Randomness of Stock Return in Nigerian Banking Sector

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.