Open AccessRandom Walk Hypothesis for Stock Prices in Fiji
Author(s) -
Janesh Sami
Publication year - 2021
Publication title -
asian journal of finance and accounting
Language(s) - English
Resource type - Journals
ISSN - 1946-052X
DOI - 10.5296/ajfa.v13i2.14674
Subject(s) - random walk hypothesis , unit root , stock (firearms) , economics , random walk , liberian dollar , stock market , econometrics , devaluation , efficient market hypothesis , financial economics , us dollar , mathematics , monetary economics , exchange rate , statistics , geography , finance , context (archaeology) , archaeology
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.