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Weak Form Efficiency of the Nigerian Stock Market: An Empirical Analysis (1984 – 2009)

Year 2012, Volume: 2 Issue: 3, 340 - 347, 01.09.2012

Pyemo Afego

Abstract

This paper examines the weak-form of the efficient markets hypothesis for the Nigerian Stock Exchange (NSE) by testing for random walks in the monthly index returns over the period 1984-2009. The results of the non-parametric runs test show that index returns on the NSE display a predictable component, thus suggesting that traders can earn superior returns by employing trading rules. Statistically significant deviations from randomness are also suggestive of sub-optimal allocation of investment capital within the economy. The findings, in general, contradict the weak-form of the efficient markets hypothesis, and a range of policy strategies for improving the allocative capacity and quality of the information environment of the NSE are discussed.

Keywords

Random walk hypothesis Market efficiency Runs test Stock returns Nigeria

Year 2012, Volume: 2 Issue: 3, 340 - 347, 01.09.2012

Pyemo Afego

Abstract

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Details

Other ID JA27DJ26DF
Journal Section Research Article
Authors

Pyemo Afego This is me

Publication Date September 1, 2012
Published in Issue Year 2012 Volume: 2 Issue: 3

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APA Afego, P. (2012). Weak Form Efficiency of the Nigerian Stock Market: An Empirical Analysis (1984 – 2009). International Journal of Economics and Financial Issues, 2(3), 340-347.
AMA Afego P. Weak Form Efficiency of the Nigerian Stock Market: An Empirical Analysis (1984 – 2009). IJEFI. September 2012;2(3):340-347.
Chicago Afego, Pyemo. “Weak Form Efficiency of the Nigerian Stock Market: An Empirical Analysis (1984 – 2009)”. International Journal of Economics and Financial Issues 2, no. 3 (September 2012): 340-47.
EndNote Afego P (September 1, 2012) Weak Form Efficiency of the Nigerian Stock Market: An Empirical Analysis (1984 – 2009). International Journal of Economics and Financial Issues 2 3 340–347.
IEEE P. Afego, “Weak Form Efficiency of the Nigerian Stock Market: An Empirical Analysis (1984 – 2009)”, IJEFI, vol. 2, no. 3, pp. 340–347, 2012.
ISNAD Afego, Pyemo. “Weak Form Efficiency of the Nigerian Stock Market: An Empirical Analysis (1984 – 2009)”. International Journal of Economics and Financial Issues 2/3 (September 2012), 340-347.
JAMA Afego P. Weak Form Efficiency of the Nigerian Stock Market: An Empirical Analysis (1984 – 2009). IJEFI. 2012;2:340–347.
MLA Afego, Pyemo. “Weak Form Efficiency of the Nigerian Stock Market: An Empirical Analysis (1984 – 2009)”. International Journal of Economics and Financial Issues, vol. 2, no. 3, 2012, pp. 340-7.
Vancouver Afego P. Weak Form Efficiency of the Nigerian Stock Market: An Empirical Analysis (1984 – 2009). IJEFI. 2012;2(3):340-7.