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

Author

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  • 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.

Suggested Citation

  • Aktham Maghyereh, 2003. "The Random Walk Hypothesis and the Evidence from the Amman (Jordan) Stock Exchange," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 6(1-2), pages 29-42, May - Nov.
    • Handle: RePEc:zag:zirebs:v:6:y:2003:i:1-2:p:29-42
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    More about this item

    Keywords

    emerging markets; non-linear dependence; RWM; securities; trading;
    All these keywords.

    JEL classification:

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

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