Analyzing weak-form market efficiency of the Bangladeshi pharmaceutical sector

Md Asiqur Rahman; Shahadat Hossain; Provat Somadder

doi:10.58251/ekonomi.1844910

Analyzing weak-form market efficiency of the Bangladeshi pharmaceutical sector

Abstract

This study investigates and compares the weak-form efficient market hypothesis (WEMH) in Bangladesh's pharmaceutical sector by evaluating temporal efficiency variations across before, during, and after COVID-19 periods, using daily logarithmic returns of 18 firms listed on the Dhaka Stock Exchange. The study detects short-term randomness via Run Test, serial dependence via Ljung-Box, and validate long-horizon random walk behavior via Variance Ratio Test. Results reveal that most firms exhibited randomness and no correlation during the pre-COVID period. The pandemic caused a temporary decline in efficiency, characterized by notable autocorrelation and non-randomness, yet Variance Ratio results continue to support long-term efficiency. In post-COVID era, short-term inefficiency persists and slightly increases, while long-term random walk behavior continues for most firms. Overall, the market efficiency in the sector appears adaptive rather than static over time. It is the first systematic analysis of the pharmaceutical sector across COVID phases, which validates the Adaptive Market Hypothesis through U-shaped short-term frailties and long-horizon resilience. The findings provide substantive implications for investors exploiting short-term predictability, regulators enhancing disclosure mechanisms, and policymakers by elucidating market resilience during systemic crises. Future research could explore intraday data, cross-sector comparisons, and alternative methodologies like machine learning.

Keywords

References

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Details

Primary Language

English

Subjects

Capital Market

Journal Section

Research Article

Authors

Md Asiqur Rahman ^*
0009-0004-2113-0231
Bangladesh

Shahadat Hossain
0009-0002-3418-2503
Bangladesh

Provat Somadder
0009-0005-5155-9829
Bangladesh

Early Pub Date

March 25, 2026

Publication Date

March 25, 2026

Submission Date

December 19, 2025

Acceptance Date

March 25, 2026

Published in Issue

Year 2026 Volume: 8 Number: 1

DOI

https://doi.org/10.58251/ekonomi.1844910

IZ

https://izlik.org/JA76KC52FY

Cite

RIS / Bibtex

APA

Rahman, M. A., Hossain, S., & Somadder, P. (2026). Analyzing weak-form market efficiency of the Bangladeshi pharmaceutical sector. Journal of Ekonomi, 8(1), 45-56. https://doi.org/10.58251/ekonomi.1844910

AMA

1.Rahman MA, Hossain S, Somadder P. Analyzing weak-form market efficiency of the Bangladeshi pharmaceutical sector. JOE. 2026;8(1):45-56. doi:10.58251/ekonomi.1844910

Chicago

Rahman, Md Asiqur, Shahadat Hossain, and Provat Somadder. 2026. “Analyzing Weak-Form Market Efficiency of the Bangladeshi Pharmaceutical Sector”. Journal of Ekonomi 8 (1): 45-56. https://doi.org/10.58251/ekonomi.1844910.

EndNote

Rahman MA, Hossain S, Somadder P (July 1, 2026) Analyzing weak-form market efficiency of the Bangladeshi pharmaceutical sector. Journal of Ekonomi 8 1 45–56.

IEEE

[1]M. A. Rahman, S. Hossain, and P. Somadder, “Analyzing weak-form market efficiency of the Bangladeshi pharmaceutical sector”, JOE, vol. 8, no. 1, pp. 45–56, July 2026, doi: 10.58251/ekonomi.1844910.

ISNAD

Rahman, Md Asiqur - Hossain, Shahadat - Somadder, Provat. “Analyzing Weak-Form Market Efficiency of the Bangladeshi Pharmaceutical Sector”. Journal of Ekonomi 8/1 (July 1, 2026): 45-56. https://doi.org/10.58251/ekonomi.1844910.

JAMA

1.Rahman MA, Hossain S, Somadder P. Analyzing weak-form market efficiency of the Bangladeshi pharmaceutical sector. JOE. 2026;8:45–56.

MLA

Rahman, Md Asiqur, et al. “Analyzing Weak-Form Market Efficiency of the Bangladeshi Pharmaceutical Sector”. Journal of Ekonomi, vol. 8, no. 1, July 2026, pp. 45-56, doi:10.58251/ekonomi.1844910.

Vancouver

1.Md Asiqur Rahman, Shahadat Hossain, Provat Somadder. Analyzing weak-form market efficiency of the Bangladeshi pharmaceutical sector. JOE. 2026 Jul. 1;8(1):45-56. doi:10.58251/ekonomi.1844910