Abstract
This study, Nigerian Stock Exchange and Weak Form Efficiency with two intervals of All Share Index collected from the Nigeria Stock Market fact books. This study employed various parametric tools found for daily and annual all share index as follows: a significant relationship between the price series and their lagged values; coefficient of variance equations are statistically significant; price series do not follow a random walk or are abnormally distributed; level series not significant and causality is found in daily price series with no causality found in the annual price series. The finding in this study in balance affirmed that the Nigeria Stock Exchange is not efficient in weak form, by extension is inefficient in any form. As result the researchers suggest to the supervisory and regulatory authorities to promulgate laws that will strengthen the Nigerian Stock Market. Keyword s: NSE, Weak Form, Parametric Tools DOI: 10.7176/RJFA/11-8-09 Publication date: April 30 th 2020
Highlights
From economic perspective, the efficiency of stock markets is the key to optimal allocation of resources
The results revealed that the market follows a random walk but further investigation of the reforms showed that the market was inefficient during the financial deregulation, privatization and the internationalization of the capital market while the year 2000 to 2006 recorded persistent volatility clustering suggesting weak form inefficiency
The results found that index returns on the Nigerian Stock Exchange (NSE) display a predictable component, indicating that traders can earn superior returns by employing trading rules
Summary
The efficiency of stock markets is the key to optimal allocation of resources. With non-parametric runs test, Afego (2012) x-rayed the weak-form efficient markets hypothesis for the Nigerian stock market by examining the random walks in the monthly index returns over the period 1984-2009. Employing seven (7) parametric tools; Autocorrelation test, the ADF and P-P unit root tests, Variance Ratio test, the Normality/Random test, the Granger Causality test ARCH-GARCH test and Regression test, Ogbulu (2016) investigated the efficiency level of Nigerian Stock Exchange (NSE) across different data estimation intervals (daily, weekly, monthly and quarterly aggregate stock price data using the NSE all share index series from 1999 to 2013) with reference to the weak form variant of EMH. The test is depicted below; Table 4: Autocorrelation Test Daily ASI
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