This research investigates the applicability of the random walk hypothesis in the context of the Dhaka Stock Exchange (DSE) and its benchmark DSE30 index, with a specific focus on evaluating the weak-form efficiency of Bangladesh’s capital market. Utilizing a diverse array of econometric techniques—such as the augmented Dickey–Fuller and Phillips–Perron unit root tests, autocorrelation analysis, Ljung–Box Q-statistics, runs test and the Brock–Dechert–Scheinkman test for nonlinear dependencies—the study explores return patterns across daily, weekly and monthly intervals spanning from 2013 to 2025. The analysis yields consistent evidence against the random walk hypothesis in daily and weekly returns, revealing serial correlation and deviations from weak-form market efficiency. In contrast, the findings for monthly data remain ambiguous, offering only limited support for randomness. These results suggest that past price movements retain some predictive power, thereby challenging the notion of informational efficiency in its weak form. Furthermore, the outcomes align with existing literature on developing markets, where structural inefficiencies, asymmetric information and regulatory shortcomings often impede full market efficiency. The study enriches the discourse on market dynamics within emerging economies by emphasizing persistent departures from theoretical efficiency assumptions.
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