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Semi-Strong Form of Efficiency of Nigerian Stock Market: An Empirical Test in the Context of Input and Output Index

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  • Ajayi John Ayodele
  • Segun Anthony Oshadare
  • Olufunmilayo Adekemi Ajala

Abstract

This paper examines the semi-strong form of efficiency of the Nigerian stock market. Such examination is made in the context of whether information impounded in previous stock prices reflect current prices through the input and output index. Data for the study were from secondary sources and it spans from 2005-2013. The population for this study encompasses all the companies that traded in the period of January 1, 2005 to December 31, 2013. All these companies are ranked according to their capitalization and a random sampling technique was employed to select the companies that have the capitalization values above the average value. The study made use of modified transfer function model to estimate the market index which is represented by the outputindex and the computed selected securities represented by the input index which is tantamount to published information. Findings from the paper show that publicly published information captured by the input index commands significant effect on the stock market represented by the output index hence making the Nigerian stock market to be semi-strong inefficient.

Suggested Citation

  • Ajayi John Ayodele & Segun Anthony Oshadare & Olufunmilayo Adekemi Ajala, 2018. "Semi-Strong Form of Efficiency of Nigerian Stock Market: An Empirical Test in the Context of Input and Output Index," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 9(1), pages 115-120, January.
    • Handle: RePEc:jfr:ijfr11:v:9:y:2018:i:1:p:115-120
    DOI: 10.5430/ijfr.v9n1p115
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    References listed on IDEAS

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    2. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    3. Ball, R & Brown, P, 1968. "Empirical Evaluation Of Accounting Income Numbers," Journal of Accounting Research, Wiley Blackwell, vol. 6(2), pages 159-178.
    4. 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.
    5. Brown, P, 1989. "Ball And Brown [1968]," Journal of Accounting Research, Wiley Blackwell, vol. 27, pages 202-217.
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