. Stock Market Efficiency of Ghana Stock Exchange: An Objective Analysis
© International Journal of Management, Economics and Social Sciences
2013, Vol. 2(2), pp. 54 – 75.
ISSN 2304 – 1366


Stock Market Efficiency of Ghana Stock Exchange: An Objective Analysis


Desmond Tutu Ayentimi
Catholic University College, Ghana

Anthony Ekow Mensah
P.O. Box UP 1205 KNUST, Kumasi, Ghana

Francis Naa-Idar
P. O. Box 18, Atebubu, Brong Ahafo Region, Ghana


There has been profuse development in the stock markets all over the world in the past decades. The 21st century has seen intriguing changes in the stock markets in both developed and emerging economies. This paper examines the weak-form efficiency of listed firms on the Ghana Stock Exchange (GSE) by applying the Random Walk Hypothesis using weekly closing stock prices on the GSE from January, 2007 to June, 2012. The GSE financial market returns series exhibit volatility clustering that shows an indication of inefficiency on the GSE. The results of both the descriptive statistics of the weekly market returns and the normality tests show that returns from GSE did not follow the normal distribution. The study recommends that transaction cost should be reduced to improve the market activities of the GSE. Also, efforts should be intensified to get as many firms as possible to be listed on the stock market to enhance competition among stocks.

Keywords: Ghana stock exchange, efficient market hypothesis, weak-form efficiency, random walk model
JEL: G14, G18