Assessment of Capital Market Efficiency in COVID-19

The study tries to focus on the efficiency of capital market through investigating randomness return series Dhaka Stock Exchange Bangladesh. Due COVID-19 pandemic worldwide faces higher volatility than before. finds week form level Bangladesh market. Special Run test, Auto correlation predictability tock using ARIMA model weekend effect anomaly and momentum strategy investing. found that hypothesis stock returns are rejected for price index changes by random walk tests, normality distributions, runs test at different lags tests which assert is not efficient even in weak form.