Tag Archives: Efficient Market Hypothesis

Testing the weak form efficiency of the Nigeria stock exchange market (Published)

The efficient market hypothesis has become a controversial subject due to empirical results against market efficiency in various stock markets. The measurement of the Nigerian stock market is considered crucial for several reasons, including investors and participants in the securities market decried non-reflection of the firm performance in the prices of their stock traded in the Nigerian stock exchange. The focus of this study is to assess the weak form efficiency of the Nigerian stock exchange market. Nigerian stock exchange all share historical daily, weekly and monthly returns were employed for the analysis. The data was analyzed using unit root tests of stationarity and random walk, Jarque-Bera for normality and graph presentation. The results revealed that, the Nigerian stock exchange all share historical daily, weekly and monthly returns exhibited significant random walk. The study concludes that the Nigerian stock exchange market is efficient in the weak form. It is therefore recommended that efforts should be made by government to develop and implement stock exchange policies that will ensure active trading and vibrancy in the market.

 

Keywords: Efficient Market Hypothesis, Normality, adf unit root test, jarque-bera, weak-form

A Test for Random Fluctuations in Series of Price of Stock Traded on Nigeria Stock Exchange 2000-2007 (Published)

This paper has investigated the weak form efficiency of the Nigerian Stock Exchange (NSE) through a test for random fluctuations in series of stock prices on the Nigerian Stock Exchange between the 2000 and 2007. The decision to focus on this period was informed by the fact that the NSE enjoyed a market boom during this period prior to the recent global economic crunch. The study is an ex-post facto study that employed the runs test in analyzing the monthly stock index from January 2000 to December 2007. The result from this study points to the non-existence of random fluctuations in series of price of stocks traded on the NSE, thus this work concludes that the series of price of stocks traded on the NSE between 2000 and 2007 did not follow random fluctuations. This implies that the market was not efficient in the weak form during the period covered by this study.

Keywords: Efficient Market Hypothesis, Nigerian Stock Exchange, Random Fluctuations, Runs Test, Securities, Weak Form Efficiency