摘要：In the study, we adopted comparative statistical techniques to evaluate the behaviors of stock returns in Nigerian Capital market. Data were collected from CBN statistical bulletin over a period of Jan 1985 to Dec 2012. Our findings based on JB, BJ, portmantuea autocorrelation and LM serial correlation tests showed that the behaviors of stock returns follow the pattern of a random walk or alternatively the steps of a man who is drunk, while the K-S, Runs and unit root tests contradict this position. Therefore we conclude that the controversial issue on the tests of RWH in Nigerian stock market strikingly relies on the techniques that are applied and the asymptotic nature of data set.
