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Weak Form Efficiency of the Nigerian Stock Market: An Empirical Analysis (1984 2009)

Author

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  • Pyemo Afego

    (LQ 54 Malamre Quarters Jimeta Yola Adamawa State Nigeria.)

Abstract

This paper examines the weak-form efficient markets hypothesis for the Nigerian stock market by testing for random walks in the monthly index returns over the period 1984-2009. The results of the non-parametric runs test show that index returns on the Nigerian Stock Exchange (NSE) display a predictable component, thus suggesting that traders can earn superior returns by employing trading rules. The statistically significant deviations from randomness are also suggestive of suboptimal allocation of investment capital within the economy. The findings, in general, contradict the weak-form of the efficient markets hypothesis. Finally, a range of policy strategies for improving the allocative capacity and quality of the information environment of the NSE are discussed.

Suggested Citation

  • Pyemo Afego, 2012. "Weak Form Efficiency of the Nigerian Stock Market: An Empirical Analysis (1984 2009)," International Journal of Economics and Financial Issues, Econjournals, vol. 2(3), pages 340-347.
    • Handle: RePEc:eco:journ1:2012-03-11
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    References listed on IDEAS

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    Cited by:

    1. Shahadat Hussain & Sujit Kumer Deb Nath & Md. Yeasir Arafat Bhuiyan, 2016. "Weak Form Efficiency of the Chittagong Stock Exchange: An Empirical Analysis (2006-2016)," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 6(11), pages 58-66, November.
    2. Kamal, Mona, 2014. "Studying the Validity of the Efficient Market Hypothesis (EMH) in the Egyptian Exchange (EGX) after the 25th of January Revolution," MPRA Paper 54708, University Library of Munich, Germany.
    3. Pick-Soon Ling & Ruzita Abdul-Rahim, 2017. "Market Efficiency Based on Unconventional Technical Trading Strategies in Malaysian Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 88-96.
    4. Senarathne Chamil W., 2020. "Are Religious Believers Irrational: A Direct Test from an Efficient Market Hypothesis," Financial Sciences. Nauki o Finansach, Sciendo, vol. 25(1), pages 35-53, March.
    5. Emenike Kalu O., 2017. "Weak-form Efficiency After Global Financial Crisis: Emerging Stock Market Evidence," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 16(1), pages 90-113, April.
    6. Nageri Kamaldeen Ibraheem & Abdulkadir Rihanat Idowu, 2019. "Is the Nigerian Stock Market Efficient? Pre and Post 2007-2009 Meltdown Analysis," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 29(3), pages 38-63, September.

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    More about this item

    Keywords

    Random walk hypothesis; Market efficiency; Runs test; Stock returns; Nigeria;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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