SHARE PRICE BEHAVIOURS IN NIGERIAN STOCK MARKET: AN EMPIRICAL TEST OF THE RANDOM WALK HYPOTHESIS

📄 Project Abstract

Several theories, representing professional schools of thought, have been developed to explain the stochastic processes underlying security price behaviours in Stock Markets. These schools differ in approach and are not agreed in their conclusions. Although no one of them has been accepted as conclusive, the random walk model represents profound Interest and impact among financial analysts. The model maintains that highly competitive and organized markets create prices which accurately reflect all current information. In effect, price changes will assimilate new Information and thus approximate a random walk. If this theory is valid, past prices provide no information useful in estimating future prices. The next price change is independent of all past moves. Acceptance of this model has been based on empirical evidence provided by studies of the industrialized markets, particularly those of the United States. Studies of non-U.s. markets present evidence that do not altogether refute or...