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Stock market prices and the random walk hypothesis: Further
evidence from Nigeria
Godwin Chigozie
Okpara
Department of Finance and Banking, Abia State University
Utur - Nigeria.
E-mail:
godgozie@yahoo.com.
Accepted 29 January, 2010 |
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The weak form hypothesis has been pointed out as dealing
with whether or not security prices fully reflect historical
price or return information. To carry out this investigation
with the Nigerian stock market data, we employed the run test and the
correlogram/partial autocorrelation function as
alternate forms of the research instrument. The results of
the three alternate tests revealed that the Nigerian stock
market is efficient in the weak form and therefore follows a
random walk process. Thus, the opportunity of making excess
returns in the market is ruled out.
Keywords:
Market efficiency, weak form hypothesis, stock market
returns, equity, run test, autocorrelation test. |
