ON THE VALIDITY OF THE RANDOM WALK HYPOTHESIS APPLIED TO THE DHAKA STOCK EXCHANGE

DOI10.1142/S0219024904002797zbMath1099.91516OpenAlexW2145450931MaRDI QIDQ4658678

Mohammad Sanjeed Hasan

Publication date: 18 March 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024904002797

zbMATH Keywords

BDS statisticvariance ratiorandom walk modelEGARCH modelDhaka Stock Exchangeweak-form efficient market hypothesis

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (1)

TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA

Cites Work

• Conditional Heteroskedasticity in Asset Returns: A New Approach
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