Effect of Policy Reforms on Market Efficiency: Evidence from Dhaka Stock Exchange

Table 6

Parametric Statistics (Autoregression Test) of Market Return.

Policy	Model	Coefficient	SEB	𝑇-Ratio	Approx. Prob.
	Constant	0.0009^$	0.0005	1.8078	0.0713
Group Policy 1	Market Return (𝑡−1)	0.2786*	0.0469	5.9439	0.0000
	Market Return (𝑡−2)	0.0645	0.0463	1.3934	0.1642
	Constant	0.0009^$	0.0004	2.2631	0.0240
Group Policy 2	Market Return (𝑡−1)	0.2735*	0.0396	6.9079	0.0000
	Market Return (𝑡−2)	0.0395	0.0392	1.0072	0.3142
	Constant	0.0009^$	0.0005	1.9084	0.0567
Group Policy 3	Market Return (𝑡−1)	0.5563*	0.0347	16.0421	0.0000
	Market Return (𝑡−2)	−0.0868^$	0.0348	−2.4957	0.0128
	Constant	0.0002	0.0005	0.4109	0.6812
Group Policy 4	Market Return (𝑡−1)	0.4660*	0.0293	15.9274	0.0000
	Market Return (𝑡−2)	−0.1595*	0.0292	−5.4590	0.0000
	Constant	0.0001	0.0004	0.1704	0.8647
Group Policy 5	Market Return (𝑡−1)	0.4181*	0.0265	15.7713	0.0000
	Market Return (𝑡−2)	−0.1438*	0.0265	−5.4316	0.0000
	Constant	0.0001	0.0004	0.1860	0.8525
Group Policy 6	Market Return (𝑡−1)	0.4098*	0.0251	16.3321	0.0000
	Market Return (𝑡−2)	−0.1381*	0.0251	−5.5113	0.0000
	Constant	0.0002	0.0004	0.4985	0.6182
Group Policy 7	Market Return (𝑡−1)	0.3795*	0.0230	16.5299	0.0000
	Market Return (𝑡−2)	−0.1274*	0.0229	−5.5556	0.0000
	Constant	0.0003	0.0004	0.7031	0.4821
Group Policy 8	Market Return (𝑡−1)	0.3000*	0.0217	13.8354	0.0000
	Market Return (𝑡−2)	−0.0928*	0.0217	−4.2816	0.0000
	Constant	0.0002	0.0004	0.6705	0.5026
Group Policy 9	Market Return (𝑡−1)	0.2991*	0.0213	14.0504	0.0000
	Market Return (𝑡−2)	−0.0924*	0.0213	−4.3470	0.0000
	Constant	0.0004	0.0003	1.4160	0.1569
Group Policy 10	Market Return (𝑡−1)	0.2914*	0.0185	15.7568	0.0000
	Market Return (𝑡−2)	−0.0850*	0.0185	−4.5978	0.0000
	Constant	0.0003	0.0003	1.3386	0.1808
Group Policy 11	Market Return (𝑡−1)	0.2774*	0.0176	15.7498	0.0000
	Market Return (𝑡−2)	−0.0832*	0.0176	−4.7274	0.0000

*Denotes significant at 1% level and ^$denotes significant at 10% level.