|
Abstract
|
Article Information:
Test of Random Walk Hypothesis in the Nigerian Stock Market
Joel Obayagbona and Sunday Osaretin Igbinosa
Corresponding Author: Sunday Osaretin Igbinosa
Submitted: May 19, 2014
Accepted: June 18, 2014
Published: April 25, 2015 |
Abstract:
|
The paper investigates the weak-form market hypothesis in the emerging capital market of Nigeria from January 2006 to December 2011. It uses three tests of randomness based on autoregressive technique to check for the presence or otherwise of autocorrelation in daily stock prices and returns from the Nigerian Stock Market. All the tests including the Z-statistics for both stock prices and their returns show significant indications of dependence in return series and hence, of non-randomness. The overall results suggest that the emerging Nigerian Stock Market is not efficient in the weak form. The paper recommends that policy makers and regulatory authorities should enact and implement policy measures and put in place necessary market structures that would promote the efficiency of the Nigerian Stock Market.
Key words: Autocorrelation, financial markets, randomness, stock returns and weak-form efficiency, , ,
|
|
Abstract
|
PDF
|
HTML |
|
Cite this Reference:
Joel Obayagbona and Sunday Osaretin Igbinosa, . Test of Random Walk Hypothesis in the Nigerian Stock Market. Current Research Journal of Social Sciences, (2): 27-36.
|
|
|
|
 |
ISSN (Online): 2041-3246
ISSN (Print): 2041-3238 |
 |
| Information |
|
|
|
|
| Sales & Services |
|
|
|
|
