  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.
