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The Test of Semi - Strong Efficiency Theory in the Nigerian Capital Market: An Empirical Analysis in the Context of Dividend Announcements

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  • John Ayodele Ogundina
  • Olufunmilayo A. Ajala
  • Yusuf Aina Soyebo

Abstract

This study tests the semi-strong form of market efficiency theory. It employs event study methodology in which a sample of 20 randomly selected stocks listed on the Nigerian Stock Exchange on which dividend announcements were made from January 2010 to November 2011. Abnormal returns from the market model are evaluated by using the t-test. Findings from the study based on the average abnormal return shows that the market is semi strong efficient. However, the cumulative average abnormal return debunks the position arrived at the average abnormal return.

Suggested Citation

  • John Ayodele Ogundina & Olufunmilayo A. Ajala & Yusuf Aina Soyebo, 2014. "The Test of Semi - Strong Efficiency Theory in the Nigerian Capital Market: An Empirical Analysis in the Context of Dividend Announcements," International Journal of Financial Economics, Research Academy of Social Sciences, vol. 3(1), pages 57-69.
    • Handle: RePEc:rss:jnljfe:v3i1p5
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    References listed on IDEAS

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    1. repec:aer:wpaper:76 is not listed on IDEAS
    2. Pettit, R Richardson, 1972. "Dividend Announcements, Security Performance, and Capital Market Efficiency," Journal of Finance, American Finance Association, vol. 27(5), pages 993-1007, December.
    3. Osei, K.A., 1998. "Analysis of Factors Affecting the Development of an Emerging Caputal Market: The Case of Gjana Stock Market," Papers 76, African Economic Research Consortium.
    4. Sant, Rajiv & Cowan, Arnold R., 1994. "Do dividends signal earnings? The case of omitted dividends," Journal of Banking & Finance, Elsevier, vol. 18(6), pages 1113-1133, December.
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