Semi Strong Form Efficiency Test of the Nigerian Stock Market: Evidence from Event Study Analysis of Bonus Issues

Volume: 6 Number: 4 September 1, 2016
  • Charles O. Manasseh
  • Chukwuka Kenneth Ozuzu
  • Jonathan E. Ogbuabor
International Journal of Economics and Financial Issues Cover
International Journal of Economics and Financial Issues
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Semi Strong Form Efficiency Test of the Nigerian Stock Market: Evidence from Event Study Analysis of Bonus Issues

Abstract

This study tests the consistency of the Nigerian Stock Market with the Efficient Market Hypothesis (EMH) in the semi-strong form using bonus issues as the information generating event. Using daily data, a total of 121 bonus issues were observed and examined for the period 2002-2006. The stocks which were tested were classified according to the size of their bonus issues and also according to the price of the stock to know the impact of information released on the price of different categories of stock. Using the event study methodology, the market and the market adjusted models as well as the VAR models, the study discovered that information release impacts significantly only in the year 2002. Also, it reveals that small bonus issues responded speedily to bonus issues more than medium and large bonus issues. In addition, the test between penny stocks and blue chips shows that only penny stocks were significantly affected.

Keywords

Details

Primary Language

English

Subjects

-

Journal Section

-

Authors

Charles O. Manasseh This is me

Chukwuka Kenneth Ozuzu This is me

Jonathan E. Ogbuabor This is me

Publication Date

September 1, 2016

Submission Date

September 1, 2016

Acceptance Date

-

Published in Issue

Year 2016 Volume: 6 Number: 4

IZ

https://izlik.org/JA65YZ47NP

Cite

RIS / Bibtex
APA
Manasseh, C. O., Ozuzu, C. K., & Ogbuabor, J. E. (2016). Semi Strong Form Efficiency Test of the Nigerian Stock Market: Evidence from Event Study Analysis of Bonus Issues. International Journal of Economics and Financial Issues, 6(4), 1474-1490. https://izlik.org/JA65YZ47NP
AMA
1.Manasseh CO, Ozuzu CK, Ogbuabor JE. Semi Strong Form Efficiency Test of the Nigerian Stock Market: Evidence from Event Study Analysis of Bonus Issues. IJEFI. 2016;6(4):1474-1490. https://izlik.org/JA65YZ47NP
Chicago
Manasseh, Charles O., Chukwuka Kenneth Ozuzu, and Jonathan E. Ogbuabor. 2016. “Semi Strong Form Efficiency Test of the Nigerian Stock Market: Evidence from Event Study Analysis of Bonus Issues”. International Journal of Economics and Financial Issues 6 (4): 1474-90. https://izlik.org/JA65YZ47NP.
EndNote
Manasseh CO, Ozuzu CK, Ogbuabor JE (September 1, 2016) Semi Strong Form Efficiency Test of the Nigerian Stock Market: Evidence from Event Study Analysis of Bonus Issues. International Journal of Economics and Financial Issues 6 4 1474–1490.
IEEE
[1]C. O. Manasseh, C. K. Ozuzu, and J. E. Ogbuabor, “Semi Strong Form Efficiency Test of the Nigerian Stock Market: Evidence from Event Study Analysis of Bonus Issues”, IJEFI, vol. 6, no. 4, pp. 1474–1490, Sept. 2016, [Online]. Available: https://izlik.org/JA65YZ47NP
ISNAD
Manasseh, Charles O. - Ozuzu, Chukwuka Kenneth - Ogbuabor, Jonathan E. “Semi Strong Form Efficiency Test of the Nigerian Stock Market: Evidence from Event Study Analysis of Bonus Issues”. International Journal of Economics and Financial Issues 6/4 (September 1, 2016): 1474-1490. https://izlik.org/JA65YZ47NP.
JAMA
1.Manasseh CO, Ozuzu CK, Ogbuabor JE. Semi Strong Form Efficiency Test of the Nigerian Stock Market: Evidence from Event Study Analysis of Bonus Issues. IJEFI. 2016;6:1474–1490.
MLA
Manasseh, Charles O., et al. “Semi Strong Form Efficiency Test of the Nigerian Stock Market: Evidence from Event Study Analysis of Bonus Issues”. International Journal of Economics and Financial Issues, vol. 6, no. 4, Sept. 2016, pp. 1474-90, https://izlik.org/JA65YZ47NP.
Vancouver
1.Charles O. Manasseh, Chukwuka Kenneth Ozuzu, Jonathan E. Ogbuabor. Semi Strong Form Efficiency Test of the Nigerian Stock Market: Evidence from Event Study Analysis of Bonus Issues. IJEFI [Internet]. 2016 Sep. 1;6(4):1474-90. Available from: https://izlik.org/JA65YZ47NP