Stock Price Behavior In An Underdeveloped Capital Market: Nigeria In Contrast To The U.S.

Abstract

Most of the studies of stock price behavior agree that temporal changes in prices follow the random walk model.  With few exceptions these studies were based on American stock price data.  The purpose of the present research is to study the behavior of Nigerian stock prices to find out if the observed behavior of American stock prices can be generalized to a small and thinly traded capital market.  The findings reveal that Nigerian stock prices do not conform to the random walk model when traditional statistical analysis applied.