In recent years, the Nigerian Stock Exchange (NSE) has witnessed an unprecedented growth in market capitalization, membership, value and volume traded. By December 2007, the All Share Index has grown massively over 57,990.2 from 1113.4 in January 1993. This rising interest in investment...

The rational expectations hypothesis (REH) serves as an appealing mechanism in forming expectations compared to that of extrapolative or adaptive frameworks because of its consistency with the basic principles of maximizing behavior. This argument is particularly true as the basic idea of REH...

The rational expectations hypothesis states that when people are expecting things to happen, using the available information, the predicted outcomes usually occur. This study utilized survey data provided by the Business Expectations Survey of Limited Companies to test whether forecasts of the...

Efficiency in financial markets is tested by applying variance ratio (VR)tests, but unit root tests are also used by many, sometimes in addition to the VR tests. There is a lack of clarity in the literature about the implication of these test results when they seem to disagree. We distinguish...

This paper examines the random walk hypothesis in the Visegrad Countries stock market as emerging stock markets. The results both from autocorrelation analysis and unit root tests imply that monthly stock price indices of the Visegrad Countries follow the random walk process. This means that the...

In this paper, we test the weak-form stock market efficiency for the Tunisian stock market (TSE). Our empirical approach is founded on the analysis of the behaviour over time of the Hurst's exponent. Thus, we computed the Hurst's exponent using a “rolling sample†with a time window of...