The purpose of this thesis was to investigate the underlying process generating stock prices in the Canadian stock market. The hypothesis that daily price changes of stocks listed on the Toronto Stock Exchange are independent could not be rejected. The distribution of daily stock price changes were found to be significantly non-normal. These results led to the conclusion that the price-generating process in the Canadian stock market can be represented, in the short-run, by a random walk model in which price changes are independently drawn from a non-normal distribution which is possibly a stable Paretian. / Business, Sauder School of / Graduate