Testing efficient market hypothesis of Nairobi securities exchange

Abstract

here has been an increased interest in the emerging markets stock exchanges, with scholars and practitioners raising concerns as to the nature of markets in various stock exchange. This study thus will be carried out with an aim to test the efficient market hypothesis at Nairobi Stock Exchange. Specifically the study will: test the random walk hypothesis for the returns of securities traded and determines. To determine whether stock market exhibits a trend towards increased efficiency over time. The study made use of data that was collected NSENSE 20-share Index from 1st January 2009 to 31stDecember 2013. The study will use both parametric and non-parametric tests to analyze the results through STATA. Unit root test, runs test and Auto correlation tests were carried out to test for the efficient market hypothesis at Nairobi Stock exchange.