Tests of Weak‐Form Efficiency of the Dhaka Stock Exchange
发现达卡股市弱式有效性的矛盾证据源于数据频率、1996年崩盘后的结构变化以及是否调整异方差性；使用异方差稳健检验后，崩盘前股价短期可预测，崩盘后则不可预测。
Abstract: Conflicting evidence on weak form efficiency of the Dhaka Stock Market appears to stem from the use of monthly versus daily data, structural changes after the 1996 market crash, and the use of tests with or without heteroscedasticity adjustment. Heteroscedasticity‐robust tests indicate short‐term predictability of share prices prior to the crash, but not afterwards. Although a heteroscedasticity‐robust Box‐Pierce test was used by Lo and MacKinlay (1989) in their simulations, our study appears to be the first to apply this test to stock prices. Typical rejection of weak‐form market efficiency by the usual autocorrelation tests may be reversed by a heteroscedasticity‐robust test.