Measuring Dhaka stock exchange market efficiency: A stochastic frontier analysis

Stochastic Frontier Model Approach for Measuring Stock Market Efficiency with Different Distributions

The stock market is considered essential for economic growth and expected to contribute to improved productivity. An efficient pricing mechanism of the stock market can be a driving force for channeling savings into profitable investments and thus facilitating optimal allocation of capital. This study investigated the technical efficiency of selected groups of companies of Bangladesh Stock Mark...

Utilizing Robust Data Envelopment Analysis Model for Measuring Efficiency of Stock, A case study: Tehran Stock Exchange

Uncertainty is a prominent feature of real world problems and more especially financialmarkets; with this in mind, dealing with uncertainty becomes a necessary part of performanceevaluation by means of data envelopment analysis. This paper presents three robust dataenvelopment analysis (DEA) models and their application for performance evaluation inTehran Stock Exchange (TSE). Based on the resu...

Comparative Analysis of Stochastic Frontier Partially non-parametric and Stochastic Frontier Parametric Methods Case Study: Measuring Cost Efficiency in Wheat Production in Iran

Stock Market Anomaly: Day of the Week Effect in Dhaka Stock Exchange

This paper examines the presence of day of the week effect anomaly in Dhaka Stock Exchange (DSE). Several hypotheses have been formulated; dummy variable regression and the GARCH (1, 1) model were used in the study. The result indicates that Sunday and Monday returns are negative and only positive returns on Thursdays are statistically significant. Result also reveals that the mean daily return...

Testing on Weak Form Market Efficiency Hypothesis: The Evidence from Dhaka Stock Market Year 2004-2012

The purpose of this study is to test The Weak Form Efficient Market Hypothesis in Dhaka’s Stock Market. The study examined the distribution of equity returns by dividing the sample period into two sub periods of daily DSE General Index (DGEN) and sub periods are sample-1(2004-2007), and sample-2 (2008-2012). Also, monthly general index starting from 1990 to 2012 are taken as sample to test the ...