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erial autocorrelation tests and run tests are among the most popular tests. Some of the researches in this field use Spectral Analysis which decomposes a time series into a spectrum of cycles of different length. This spectral decomposition of a time series yield a spectral density function that measures the contribution of each of the frequency bands to the overall variance of the times series. There is also a relatively new test introduced by Lo and Mackinlay (1988), it is called the Variance Ratio which is based on the heteroscedasticity problem. The basic idea behind the Lo and Mackinlay (1988) variance-ratios test is that if a natural logarithm of a time series is a pure random walk, then, the variance of its k-differences in a finite sample grows linearly with the difference, Let (pt) denote a time series consisting of T observations p1,p2,a€|,pT of asset returns. Then, the variance-ratio of the k-th difference, VR(k), is defined as:

VR(k)= Ïƒ2(k)/Ïƒ2(1)

where, VR(k) is the variance-ratio of the share's returns k-th differences; Ïƒ2(k) is the unbiased estimator of 1/k of the variance of the share's returns k-th differences, under the null hypothesis; Ïƒ2(1) is the variance of the first-differenced share returns series, and k is the number of days of base observations interval or lag (Ntim et al. ,2007).

2.5 Implications of EMH
Market efficiency has important implications for both investors and authorities. If a market is inefficient, investors should doubt the a€œhold the marketa€ strategy and should try to a€œbeat the marketa€. While the authorities on their part should restructure the stock market by enacting effective law and enhancing financial media.

The graph below shows the effect of EMH on stock prices.

The straight line shows the reaction under EMH while the dotted lines show the over-reaction and under-reaction that occur with the existence of market imperfections.

If a market is efficient, investors:

1. should not worry about investment analysis. They should rather concentrate on holding a well diversified portfolio. Investors holding an inefficient diversified portfolio will be exposed to risk which could be avoided and for which they will not be rewarded. In other words, the market only provides return for systematic risk, while specific risks have to be diversified away.

2. Should adopt a buy and hold policy once they have established their portfolios. This is because there is no advantage in changing from one group of securities to another. By doing this, there would be transaction costs which they would have to incur and as a result, the risk-adjusted return would be affected. Altering the composition of a portfolio can only be justified

a) if the risk exposure has changed due to relative changes in the market value of the constituent securities.

b) if tax payments can be minimized.

Other implications of EMH are:

* Price changes are random and unpredictable

* Investors are not easily fooled by the glossy financial reports or a€˜creative accounting' techniques

* Timing of new issues of securities are not important since prices represent the intrinsic and will reflect the degree of risk in the share.

Thus under EMH neither fu