TESTING WEAK FORM OF EFFICIENT MARKET HYPOTHESIS (EMH) IN NIGERIA
TESTING WEAK FORM OF EFFICIENT MARKET HYPOTHESIS (EMH) IN NIGERIA
Author(s): Omorose Aigbedo Ogiemudia, Evbaziegbere IsiborSubject(s): Financial Markets
Published by: Universitatea SPIRU HARET - Faculty of Accounting and Financial Management
Keywords: Efficient market; Kolmogorov-Smirnov; Runs; Nigeria; Weak Form;
Summary/Abstract: This paper explores the Weak-Form (WF) taxonomy of EMH in Nigeria on the premise that security prices take random walk processes. For this purpose, high and low frequency sample of DWMQ data spanning the period 1985 to 2019 were sourced. The OLS regression technique, serial correlation test, Runs Test (RT) and (K-S) method of analysis were adopted. The result of the various method used unanimously revealed that the Nigeria Bourse (NB) is informational efficient though in WF, that is stock prices in NB does not exhibit random walk and follow normal distribution pattern, respectively. Thus, confirm that the NB refutes the WF of efficiency of the EMH for weekly, monthly and daily share prices data respectively; and relatively exhibit some element W-F efficiency in quarterly data.
Journal: Journal of Academic Research in Economics (JARE)
- Issue Year: 13/2021
- Issue No: 3
- Page Range: 488-508
- Page Count: 21
- Language: English
- Content File-PDF