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Test of Random Walk Hypothesis in the Nigerian Stock Market
並列摘要
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.
延伸閱讀
- Ajekwe, C. C. M., Ibiamke, A., & Haruna, H. A. (2017). Testing the Random Walk Theory in the Nigerian Stock Market. IRA-International Journal of Management & Social Sciences, 6(3), 500-508. https://doi.org/10.21013/jmss.v6.n3.p15
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- Osamwonyi, I. O., & Asein, E. I. (2012). Market Risk and Returns: Evidence from the Nigerian Capital Market. Asian Journal of Business Management, 4(4), 367-372. https://www.airitilibrary.com/Article/Detail?DocID=20418752-201209-201508130023-201508130023-367-372
- Tan, Z., Shan, Y., Jiang, W., & Sun, H. (2021). Tests for Mispricing and Trading Strategies in the US Stock Market. Frontiers in Economics and Management, 2(1), 37-44. https://doi.org/10.6981/FEM.202101_2(1).0006
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