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Gupta N. and Gedam A., “Testing of efficient market hypothesis: a study on Indian stock market” Journal of Business and Management, 16(8), 2014.

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Article

Predictable or Random?-A Test of the Weak-Form Efficient Market Hypothesis on the Ghana Stock Exchange

1School of Global Business and Entrepreneurship, Gachon University, Seongnam, South Korea

2Business School, Gachon University Seongnam, South Korea


Journal of Finance and Economics. 2018, Vol. 6 No. 6, 213-222
DOI: 10.12691/jfe-6-6-2
Copyright © 2018 Science and Education Publishing

Cite this paper:
Raphael Awiagah, Sung Sup Brian Choi. Predictable or Random?-A Test of the Weak-Form Efficient Market Hypothesis on the Ghana Stock Exchange. Journal of Finance and Economics. 2018; 6(6):213-222. doi: 10.12691/jfe-6-6-2.

Correspondence to: Raphael  Awiagah, School of Global Business and Entrepreneurship, Gachon University, Seongnam, South Korea. Email: swabyra@gmail.com

Abstract

The study examines the predictability of index returns on the Ghana stock market within the framework of the weak-form efficient market hypothesis using historical daily, weekly, monthly, and quarterly returns for a period of 28 years (1990-2017). The descriptive statistics reveal huge disparity between the mean and standard deviation, a phenomenon that suggests that the stock market is highly risky. In the same vein, the return series were also found to be positively skewed with leptokurtic kurtosis. The Jarque-Bera statistics showed a non-normality of return distribution. The random walk hypothesis (RWH) was tested using four robust statistical tests, namely the Ljung-Box autocorrelation test, unit root tests, the runs test, and variance ratio tests (such as Wright’s rank and sign and Lo-Mac Kinlay). The empirical results showed that all four tests rejected the random walk hypothesis required by the weak-form efficient market hypothesis in all four return series. This provides empirical basis to infer that the GSE is inefficient at weak-form. The rejection of the RWH on a daily, weekly, monthly, and quarterly basis is possibly an indication that the weak-form inefficient characteristic of the GSE is not sensitive to return frequency.

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