Randomness of Stock Return in Nigerian Banking Sector


OBISESAN Oluwaseun G., AJAYI Boboye L.

Abstract


This study presents a test of Random Walk Hypothesis in the Nigerian Stock Market, with a view to determining if stock price changes conform to predetermined probability distribution. A sample of thirteen Deposit Money Banks which are listed on the Nigerian Stock Exchange between 2007 and 2014 were used in the analysis. Secondary daily price data for the period were sourced from the capital assets section of NSE Fact Book. The methods used were; Augmented Dickey-Fuller Test (ADF), Phillips-Perron Test (PP) and Kwiatkowski, Phillips, Schmidt and Shin Test (KPSS) unit root tests were used to test non-stationarity while Descriptive Statistics of Jaque-bera were used to check for normality. The ADF, PP and KPSS unit root test results imply that the changes in stock prices are stationary at level while Descriptive statistics results indicate that the changes in stock prices do not follow a normal distribution.

Keywords


Random walk, Deposit money bank, Daily stock return, ADF, KPSS.

| PDF |


About this article

Title

Randomness of Stock Return in Nigerian Banking Sector

Keywords

Random walk, Deposit money bank, Daily stock return, ADF, KPSS.

DOI

10.20448/journal.501.2017.42.99.105

Date

2017-10-28

Additional Links

Manuscript Submission

Journal

Asian Journal of Economics and Empirical Research
Vol 4, No 2 (2017) Page: 99-105

Print ISSN

2518-010X

Online ISSN

2409-2622

Statistics

24 Views | 28 Downloads

Citations

0

Authors & Affiliations

OBISESAN Oluwaseun G.
Department of Banking and Finance, Faculty of Management Sciences, Ekiti State University, Ado Ekiti
Nigeria

AJAYI Boboye L.
Department of Banking and Finance, Faculty of Management Sciences, Ekiti State University, Ado Ekiti
Nigeria


Article Tools


Email this article (Login required)
Email the author (Login required)
Share

Refbacks

  • There are currently no refbacks.


Paper Submission E-mail: info@asianonlinejournals.com; asianonlinejournals@gmail.com

Asian Journal of Economics and Empirical Research Online ISSN: 2409-2622 | Print ISSN: 2518-010X

Copyright © Asian Online Journal Publishing Group

To make sure that you can receive messages from us, please add the 'asianonlinejournals.com' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.

...............................................................................................................................................................................................................