Abstract
Random walk has been held as a sufficient condition for describing the stock market as efficient, which implies that investors cannot predict the market returns or equivalently, abnormal profits cannot be obtained just by knowing the past prices. This study tests the random walk hypothesis in the case of Philippine Stock Prices, using the daily PSE index (PSEi) covering the period 03 January 2005-16 February 2016. Main results, employing the informal or visual methods such as plot analysis of log returns and correlogram, suggest some initial evidence of non-randomness. The formal methods, employing tests for unit root, runs, sequences and reversals, variance ratio, and autocorrelations, show that the PSEi prices do not follow a random walk behavior.
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