The Empirical Investigation of Why Stock Prices on the Nigerian Stock Exchange Exhibit Random Walk

1
Prof. Abomaye-Nimenibo Williams Aminadokiari Samuel
Prof. Abomaye-Nimenibo Williams Aminadokiari Samuel Ph.D., M.Sc., B.Sc. Economics, MBA Management and UD, Personnel Management and Industrial Relations, Director of Postgraduate Studies, School of Postgraduate Studies
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Past. Dr. Abomaye-Nimenibo
Past. Dr. Abomaye-Nimenibo
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Williams Aminadokiari Samuel
Williams Aminadokiari Samuel
4
Dr. Amachree
Dr. Amachree
1 to 2 Obong University

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This study empirically investigated whether stock prices on the Nigerian stock exchange exhibit a random walk. Using monthly data from the Central Bank of Nigeria all share index from 1985-2011, the study employed a stepwise approach where the standard linear GARCH (1.1) is applied to capture randomness in terms of volatility clustering. The result proved that the Nigerian stock market is weakly stationary, meaning stock prices on the Nigerian stock market follows a random walk, which is an indication of weak-form efficiency. Therefore, the Nigerian stock market displays a random walk process. Nevertheless, the years 1987Nevertheless, the years , 1991Nevertheless, the years , 1995Nevertheless, the years , 1997Nevertheless, the years , 2001Nevertheless, the years , 2002Nevertheless, the years , 2008, and 2011 demonstrated negative skewness, which is a signification of non-randomness of the market for these years. Besides these years, other years were significantly proven to follow a random walk. Therefore, the Nigerian stock market exhibits a random walk process. Accordingly, investors can obtain a more excellent perception and understanding of the stock market to improve their portfolio performance.

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No external funding was declared for this work.

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The authors declare no conflict of interest.

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No ethics committee approval was required for this article type.

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Not applicable for this article.

Prof. Abomaye-Nimenibo Williams Aminadokiari Samuel. 2020. \u201cThe Empirical Investigation of Why Stock Prices on the Nigerian Stock Exchange Exhibit Random Walk\u201d. Global Journal of Management and Business Research - B: Economic & Commerce GJMBR-B Volume 20 (GJMBR Volume 20 Issue B9): .

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GJMBR Volume 20 Issue B9
Pg. 11- 18
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Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

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August 22, 2020

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This study empirically investigated whether stock prices on the Nigerian stock exchange exhibit a random walk. Using monthly data from the Central Bank of Nigeria all share index from 1985-2011, the study employed a stepwise approach where the standard linear GARCH (1.1) is applied to capture randomness in terms of volatility clustering. The result proved that the Nigerian stock market is weakly stationary, meaning stock prices on the Nigerian stock market follows a random walk, which is an indication of weak-form efficiency. Therefore, the Nigerian stock market displays a random walk process. Nevertheless, the years 1987Nevertheless, the years , 1991Nevertheless, the years , 1995Nevertheless, the years , 1997Nevertheless, the years , 2001Nevertheless, the years , 2002Nevertheless, the years , 2008, and 2011 demonstrated negative skewness, which is a signification of non-randomness of the market for these years. Besides these years, other years were significantly proven to follow a random walk. Therefore, the Nigerian stock market exhibits a random walk process. Accordingly, investors can obtain a more excellent perception and understanding of the stock market to improve their portfolio performance.

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The Empirical Investigation of Why Stock Prices on the Nigerian Stock Exchange Exhibit Random Walk

Past. Dr. Abomaye-Nimenibo
Past. Dr. Abomaye-Nimenibo Obong University
Williams Aminadokiari Samuel
Williams Aminadokiari Samuel
Dr. Amachree
Dr. Amachree

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