英文标题：
《Market Depth and Risk Return Analysis of Dhaka Stock Exchange: An
  Empirical Test of Market Efficiency》
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作者：
Md. Mahmudul Alam, Kazi Ashraful Alam, Md. Gazi Salah Uddin
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最新提交年份：
2017
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英文摘要：
  It is customary that when security prices fully reflect all available information, the markets for those securities are said to be efficient. And if markets are inefficient, investors can use available information ignored by the market to earn abnormally high returns on their investments. In this context this paper tries to find evidence supporting the reality of weak-form efficiency of the Dhaka Stock Exchange (DSE) by examining the issues of market risk-return relationship and market depth or liquidity for DSE. The study uses a data set of daily market index and returns for the period of 1994 to 2005 and weekly market capital turnover in proportion of total market capital for the period of 1994 to 2005. The paper also looks about the market risk (systemic risk) and return where it is found that market rate of return of DSE is very low or sometimes negative. Eventually Capital Asset Pricing Model (CAPM), which envisages the relationship between risk and the expected rate of return on a risky security, is found unrelated in DSE market. As proper risk-return relationships of the market is seems to be deficient in DSE and the market is not liquid, interest of the available investors are bring into being very insignificant. All these issues are very noteworthy to the security analysts, investors and security exchange regulatory bodies in their policy making decisions to progress the market condition.
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中文摘要：
通常，当证券价格充分反映所有可用信息时，这些证券的市场被认为是有效的。如果市场效率低下，投资者可以利用被市场忽视的可用信息，获得异常高的投资回报。在此背景下，本文试图通过研究达卡证券交易所（DSE）的市场风险收益关系和市场深度或流动性问题，找到支持其弱形式效率现实的证据。该研究使用了一组数据，包括1994年至2005年期间的每日市场指数和回报率，以及1994年至2005年期间每周市场资本周转率占总市场资本的比例。本文还研究了市场风险（系统性风险）和回报，发现DSE的市场回报率非常低或有时为负。最终，资本资产定价模型（CAPM）在DSE市场中被发现是不相关的，该模型设想了风险与风险证券的预期收益率之间的关系。由于DSE中适当的市场风险收益关系似乎不足，且市场不具有流动性，可用投资者的利益变得微不足道。所有这些问题都非常值得证券分析师、投资者和证券交易所监管机构在制定政策以改善市场状况时加以注意。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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