Share Price Change: the Efficient Market Hypothesis and the whitenoise Hypothesis Dichotomy
Kehinde, S. James

Abstract
Over time market players have developed much interest in factors that bring about movement or change in share price in the stock market either upward movement or downward movement several issues have been adduced for this over the years, some of which are rational and some are said to be irrational factors. The efficient market hypothesis and the whitenoise hypothesis were examined to measure point of similarities and divergence between the two hypotheses in this study. The secondary source of data was used for the purpose of the analysis and a multiple regression analysis was adopted. The model derived by the researcher shows that the whitenoise is equal to the error factor of the fist order of the regression. The regression model derived in the second order was tested and the result shows that the whitenoise(which measure the shock or volatility) is a strong factor in the price determination of share traded in the stock market. Also it revealed that it is not only market information that influence share price change as noted by the efficient market hypothesis but also sporadic shock or volatility in the market measured by the whitenoise variable. It was recommended that with positive and negative coefficient of the whiteniose determined the absolute value of the share price could be determined with the information content and the shock factor determined.

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