Asian Journal of Economics and Empirical Research

This study presents a test of Random Walk Hypothesis in the Nigerian Stock Market, with a view to determining if stock price changes conform to predetermined probability distribution. A sample of thirteen Deposit Money Banks which are listed on the Nigerian Stock Exchange between 2007 and 2014 were used in the analysis. Secondary daily price data for the period were sourced from the capital assets section of NSE Fact Book. The methods used were; Augmented Dickey-Fuller Test (ADF), Phillips-Perron Test (PP) and Kwiatkowski, Phillips, Schmidt and Shin Test (KPSS) unit root tests were used to test non-stationarity while Descriptive Statistics of Jaque-bera were used to check for normality. The ADF, PP and KPSS unit root test results imply that the changes in stock prices are stationary at level while Descriptive statistics results indicate that the changes in stock prices do not follow a normal distribution. The findings of this study show that stock price changes are stationary and not normally distributed. Based on the findings, the changes in Nigerian Deposit Money banks’ stock price in Nigerian stock exchange do not follow a random walk. In other words, Nigerian Stock market is not weak form efficient. The study recommends that since changes in stock prices are not indeterminable or caused by random events, the investor should endeavour to identify what determines the prices in the past in order to ensure judicious and prudent allocation of their investable funds.