Open AccessAssessment of Capital Market Efficiency in COVID-19
Author(s) -
Fakrul Ahmed
Publication year - 2021
Publication title -
european journal of business and management research
Language(s) - English
Resource type - Journals
ISSN - 2507-1076
DOI - 10.24018/ejbmr.2021.6.3.839
Subject(s) - efficient market hypothesis , economics , predictability , econometrics , volatility (finance) , stock exchange , autoregressive integrated moving average , financial economics , momentum (technical analysis) , stock market index , stock (firearms) , capital market , random walk hypothesis , stock market , time series , statistics , mathematics , finance , geography , context (archaeology) , archaeology
The study tries to focus on the efficiency of the capital market through investigating the randomness of return series of Dhaka Stock Exchange of Bangladesh. Due to COVID-19 pandemic the worldwide capital market faces higher volatility than before. The study finds the week form of efficiency level of Bangladesh capital market. Special focus on Run test, Auto correlation test, predictability of tock return using ARIMA model the weekend effect anomaly and momentum strategy investing. The study found that the hypothesis of randomness of the stock returns are rejected for stock price index changes by using random walk tests, normality of return distributions, runs test and at different lags using ARIMA and the momentum tests which assert Dhaka Stock Exchange is not efficient even in the weak form.