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Year 2016, Volume: 6 Issue: 4, 1474 - 1490, 01.09.2016

Abstract

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

Year 2016, Volume: 6 Issue: 4, 1474 - 1490, 01.09.2016

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.

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Details

Other ID JA97JV63CT
Journal Section Research Article
Authors

Charles O. Manasseh This is me

Chukwuka Kenneth Ozuzu This is me

Jonathan E. Ogbuabor This is me

Publication Date September 1, 2016
Published in Issue Year 2016 Volume: 6 Issue: 4

Cite

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.
AMA 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. September 2016;6(4):1474-1490.
Chicago Manasseh, Charles O., Chukwuka Kenneth Ozuzu, and Jonathan E. Ogbuabor. “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, no. 4 (September 2016): 1474-90.
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 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, 2016.
ISNAD 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 6/4 (September 2016), 1474-1490.
JAMA 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, 2016, pp. 1474-90.
Vancouver 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):1474-90.