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Testing the Weak Form of Efficient Market Hypothesis in Nigerian Capital Market

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  • Mayowa Gabriel Ajao
  • Richard Osayuwu

Abstract

This study aims at testing the weak form of efficient market hypothesis in the Nigerian capital market. The scope of the study consist of all securities traded on the floor of the Nigerian Stock Exchange and the month end value of the All Share Index from 2001 – 2010 constitute the data analyzed. The serial correlation technique of data analysis was used to test for independence of successive price movement and the distributive pattern while runs test was used to test for randomness of share price movement. The result of the serial correlation shows that the correlation coefficients did not violate the two-standard error test. Furthermore, the Box-Ljung statistic shows that none of the serial correlation coefficients was significant and the Box pierce Q statistics shows that the overall significance of the serial correlation test was poor while the result of the distribution pattern shows that stock price movements are approximately normal. on the basis of this findings ,we conclude that successive price changes of stocks traded on the floor of the Nigerian Capital Market are independent and random therefore, the Nigerian Capital Market is efficient in the weak-form.

Suggested Citation

  • Mayowa Gabriel Ajao & Richard Osayuwu, 2012. "Testing the Weak Form of Efficient Market Hypothesis in Nigerian Capital Market," Accounting and Finance Research, Sciedu Press, vol. 1(1), pages 169-169, May.
    • Handle: RePEc:jfr:afr111:v:1:y:2012:i:1:p:169
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    References listed on IDEAS

    as
    1. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Working Papers 111, Princeton University, Department of Economics, Center for Economic Policy Studies..
    2. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Working Papers 111, Princeton University, Department of Economics, Center for Economic Policy Studies..
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    4. repec:pri:cepsud:91malkiel is not listed on IDEAS
    5. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    6. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 59-82, Winter.
    7. Xiaming Liu & Haiyan Song & Peter Romilly, 1997. "Are Chinese stock markets efficient? A cointegration and causality analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 4(8), pages 511-515.
    8. R. Olowe, 1999. "Weak Form Efficiency of the Nigerian Stock Market: Further Evidence," African Development Review, African Development Bank, vol. 11(1), pages 54-68.
    9. Jorge L. Urrutia, 1995. "Tests Of Random Walk And Market Efficiency For Latin American Emerging Equity Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(3), pages 299-309, September.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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