Empirical Test of the Martingale Property in Stock Market: Evidence from Nigeria

Ajayi John Ayodele; Ojo-Agbodu Ayodele; Adesina Nathaniel Olanrewaju

doi:doi:10.11648/j.jfa.20170504.14

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Empirical Test of the Martingale Property in Stock Market: Evidence from Nigeria

Ajayi John Ayodele, Ojo-Agbodu Ayodele, Adesina Nathaniel Olanrewaju

Published in Journal of Finance and Accounting (Volume 5, Issue 4)

Received: 26 October 2016 Accepted: 4 January 2017 Published: 21 June 2017

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Abstract

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.

Published in	Journal of Finance and Accounting (Volume 5, Issue 4)
DOI	10.11648/j.jfa.20170504.14
Page(s)	147-150
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2017. Published by Science Publishing Group

Keywords

Martingale Property, Martingale Specification, Transfer Function, Stock Market

References

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[3]	Kim, J. H (2004). Testing the martingale hypothesis in Asian stock prices: Evidence from a new joint variance ratio test, Department of Econometrics and Business Statistics, Monash University, Australia.
[4]	Fama, E. F. (1991). Efficient capital markets: II, Journal of Finance, 46 (5, December): PP 1575-617.
[5]	Lo, A. and Mackinlay, A. C (1988). Stock market prices do not follow random walk: Evidence from a simple specification test. Review of Financial Studies 7 (3): PP 1-8.
[6]	Kim, M. J. (1991): Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence, Review of Economic Studies, 58: PP. 515-528. Frennberg & Hansson (1993).
[7]	Ayadi, O. F. and Pyun, C. S (1994). An application of variance ratio test to the Korean securities market. Journal of Banking and Finance, 18 (4): PP.643-658.
[8]	Huang B. N. (1995): Do Asian stock market prices follow random walk? Evidence from variance ratio test, Applied Financial Economics, 5: PP. 251-256.
[9]	Malliaropulos, D., & Priestley R. (1999): Mean revision in Southeast Asian stock markets, Journal of Empirical Finance, 6: PP 355-384.
[10]	Chang, K. P. & Ting K. S (2000): A variance ratio test of the random walk hypothesis for Taiwan's stock market, Applied Financial Economics, 10: PP.525- 532.
[11]	Ryoo, H. J. & Smith, G. (2002): Korean Stock prices under price limits: variance ratio Tests of random walks, Applied Financial Economics, 12: PP. 475-484.
[12]	Nankervis, J. C. & Savin, N. E. (2010). Testing the serial correlation generalized Andrews- Ploberger tests, Journal of Economic and Business Statistics 28, PP. 246-255.
[13]	Peter, C. B. & Sainan, J. (2013). Testing the martingale hypothesis, Cowles Foundation Discussion Paper No. 1912, Yale University, New Haven.
[14]	Pham, T. P., Kim, J. H. & Jurdi, D. (2015). Stock return weak-form efficiency of ASEAN stock markets, Department of Economics, La Trobe University, Australia.
[15]	Bilello, C. (2016). Martingales and markets accessed on-line @ http://pension Partners. com/martingales on 19^th November.
[16]	Joseph, W. C. (1986). An alternative semi-strong form test of the efficient market hypothesis by a transfer function approach, Unpublished MBA Dissertation, Simon Fraser University, Canada.

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APA Style

Ajayi John Ayodele, Ojo-Agbodu Ayodele, Adesina Nathaniel Olanrewaju. (2017). Empirical Test of the Martingale Property in Stock Market: Evidence from Nigeria. Journal of Finance and Accounting, 5(4), 147-150. https://doi.org/10.11648/j.jfa.20170504.14

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ACS Style

Ajayi John Ayodele; Ojo-Agbodu Ayodele; Adesina Nathaniel Olanrewaju. Empirical Test of the Martingale Property in Stock Market: Evidence from Nigeria. J. Finance Account. 2017, 5(4), 147-150. doi: 10.11648/j.jfa.20170504.14

