Investigating the Markov Property on Stock Returns: A Case Study of Ghana Stock Exchange

摘要

This study was conducted to investigate the Markov property using daily, weekly and monthly stock returns of Accra Brewery Limited (ABL) of the Ghana Stock Exchange (GSE) spanning from the period of November, 1990 to August, 2007. Using Shapiro-Wilk normality test, the study revealed that the returns are not normally distributed as they were leptokurtic in nature indicating high volatility. Using several tests namely, the correlogram, ADF, PP and KPSS, Runs and Wright's non-parametric Variance ratio tests, the research concluded that the daily, weekly and monthly returns of GSE were stationary at level and do not follow random walk, hence do not have the Markov property.