Nigerian Stock Exchange and Weak Form Efficiency

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.

Keywords: NSE, Weak Form, Parametric Tools

DOI: 10.7176/RJFA/11-8-09

Publication date: April 30^th 2020