Print ISSN : 2708-616X | Online ISSN : 2708-6178 | DOI: https://doi.org/10.62458/160224
Volume 6 | Number 2 | July – December 2021 | DOI: https://doi.org/10.62458/jafess.160224.6(2)1-8
Received : September 2021 | Revised: November 2021 | Accepted: December 2021
Lim Siphat, PhD,
CamEd Business School, Cambodia
Email: [email protected]
Casey Barnett, FCCA, MBA, CFA,
CamEd Business School, Cambodia
Email: [email protected]
ABSTRACT
The growth or decline in stock value depends on information. The Efficiency Market Hypothesis (EMH) consists of three different forms: strong-form, semi-strong-form, and weak-form states that stock price reflects its true value properly, and thus includes all information, public and private. If market inefficiency is discovered, an abnormal return may be created via risk-adjusted technical analysis. The Random Walk Hypothesis (RWH) argued that the price of stock tomorrow is computed based on the price of stock today, and the price of stock cannot be anticipated when a random number is consistent with weak-form efficiency. The empirical findings from this research have shown that the CSX index is not a random walk or weak-form inefficient, as indicated by the Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests, and the Variance Ratio (VR) test.
Keywords: CSX, EMH, RWH, Unit Root test, VR test
