Is the Market Efficiency Static or Dynamic – Evidence from Colombo Stock Exchange (CSE)

Abstract

The study tests the weak form efficiency of the Colombo Stock Exchange (CSE) and the consistency of the concept. In this study, daily market closing index values of (All Share Price Index) ASPI of CSE for five years, from June 2010 to June 2015, without adjustments, have been selected as the sample. Both parametric tests and non-parametric tests have been used in this study. The evidence presented in this study confirms that CSE is not weak form efficient within the sample period and is consistent with the findings of previous studies. Therefore, the fact that Efficient Market Hypothesis as a dynamic concept is debatable as studies over the past have consistently confirmed that CSE is not in weak form efficient, although the efficiency of most markets is dynamic.