scholarly journals Test of Random Walk Hypothesis in the Nigerian Stock Market

2015 ◽  
Vol 7 (2) ◽  
pp. 27-36 ◽  
Author(s):  
Joel Obayagbona ◽  
Sunday Osaretin Igbinosa
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Random Walk Hypothesis

THE RANDOM-WALK HYPOTHESIS OF STOCK MARKET BEHAVIOR

Kyklos ◽  
1964 ◽  
Vol 17 (1) ◽  
pp. 1-30 ◽  
Author(s):  
Michael D. Godfrey ◽  
Clive W. J. Granger ◽  
Oskar Morgenstern
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Market Behavior ◽  
Random Walk Hypothesis

scholarly journals Random Walk Hypothesis for Stock Prices in Fiji

2021 ◽  
Vol 13 (2) ◽  
pp. 79-88
Author(s):  
Janesh Sami
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Unit Root ◽  
Stock Prices ◽  
Structural Break ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Random Walk Hypothesis ◽  
Augmented Dickey Fuller ◽  
Historical Movement

The main goal of this paper is to investigate the random walk hypothesis in Fiji using monthly data from January 2000 to October 2017. Applying augmented Dickey Fuller (ADF 1979, 1981) and Phillips-Perron (1988), Zivot-Andrews (1992), and Narayan and Popp (2010) unit root tests, this study finds that stock prices is best characterized as non-stationary. The estimated multiple structural break dates in the stock prices corresponds with devaluation of Fijian dollar by 20 percent in 2009 and General Elections in September 2014, which Fiji First Party won by majority votes. The empirical results indicate that stock prices are best characterized as a unit root (random walk) process, indicating that the weak-form efficient market hypothesis holds in Fiji’s stock market. Hence, it will be difficult to predict future returns based on historical movement of stock prices in Fiji’s stock market.

Variance Ratio Test of Random Walk in Indian Stock Market

2015 ◽  
Vol 2 (2) ◽  
pp. 89-107
Author(s):  
Saloni Gupta ◽  
Neha Bothra
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Stock Returns ◽  
Ratio Test ◽  
Variance Ratio ◽  
Random Walk Hypothesis ◽  
Variance Ratio Test ◽  
Indian Stock Market ◽  
High Degree ◽  
The Relationship

We conduct tests of the null hypothesis of a random walk at the aggregate level of market indices and disaggregate level of individual shares to the Indian stock market over various data periods and a comparison of two sub-periods namely the pre liberalization and the post liberalization period. For this, we use the Lo-MacKinlay (1988) variance ratio test. Although the oldest test i.e. the serial correlation coefficient test is also applied to the same data to establish the relationship between the two tests but its results are not elaborated in this paper. The strength of this paper lies in the voluminous data base and a powerful testing tool that it makes use of. It is observed that the market is highly inefficient at daily returns level, thus imbibing high degree of predictability in stock returns, and even the weekly returns show the existence of trend. Monthly returns, however, support the random walk hypothesis across all periods. Thus it is concluded that further refinement of reform measures is required.

RECENT BEHAVIOUR OF STOCK MARKET PRICES IN GERMANY AND THE RANDOM WALK HYPOTHESIS

Kyklos ◽  
1973 ◽  
Vol 26 (3) ◽  
pp. 576-599 ◽  
Author(s):  
Klaus Conrad ◽  
D. Johannes Jüttner
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Market Prices ◽  
Random Walk Hypothesis

scholarly journals Behaviour of Stock Returns in the KLSE: A Test of the Random Walk Hypothesis

2020 ◽  
Author(s):  
Ahmadu Umaru Sanda ◽  
Abdul Ghani Shafie ◽  
G.S Gupta
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Technical Analysis ◽  
Kuala Lumpur ◽  
Random Walk Hypothesis ◽  
Serial Correlations ◽  
Random Walk Theory

A sample of 224 companies listed in the Kuala Lumpur Stock Exchange was taken for the period 1991-96. The serial correlations tests of varying lags and the runs tests were employed to test for the random walk theory. The bulk of the results tilts towards the rejection of non-randomness, lending weight to the argument that the stock market has no memory, and casting doubt upon the usefulness of technical analysis.  

Testing Random Walk and Market Efficiency: A Cross-Stock Market Analysis

2018 ◽  
Vol 53 (4) ◽  
pp. 225-238
Author(s):  
Subrata Roy
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Market Efficiency ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Jel Classification ◽  
Test Statistics ◽  
Random Walk Hypothesis ◽  
Index Value ◽  
Daily Returns

The study seeks to examine the Random Walk Hypothesis (RWH) and market efficiency of the selected stock market indices particularly London Stock Exchange, EuroStoxx 50, Nihon Keizai Shimbum (NIKKI), Shanghai Composite Stock Exchange and Bombay Stock Exchange. Daily closing index value is considered and transformed into logarithm return. Various tests like serial independence test, unit root test and multiple variance tests are applied. It is observed that the null hypotheses (presence of random walks) of the daily returns of the indices are rejected and in few cases are accepted based on various test statistics. JEL Classification: G00, G01, G02

scholarly journals An Analysis of the Random Walk Hypothesis based on Stock Prices, Dividends, and Earnings

2010 ◽  
Vol 6 ◽  
Author(s):  
Risa Leigh Kavalerchik
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Future Price ◽  
Statistical Process ◽  
Random Walk Hypothesis ◽  
Deterministic Trend ◽  
Time Period ◽  
Available Information

This paper explores the stationarity of price movements, dividend yields, and earnings yields for stock market indices and individual stocks within the broader context of the random walk hypothesis. In general, in order for a stock’s price to follow a random walk, its future price must be unforecastable based on all currently available information in the stock market, including its price history. If a stock price is stationary in a given time period, its statistical process does not change over time, meaning that the series has a deterministic trend, which could even be flat. This investigation tests for stationarity in the time series of prices and dividend yields of the Dow Jones Industrial Average (DJIA), the S&P 500 Index, and their underlying component stocks based on the results of univariate and panel unit root tests. I also test for the stationarity of earnings yields for the components of the DJIA. I find that prices of the DJIA and its underlying components behave in a more stationary manner than do the prices of the S&P 500 and its underlying components. Dividend yields behave in an equally non-stationary fashion for the underlying components of both the DJIA and S&P 500. Interestingly, earnings yields for the DJIA prove to exhibit more stationarity than the dividend yields for the DJIA and S&P 500, suggesting that earnings data have some predictability for stock prices.

Monthly Patterns in Egyptian Stock Market

GIS Business ◽  
2017 ◽  
Vol 12 (3) ◽  
pp. 17-24
Author(s):  
Ahmed Ahmed ◽  
Sohair Ahmed
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Stock Returns ◽  
Banking Sector ◽  
Moving Average ◽  
Autoregressive Moving Average ◽  
Random Walk Hypothesis

In this paper, monthly effect in Egyptian stock market is investigated for the period January 2007 to July 2015. After examining the random walk hypothesis of the return series, a Seasonal Autoregressive Moving Average (SARMA) model is specified to test the monthly effect in Egyptian Stock market. The results of the study imply that the banking sector of stock market is informationally efficient and does not confirm to the existence of seasonality in stock returns.

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