Empirical Test of the Martingale Property in Stock Market: Evidence from Nigeria
Journal of Finance and Accounting
Volume 5, Issue 4, July 2017, Pages: 147-150
Received: Oct. 26, 2016; Accepted: Jan. 4, 2017; Published: Jun. 21, 2017
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Ajayi John Ayodele, Department of Banking and Finance, Federal University of Agriculture, Abeokuta, Nigeria
Ojo-Agbodu Ayodele, Department of Accounting, Lagos State University, Ojo, Nigeria
Adesina Nathaniel Olanrewaju, Department of Entrepreneurial Studies, Federal University of Agriculture, Abeokuta, Nigeria
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This paper investigates whether the martingale property holds in the Nigerian stock market. A transfer function approach was utilized for the study in which a martingale specification framework was constructed to check if the martingale property holds in line or against the specification conditions for the transfer function technique in the Nigerian stock market. Daily returns from the Nigerian stock market spanning January 1, 2005 to December 31, 2013 were used for the study. Findings from the study revealed that the Nigerian stock market does not exhibit martingale property and hence is weak- form inefficient.
Martingale Property, Martingale Specification, Transfer Function, Stock Market
To cite this article
Ajayi John Ayodele, Ojo-Agbodu Ayodele, Adesina Nathaniel Olanrewaju, Empirical Test of the Martingale Property in Stock Market: Evidence from Nigeria, Journal of Finance and Accounting. Vol. 5, No. 4, 2017, pp. 147-150. doi: 10.11648/j.jfa.20170504.14
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This article is an open access article distributed under the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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