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Journals / Journal of Ekonomi / 2026 / Volume: 8 Issue: 1

Analyzing weak-form market efficiency of the Bangladeshi pharmaceutical sector

Md Asiqur Rahman(University of Barishal)0009-0004-2113-0231
Shahadat Hossain(University of Barishal)0009-0002-3418-2503
Provat Somadder(University of Barishal)0009-0005-5155-9829
Pages
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Publication Date
2026-03-25
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Overall, the market efficiency in the sector appears adaptive rather than static over time.

📌 3 Key Takeaways

🎯
Objective & Hypothesis: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.
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Key Findings & Data:In post-COVID era, short-term inefficiency persists and slightly increases, while long-term random walk behavior continues for most firms.
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Conclusion & Impact:Overall, the market efficiency in the sector appears adaptive rather than static over time.
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Efficient Market Hypothesis · Random Walk · Adaptive Market Hypothesis

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.

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Cite This Article

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

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