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AMA Style

Ajayi John Ayodele, Ojo-Agbodu Ayodele, Adesina Nathaniel Olanrewaju. Empirical Test of the Martingale Property in Stock Market: Evidence from Nigeria. J Finance Account. 2017;5(4):147-150. doi: 10.11648/j.jfa.20170504.14

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@article{10.11648/j.jfa.20170504.14,
  author = {Ajayi John Ayodele and Ojo-Agbodu Ayodele and Adesina Nathaniel Olanrewaju},
  title = {Empirical Test of the Martingale Property in Stock Market: Evidence from Nigeria},
  journal = {Journal of Finance and Accounting},
  volume = {5},
  number = {4},
  pages = {147-150},
  doi = {10.11648/j.jfa.20170504.14},
  url = {https://doi.org/10.11648/j.jfa.20170504.14},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jfa.20170504.14},
  abstract = {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.},
 year = {2017}
}

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TY  - JOUR
T1  - Empirical Test of the Martingale Property in Stock Market: Evidence from Nigeria
AU  - Ajayi John Ayodele
AU  - Ojo-Agbodu Ayodele
AU  - Adesina Nathaniel Olanrewaju
Y1  - 2017/06/21
PY  - 2017
N1  - https://doi.org/10.11648/j.jfa.20170504.14
DO  - 10.11648/j.jfa.20170504.14
T2  - Journal of Finance and Accounting
JF  - Journal of Finance and Accounting
JO  - Journal of Finance and Accounting
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PB  - Science Publishing Group
SN  - 2330-7323
UR  - https://doi.org/10.11648/j.jfa.20170504.14
AB  - 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.
VL  - 5
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ER  -

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Author Information

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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APA Style

Ajayi John Ayodele, Ojo-Agbodu Ayodele, Adesina Nathaniel Olanrewaju. (2017). Empirical Test of the Martingale Property in Stock Market: Evidence from Nigeria. Journal of Finance and Accounting, 5(4), 147-150. https://doi.org/10.11648/j.jfa.20170504.14

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ACS Style

Ajayi John Ayodele; Ojo-Agbodu Ayodele; Adesina Nathaniel Olanrewaju. Empirical Test of the Martingale Property in Stock Market: Evidence from Nigeria. J. Finance Account. 2017, 5(4), 147-150. doi: 10.11648/j.jfa.20170504.14

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AMA Style

Ajayi John Ayodele, Ojo-Agbodu Ayodele, Adesina Nathaniel Olanrewaju. Empirical Test of the Martingale Property in Stock Market: Evidence from Nigeria. J Finance Account. 2017;5(4):147-150. doi: 10.11648/j.jfa.20170504.14

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@article{10.11648/j.jfa.20170504.14,
  author = {Ajayi John Ayodele and Ojo-Agbodu Ayodele and Adesina Nathaniel Olanrewaju},
  title = {Empirical Test of the Martingale Property in Stock Market: Evidence from Nigeria},
  journal = {Journal of Finance and Accounting},
  volume = {5},
  number = {4},
  pages = {147-150},
  doi = {10.11648/j.jfa.20170504.14},
  url = {https://doi.org/10.11648/j.jfa.20170504.14},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jfa.20170504.14},
  abstract = {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.},
 year = {2017}
}

Copy | Download

TY  - JOUR
T1  - Empirical Test of the Martingale Property in Stock Market: Evidence from Nigeria
AU  - Ajayi John Ayodele
AU  - Ojo-Agbodu Ayodele
AU  - Adesina Nathaniel Olanrewaju
Y1  - 2017/06/21
PY  - 2017
N1  - https://doi.org/10.11648/j.jfa.20170504.14
DO  - 10.11648/j.jfa.20170504.14
T2  - Journal of Finance and Accounting
JF  - Journal of Finance and Accounting
JO  - Journal of Finance and Accounting
SP  - 147
EP  - 150
PB  - Science Publishing Group
SN  - 2330-7323
UR  - https://doi.org/10.11648/j.jfa.20170504.14
AB  - 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.
VL  - 5
IS  - 4
ER  -

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