Abstract
This study tests the weak form of efficiency of the Dhaka Stock Exchange (DSE) for daily, weekly and monthly observed and corrected (corrected for thin and non-synchronous trading) returns of DSE General Index (DGEN). The research applies both parametric and nonparametric tests. Results of autocorrelation tests show that the market does not follow random walk, which is supported by the runs test. Variance ratio of weekly observed and corrected returns also confirms the finding. However, daily and monthly observed and corrected returns at homoscedastic and heteroscedastic increments under variance ratio test shows that DSE follows random walk. We further check the robustness of these findings analysing the returns of DSE 20 index. Results obtained here support the conclusions drawn based on DGEN.
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