اختبار نموذج السير العشوائي في بورصة الجزائر : تحليل سلوك المؤشر Dzair Index للفترة (2008-2015)‎

Abstract EN

This study aims to test the Random walk Hypothesis for Algiers Stock Exchange, using weekly prices and weekly returns for the index "Dzair Index" over the period (2008-2015).

The study tested the normal distribution for the weekly price and weekly returns series in addition to the application of three different statistical tests, namely: Unit Root Test, Runs Test, and Auto correlation.

The study found that the index returns follow the Random Walk Hypothesis, while the test results of the weekly price series were different which means that it can not be judged on the efficiency of Algiers Stock Exchange at a weak form.

This results is similar from the results of studies that have been in some of emerging markets.