Abstract

Dhaka Stock Exchange has experienced two market crashes since its inception (November 1996 and December
2010). The regulator tried to reform the market as an efficient market by taking various measures. This study is
designed to measure market efficiency level of DSE; Market efficiency is used to explain the relationship
between information and share price in capital market, following whether or not returns in a market follow a
random walk process over a longer period of time. For testing of market efficiency, we conducted normality test
along with serial dependencies of stock return from one period to another. The Result of the study indicates that
the DSE is not ‘Weak form of Efficient’ and not follow ‘Random Walk model’.

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