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

Aktham Maghyereh

Zagreb International Review of Economics and Business, 2003, vol. 6, issue 1-2, 29-42

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.

Keywords: emerging markets; non-linear dependence; RWM; securities; trading (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2003
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