Sami, Janesh (2021) Random walk hypothesis for stock prices in Fiji. Asian Journal of Finance and Accounting, 13 (2). NA. ISSN 1946-052X
Full text not available from this repository.Abstract
The main goal of this paper is to investigate the random walk hypothesis in Fiji using monthly data from January 2000 to October 2017. Applying augmented Dickey Fuller (ADF 1979, 1981) and Phillips-Perron (1988), Zivot-Andrews (1992), and Narayan and Popp (2010) unit root tests, this study finds that stock prices is best characterized as non-stationary. The estimated multiple structural break dates in the stock prices corresponds with devaluation of Fijian dollar by 20 percent in 2009 and General Elections in September 2014, which Fiji First Party won by majority votes. The empirical results indicate that stock prices are best characterized as a unit root (random walk) process, indicating that the weak-form efficient market hypothesis holds in Fiji’s stock market. Hence, it will be difficult to predict future returns based on historical movement of stock prices in Fiji’s stock market.
| Item Type: | Journal Article |
|---|---|
| Subjects: | H Social Sciences > HG Finance |
| Divisions: | School of Accounting, Finance and Economics (SAFE) |
| Depositing User: | Ms Shalni Sanjana |
| Date Deposited: | 21 Sep 2021 23:53 |
| Last Modified: | 21 Sep 2021 23:53 |
| URI: | https://repository.usp.ac.fj/id/eprint/12879 |
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