Tests of Random Walk and Efficient Market Hypothesis in Developing Economies: Evidence from Nigerian Capital Market
Journal Title: International Journal of Management Sciences - Year 2015, Vol 5, Issue 1
Abstract
Stock exchange markets play a critical role in the economies. They facilitate the movement of capital, often aggregating resources of small individual savers into sufficiently large capital sums that can be successfully invested by commercial companies and at the same time provide opportunities for investors to generate returns. Fluctuation in this markets influence personal and corporate financial live and economic health of the country. The debate on random walk hypothesis has been pointed out as dealing with whether or not security price fully reflect historical prices or returns information. This study empirically investigates whether or not stock prices in Nigeria Stock Exchange follow a random walk model so that the price return cannot be predicted from historical price returns. The study employed serial correlation tests and runs tests to analyze weekly price returns for thirty companies whose stocks constitute the component stocks of the Nigeria Stock Exchange. The scope of the study consists of 30 component stocks traded on the floor of the Nigerian stock Exchange. The period covers January 5, 2010 to January 6, 2011. The findings suggest that random walk model is not a good description of successive price returns in the Nigeria Stock exchange, implying that results obtained are contrary to the hypothesis that successive stock prices are independent random variables and also not consistent with efficient market hypothesis.
Authors and Affiliations
Azubuike Samuel Agbam
Keywords
Related Articles
- EP ID EP26966
- DOI -
- Views 281
- Downloads 4
Relationship Marketing and Its Impact in Nigeria: Study of the Money Deposit Banking Sector
Employees of the money deposit banking sector of Nigeria express dis-satisfaction based on employeremployee relationships thus grievances rate is high as well as rate of labour turnover. These impact negatively on the a...
Impact of Innovation on Customer Satisfaction and Brand Loyalty: A Case Study of Professionals
This study examines the impact of innovation on customer satisfaction and brand loyalty in cellular industry of Pakistan. All companies keep on introducing new features in their products, they can bring innovation in d...
An Evaluation on Musharakah Mutanaqisah Based House Financing By Islamic Banks in Malaysia
Musharakah Mutanaqisah has been suggested as a better Alternative of Islamic Financing contract to Replace the Controversial Bay Bithaman Ajil contract in the house financing. However, To Date, Only a Few Islamic Finan...
Property Marketing With Green Environment
Activity in natural environments is associated with a lower risk of poor mental health. The green natural environment can protect the mental illness and it also helps to create a peaceful mind. Scientifically, the huma...
The Influence of Managers’ Characteristics on Risk Management Practices in Public Listed Companies (PLCs) Of Malaysia
Risk management as a dynamic scientific discipline and a structured response to risk has become increasingly important among businesses and industries worldwide. Relevant literature in this area of specialization is st...