bhuyan (2000). Market Efficiency in Emerging Stock Market.
Asma Mobarek,A Mollah,Sabur,Rafiqul Bhuyan (2008). Market Efficiency in Emerging Stock Market: Evidence from Bangladesh.
M Moustafa (2004). Testing the Weak-Form Efficiency of the United Arab Emirates Stock Market.
Collins Ntim,Kwaku Opong,Jo Danbolt,Frank Senyo Dewotor (2007). Testing the weak‐form efficiency in African stock markets.
Sunil Poshakwale (1996). Evidence on Weak Form Efficiency and Day of the Weak Effect in the Indian Stock Market.
James Poterba,Lawrence Summers (1988). Mean reversion in stock prices.
Awais Rehman,Ur,Masood,Mubashar,Arshed,& Saleem,Shah,Zulfiqar Syed,Ali (2012). Evaluation of Weak Form of Efficiency: An Empirical Study of Emerging South Asian Stock Markets.
Frank Reilly,Keith Brown (2004). Investment Analysis and Portfolio Management.
Richard Sweeny (1988). Some New Filter Rule Tests: Methods and Results.
R Vaidyanathan,Kanti Gali,Kumar (1994). Efficiency of the Indian Capital Market.
James Van Horne,George Parker (1967). The Random-Walk Theory: An Empirical Test.

Download References

Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Md. Mahbubul Haque Khan. 2015. \u201cAn Alternative Investigation of Weak Form Efficiency in Dhaka Stock Exchange Based on Technical Analysis\u201d. Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 14 (GJMBR Volume 14 Issue C6): .

More Citation Formats

Select Citation Style:

Download Citation

Download Article

GJMBR Volume 14 Issue C6
Pg. 103- 110

Explore Journals Explore Volume Read This Issue

Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords

dhaka stock exchange Market efficiency moving averages combined with stochastic oscillator tests of technical trading rules

Submission ReceivedDecember 8, 2013
Peer Review Double Blind
Handling Editor
Accepted January 4, 2014
Published January 15, 2014

Version of record

v1.2

Issue date

January 17, 2015

Language

Experiance in AR

Explore published articles in an immersive Augmented Reality environment. Our platform converts research papers into interactive 3D books, allowing readers to view and interact with content using AR and VR compatible devices.

View in VR

Read in 3D

Your published article is automatically converted into a realistic 3D book. Flip through pages and read research papers in a more engaging and interactive format.

View in 3D

Article Matrices

Total Score: 102

Country: Bangladesh

Subject: Global Journal of Management and Business Research - C: Finance

Authors: Md. Mahbubul Haque Khan, Umma Rumana Huq (PhD/Dr. count: 0)

View Count (all-time): 114

Total Views (Real + Logic): 4289

Total Downloads (simulated): 2185

Publish Date: 2015 01, Sat

Monthly Totals (Real + Logic):

Month 1: 35 views
Month 2: 61 views
Month 3: 36 views
Month 4: 41 views
Month 5: 43 views
Month 6: 32 views
Month 7: 26 views
Month 8: 32 views
Month 9: 41 views
Month 10: 49 views
Month 11: 52 views
Month 12: 18 views
Month 13: 27 views
Month 14: 27 views
Month 15: 24 views
Month 16: 35 views
Month 17: 41 views
Month 18: 29 views
Month 19: 24 views
Month 20: 24 views
Month 21: 33 views
Month 22: 35 views
Month 23: 22 views
Month 24: 21 views
Month 25: 28 views
Month 26: 28 views
Month 27: 18 views
Month 28: 33 views
Month 29: 39 views
Month 30: 35 views
Month 31: 24 views
Month 32: 30 views
Month 33: 27 views
Month 34: 43 views
Month 35: 26 views
Month 36: 23 views
Month 37: 31 views
Month 38: 43 views
Month 39: 17 views
Month 40: 25 views
Month 41: 20 views
Month 42: 26 views
Month 43: 47 views
Month 44: 40 views
Month 45: 21 views
Month 46: 43 views
Month 47: 11 views
Month 48: 25 views
Month 49: 29 views
Month 50: 37 views
Month 51: 40 views
Month 52: 32 views
Month 53: 40 views
Month 54: 25 views
Month 55: 33 views
Month 56: 29 views
Month 57: 31 views
Month 58: 39 views
Month 59: 25 views
Month 60: 24 views
Month 61: 23 views
Month 62: 37 views
Month 63: 35 views
Month 64: 15 views
Month 65: 35 views
Month 66: 24 views
Month 67: 22 views
Month 68: 17 views
Month 69: 31 views
Month 70: 40 views
Month 71: 28 views
Month 72: 42 views
Month 73: 33 views
Month 74: 44 views
Month 75: 20 views
Month 76: 43 views
Month 77: 34 views
Month 78: 31 views
Month 79: 42 views
Month 80: 13 views
Month 81: 11 views
Month 82: 20 views
Month 83: 21 views
Month 84: 16 views
Month 85: 23 views
Month 86: 32 views
Month 87: 32 views
Month 88: 36 views
Month 89: 27 views
Month 90: 35 views
Month 91: 21 views
Month 92: 26 views
Month 93: 24 views
Month 94: 24 views
Month 95: 30 views
Month 96: 26 views
Month 97: 43 views
Month 98: 30 views
Month 99: 34 views
Month 100: 29 views
Month 101: 21 views
Month 102: 30 views
Month 103: 47 views
Month 104: 31 views
Month 105: 21 views
Month 106: 35 views
Month 107: 34 views
Month 108: 39 views
Month 109: 39 views
Month 110: 40 views
Month 111: 20 views
Month 112: 30 views
Month 113: 23 views
Month 114: 38 views
Month 115: 34 views
Month 116: 38 views
Month 117: 18 views
Month 118: 22 views
Month 119: 21 views
Month 120: 27 views
Month 121: 49 views
Month 122: 44 views
Month 123: 30 views
Month 124: 31 views
Month 125: 26 views
Month 126: 16 views
Month 127: 42 views
Month 128: 32 views
Month 129: 31 views
Month 130: 14 views
Month 131: 44 views
Month 132: 43 views
Month 133: 28 views
Month 134: 32 views
Month 135: 49 views
Month 136: 42 views

Total Views: 4289

Total Downloads: 2185

2026 Trends

Published Article

Our website is actively being updated, and changes may occur frequently. Please clear your browser cache if needed. For feedback or error reporting, please email [email protected]