Abstract
This article investigates weak-form efficiency of the Nigerian Stock Exchange (NSE) and its sectors for the post-global financial crisis period using autocorrelation test, Ljung–Box Q test, McLeod-Li portmanteau test and ARCH-LM test. The descriptive statistics show that the returns of NSE and its sectors are positive. The results show that (i) investors can only predict banking sector return using superior fundamental analysis of their intrinsic values; (ii) prediction of the NSE 30 and Shari’ah equities sector returns require nonlinear model and fundamental analysis and (iii) consumer goods sector and oil and gas sector may be predicted using both technical and fundamental analyses. JEL Classification: G11, 14
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