The Random Walk Hypothesis and the Evidence from the Amman (Jordan) Stock Exchange

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The Random Walk Hypothesis and the Evidence from the Amman (Jordan) Stock Exchange

Author Info

Aktham Maghyereh (Hashemite University, College of Economics & Administrative Sciences, Jordan)

Abstract

This study investigates the validity of the random walk model for an emerging stock market (Amman Stock Exchange, ASE). The study examines for all assumptions implied by the random walk model using aggregate daily data. The results suggest that the behaviour of the ASE return series is inconsistent with the random walk model, which implies informationally inefficient.

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Publisher Info
Article provided by Faculty of Economics and Business, University of Zagreb in its journal Zagreb International Review of Economics and Business.

Volume (Year): 6 (2003)
Issue (Month): 1-2 (May - November)
Pages: 29-42
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Handle: RePEc:zag:zirebs:v:6:y:2003:i:1-2:p:29-42

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G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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