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Title:	Stock market anomalies and adaptive market hypothesis in Dhaka Stock Exchange, Bangladesh
Authors:	Akhter Tahmina (ZP02196)
Supervisor:	Othman Yong, Prof. Dr.
Keywords:	Stock exchanges Efficient market theory Universiti Kebangsaan Malaysia -- Dissertations Dissertations, Academic -- Malaysia
Issue Date:	5-Dec-2019
Description:	Most of the efficiency related studies on Dhaka Stock Exchange (DSE) reject the Efficient Market Hypothesis (EMH) and one possible explanation can be that this market has the characteristics of Adaptive Market Hypothesis (AMH). In AMH market inefficiencies and efficiency can coexist and the level of efficiency can evolve over time. As an emerging stock market, the adaptive nature and the learning abilities of the investors in DSE are distinctive compared to investors in the developed markets, since majority of the investors (almost 70%) are individual investors with lower level of financial literacy (19%). The study employs DSE general index values from 1993 to 2018 for calendar anomalies and the share prices of all listed stocks from 1995 to 2018 for momentum anomalies to examine whether the changing market conditions, as proposed by AMH as the main reasons behind the time-varying efficiencies, can justify the existence of these anomalous behaviors. In general, the findings of the study support the existence of AMH in the DSE. Furthermore, market states (up and down, and stock market bubbles and crashes) can provide some justifications for the abnormal-profit patterns found in this study. In addition, the adaptive nature of the DSE towards the AMH is slower compared to the developed markets. The study findings imply that time-varying efficiency as proposed by the AMH can exist in an emerging stock market, even though the speed of adjustment is slow with the uninformed investors due to lower level of financial awareness. In terms of policy implication, the findings imply that market regulators and policymakers of DSE need to keep in mind this slow adaptive nature of the market before formulating new policy or regulation for market corrections,Ph.D
Pages:	259
Call Number:	HG4551.B3.A3964 2019 tesis
Publisher:	UKM, Bangi
Appears in Collections:	Graduate School of Business / Pusat Pengajian Siswazah Perniagaan

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