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Please use this identifier to cite or link to this item: http://hdl.handle.net/123456789/8480

Title: An investigation of the random walk hypothesis of stock prices on the Ghana stock exchange.
Authors: Afful, Simon Benteh
Issue Date: 4-Apr-2016
Abstract: The aim of this thesis is to investigate whether or not stock prices at the Ghana Stock Exchange follow a random walk model. There have been immersed developments in the Stock market all over the world in the past. There have also been numerous changes in the stock market in both developed and developing countries. This research aims at investigating whether or not stock prices at the Ghana Stock Market follows a random walk model. The Ghana Stock exchange financial markets returns series portrays volatility clustering that shows an indication of inefficiency on the Ghana Stock Exchange. The result of both the parametric and the non-parametric test shows that returns from the Ghana Stock Exchange did not follow a normal distribution. The study uses two test of randomness and independence based on serial correlation test to check for the presence or otherwise of auto correlation in the daily stock prices and returns from the Ghana Stock Market. The entire test including the Z-score value for both stock prices and their returns show significant indications of dependence in return series hence, non-randomness. The overall findings suggest that random walk model cannot be a good description of successive price returns at the Ghana stock Exchange and hence results obtained are contrary to the hypothesis that successive stock price are independent random variables and also not consistent with efficient market hypothesis.
Description: A thesis presented to the School of Business, Kwame Nkrumah University of Science and Technology, in partial fulfilment of the requirement for the award of Master of Business Administration (Finance), 2015
URI: http://hdl.handle.net/123456789/8480
Appears in Collections:College of Arts and Social Sciences

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