Testing Random Walk Behavior in the Damascus Securities Exchange
Journal Title: International Journal of Academic Research in Accounting, Finance and Management Sciences - Year 2014, Vol 4, Issue 4
Abstract
The majority of empirical literature on random walk behavior has interested on developed and emerging markets. However, few studies have been carried out to test the randomness of returns series on less developed markets. Damascus securities exchange is a young and nascent market in the Middle Eastern, started its operations in 2009; therefore, there is no empirical evidence testing the validity of random walk process. This paper examines whether daily stock returns on Damascus Securities Exchange follow a random walk for the period of 2009 to 2014. This study applies two parametric tests namely serial-correlation test and variance ratio test, and two non -parametric tests, i.e. runs test and BDS test. It is found that daily returns do not confirm to a random walk during the period under examination. This result is consistent in both parametric and non-parametric tests. The broad conclusion emerging from this study is that price returns might be predictable; hence, it is possible for investors to earn higher return than average by using historical successive prices.
Authors and Affiliations
Ghada Abbas
Keywords
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- EP ID EP152936
- DOI 10.6007/IJARAFMS/v4-i4/1368
- Views 110
- Downloads 0
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