The Efficacy of the Random Walk Hypothesis in the Nigerian Stock Exchange Market

Abstract

The Efficient Market Hypothesis (EMH) has been a subject of considerable debates in developed economies; for some time now. The debate has been carried into the emerging market. This study contributes to existing evidence on the efficiency of emerging stock markets using data from the Nigerian Stock Exchange (NSE). Quantitative research method was adopted by conducting Normality test, Runs test and modified version of Augmented Dickey-Fuller unit root tests to examine whether stock price changes in the Nigerian stock exchange market were random. Findings from the study reveal that changes in stock price were random. Overall result from the empirical analysis suggests that the Nigerian stock exchange is efficient in the weak form.

Keywords:Efficient Market Hypothesis (EMH), Random Walk Theory, Normality and Runs Tests, Nigerian Stock Exchange (NSE), Weak form Efficient.