This paper examines the weak-form efficiency in Dhaka Stock Exchange (DSE) of Bangladesh adjusting for thin trading problem. Both non-parametric tests and parametric tests are used. The data sets consist of daily DSE General Index (DSE-GEN) and DSE 20 Index for the period ranging from January 1, 2002 to December 31, 2007. The results of the study reveal that DSE return series are not normally distributed. Both the return series are stationary and do not follow a random walk. Overall, the study rejects the weak form efficiency of DSE.
{"title":"Weak-Form Market Efficiency of Dhaka Stock Exchange (DSE), Bangladesh","authors":"A. Mollik, Md Khokan Bepari","doi":"10.2139/ssrn.1460536","DOIUrl":"https://doi.org/10.2139/ssrn.1460536","url":null,"abstract":"This paper examines the weak-form efficiency in Dhaka Stock Exchange (DSE) of Bangladesh adjusting for thin trading problem. Both non-parametric tests and parametric tests are used. The data sets consist of daily DSE General Index (DSE-GEN) and DSE 20 Index for the period ranging from January 1, 2002 to December 31, 2007. The results of the study reveal that DSE return series are not normally distributed. Both the return series are stationary and do not follow a random walk. Overall, the study rejects the weak form efficiency of DSE.","PeriodicalId":107211,"journal":{"name":"Asset Pricing & Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2009-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131694315","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper presents a new technique for the empirical analysis of some capital market ratios and stock valuation. We first show how capital market ratios (such as the price to earning ratio) can be plotted in a constructed stock valuation box. Within the box we can also plot the contours of several associated valuation measures. Analysis of the properties of the traditional capital market ratio (the price earnings ratio, PER) suggest that they should be supplemented by a new index, the PERS (value ratio) index. We show how changes in the value of PERS are associated with changes in the ratio of the current earnings of the firm to the sum of value of the firm and current earnings, and how this may alter our economic interpretation of changes in the patterns and direction of stock values. We do also some empirical analyses to show that the new measure of PERS is better the the traditional one.
{"title":"On Capital Market Ratios and Stock Valuation: A Geometric Approach","authors":"A. Azhar, Suzana Idayu Wati Osman, R. Parinduri","doi":"10.2139/ssrn.1460594","DOIUrl":"https://doi.org/10.2139/ssrn.1460594","url":null,"abstract":"This paper presents a new technique for the empirical analysis of some capital market ratios and stock valuation. We first show how capital market ratios (such as the price to earning ratio) can be plotted in a constructed stock valuation box. Within the box we can also plot the contours of several associated valuation measures. Analysis of the properties of the traditional capital market ratio (the price earnings ratio, PER) suggest that they should be supplemented by a new index, the PERS (value ratio) index. We show how changes in the value of PERS are associated with changes in the ratio of the current earnings of the firm to the sum of value of the firm and current earnings, and how this may alter our economic interpretation of changes in the patterns and direction of stock values. We do also some empirical analyses to show that the new measure of PERS is better the the traditional one.","PeriodicalId":107211,"journal":{"name":"Asset Pricing & Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2009-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123000805","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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