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

Table 5

Parametric Statistics (Autocorrelation Test) of Market Return.

	Leg	1	2	3	4	5	6	7	8
Group Policy 1	Autocorrelation	0.300*	0.163*	0.104	0.130*	0.246*	0.116	0.071	0.048
1/1/1994–23/8/1995	Ljung-Box statistics	41.3^$	53.5^$	58.5^$	66.3^$	94.2^$	100.4^$	102.8^$	103.8^$
Group Policy 2	Autocorrelation	0.285*	0.129*	0.089	0.125*	0.215*	0.106	0.056	0.038
1/1/1994–23/6/1996	Ljung-Box statistics	52.5^$	63.2^$	68.3^$	78.5^$	108.4^$	115.7^$	117.7^$	118.6^$
Group Policy 3	Autocorrelation	0.510*	0.196*	0.027	0.058	0.085*	0.049	0.020	0.066
1/1/1994–17/2/1997	Ljung-Box statistics	215.9^$	247.9^$	248.6^$	251.3^$	257.3^$	259.3^$	259.6^$	263.3^$
Group Policy 4	Autocorrelation	0.400*	0.028	0.044	0.109*	0.047	−0.013	0.043	0.062
1/1/1994–23/5/1998	Ljung-Box statistics	184.0^$	184.9^$	187.1^$	200.9^$	203.5^$	203.6^$	205.8^$	210.2^$
Group Policy 5	Autocorrelation	0.366*	0.010	0.018	0.108*	0.057	0.018	0.032	0.051
1/1/1994–27/4/1999	Ljung-Box statistics	187.1^$	187.3^$	187.7^$	204.0^$	208.5^$	208.9^$	210.4^$	214.0^$
Group Policy 6	Autocorrelation	0.360*	0.011	0.017	0.104*	0.054	0.018	0.032	0.050
1/1/1994–6/12/1999	Ljung-Box statistics	203.0^$	203.2^$	203.6^$	220.6^$	225.2^$	225.7^$	227.3^$	231.3^$
Group Policy 7	Autocorrelation	0.337*	0.001	0.037	0.103*	0.062	−0.002	0.013	0.042
1/1/1994–17/1/2001	Ljung-Box statistics	212.4^$	212.4^$	215.0^$	235.0^$	242.2^$	242.2^$	242.6^$	245.9^$
Group Policy 8	Autocorrelation	0.275*	−0.009	0.045	0.087*	0.055	−0.010	0.009	0.031
1/1/1994–11/12/2001	Ljung-Box statistics	159.5^$	159.7^$	164.0^$	180.1^$	186.5^$	186.7^$	186.9^$	188.9^$
Group Policy 9	Autocorrelation	0.274*	−0.010	0.046	0.088*	0.054	−0.010	0.010	0.032
1/1/1994–29/3/2002	Ljung-Box statistics	164.6^$	164.8^$	169.4^$	186.3^$	192.7^$	192.9^$	193.2^$	195.4^$
Group Policy 10	Autocorrelation	0.269*	−0.006	0.049	0.081*	0.053	−0.011	0.015	0.033
1/1/1994–15/10/2004	Ljung-Box statistics	210.0^$	210.1^$	217.1^$	236.3^$	244.4^$	244.7^$	245.4^$	248.5^$
Group Policy 11	Autocorrelation	0.256*	−0.011	0.046	0.077*	0.048	−0.009	0.012	0.025
1/1/1994–31/12/2005	Ljung-Box statistics	210.5^$	210.9^$	217.6^$	236.6^$	244.1^$	244.3^$	244.8^$	246.8^$

*Denotes significant autocorrelation at two standard error limits; ^$ denotes LB statistics significant at 1% level of significance.