EXAMINATION OF STATIONARITY IN FINANCIAL TIME SERIES IN EMERGINGMARKETS: A CASE OF BANGLADESH STOCK MARKET

摘要

This paper examines temporal behavior of financial series in the emerging Bangladesh stock market.We used Augmented Dickey-Fuller (parametric) and Phillip-Perron (non-parametric) tests toexamine the stationarity of selected financial series. Results support the hypothesis that most of thefinancial series contain a unit root, i.e., they are non-stationary. Thus, the evidence support theexistence of weak-form efficiency in Bangladesh stock market.