This study applies Lo and MacKinlay’s methodology on the daily movements of three Bangladeshi equity indices: CSE-30, CSCX, and CASPI. Contrary to the conventional wisdom and empirical results of earlier studies, the results suggest that the Bangladeshi CSE-30 index, joint period, two, four, eight and sixteen period returns do not follow the random walk. Except for the four day period, return series of the CASPI, CASPI, the CSCE and their investigated individual periodical return series follow a random walk. These findings indicate that investors and portfolio managers cannot profit by trading component stocks of these indices that follow a random walk based solely on past price movements. They can, however, still include stocks from these indices in their portfolios as international diversifica-tion strategies.