Testing the Weak Form of Efficient Market Hypothesis in Nigerian Capital Market

Ajao, Mayowa Gabriel; Osayuwu, Richard

doi:10.5430/afr.v1n1p169

Cited by 26 publications

(26 citation statements)

References 21 publications

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“…But the findings of Mollik and Bepari (2009) Gimba (2012) examined the daily and weekly return of the Nigerian stock exchange index with five major individual stocks of those markets. Findings suggest that the Nigerian stock exchange is not weak form efficient which is also contradictory with the findings of Ajao and Osayuwu (2012) who conclude that Nigerian stock exchange follow random walk. Examining the 43 individual stock prices of UAE markets, Moustafa (2004) finds those 40 stocks of UAE stock markets follows random walk support the EMH of UAE stock market.…”

Section: Literature Reviewcontrasting

confidence: 56%

“…For detecting such relationship, most of the authors mainly used runs test, serial correlation test, unit root test and variance ratio test in this regards. More specifically runs test have been widely used by a number of authors, Gimba, K.V (2012), Nisar and Hanif (2012), Mollik and Bepari (2009), Mobarek and Keasey (2007), Moustafa.A.M (2004), Ajao and Osayuwu (2012). In a recent study Kirkulak and Ezzat (2014) finds that market efficiency is more in developed countries rather than emerging markets.…”

Section: Literature Reviewmentioning

confidence: 99%

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Is Pharmaceuticals Industry Efficient? Evidence from Dhaka Stock Exchange

Siddikee

Begum²

2015

AFR

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This study examines the weak form market efficiency of the thirteen listed pharmaceuticals company of Dhaka Stock Exchange (DSE). We exclude the three listed pharmaceuticals company because of their newly enlistment at DSE. The data consists of the daily returns from 1 st January, 2009 to 31 st December, 2013. The returns of all pharmaceuticals companies are not normally distributed. Unit root test, serial correlation test and runs tests are being used for testing weak form efficiency of the individual stocks return. The findings of the runs test is completely rejecting the random walk theory for all thirteen securities whereas the augmented dickey-fuller (ADF) test are showing inverse result with its all three equations suggesting the weak form efficiency of the Pharmaceuticals stock return. The results of the Autocorrelation and Box-Ljung statistics support random walk theory for ten companies and reject it for ACI, Reckitt Benckiser and Pharma Aid. However, from the summery of findings we can agree that the Pharmaceuticals industry of Bangladesh is just becoming weak-form efficient.

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Section: Literature Reviewcontrasting

confidence: 56%

Section: Literature Reviewmentioning

confidence: 99%

Is Pharmaceuticals Industry Efficient? Evidence from Dhaka Stock Exchange

Siddikee

Begum²

2015

AFR

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“…On the other hand, Ayadi [47], Olowe [48], Emeh and Obi [49], found that Nigerian stock market is weak-form efficient. The finding is supported by Godwin [50] and Ajao and Osayuwu [51] using autocorrelation test and runs test; Keyur [52] using run test; Arewa and Nwakanma [53] based on portmanteau autocorrelation and LM serial correlation. Apart from the full sample study, certain studies employed sub-sample analyses.…”

Section: Linear Empirical Studies From African Marketsmentioning

confidence: 54%

Are African Stock Markets Inefficient or Adaptive? Empirical Literature

Obalade¹,

Muzindutsi²

2021

Emerging Markets

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This chapter reviews empirical studies on weak form of efficiency with the aim of establishing whether the African market is inefficient or adaptive. The reviewed studies are categorised based on their methodological approaches to compare the power of linear and non-linear models in testing for weak-form efficiency. The studies on calendar anomalies, an indication of weak-form inefficiency, are reviewed to assess whether these anomalies are adaptive as portrayed by the relatively recent theory of adaptive market hypothesis (AMH). The scope of reviewed studies is also extended to developed and emerging markets to gain a broad comparison of the findings. This review revealed that non-linear dependence has been revealed in stock returns suggesting that non-linear models are best fit to test for the stock market efficiency. Reviewed studies produced contradictory findings with some supporting and others rejecting weak-form efficiency. Thus, most studies support the AMH, which suggests that market efficiencies and anomalies are time changing. This chapter concludes that most of the existing studies on AMH have been carried out in markets other than Africa, and hence, further empirical studies on the evolving and changing nature of efficiency in African stock markets are recommended.

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“…Fama [20] postulated that stock prices should reflect all publicly made available information in an active and efficient market. In an efficient market where information is freely available, nobody is expected to outperform the market as the information is being released to the market [39]. Financial markets are thus efficient if prices of traded assets and securities are unbiased and reflect all available information to the public.…”

Section: Efficient Market Hypothesismentioning

confidence: 99%

Stock Market Returns and Shareholders’ Wealth Sustainability of Companies Listed on the Nigerian Stock Exchange

Koleosho

Adegbie

Owoeye

2020

AJEBA

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Sustainability of shareholder’s wealth has been a subject of discussion globally due to various decisions of the managers and the effect it has on company’s performance. Various corporate actions and information about the companies are disseminated over time and studies have shown the effect on shareholder's wealth. This study examined the effect of capital market returns on sustainability of shareholder's wealth in Nigeria Listed Companies. The study adopted ex-post facto research design. A sample of 57 companies from a target population of 168 companies listed on the Nigerian Stock Exchange (NSE) as December 2018 was randomly drawn across the various market sectors for the panel data. The study used secondary data from the NSE, CBN and companies’ data on the Bloomberg Terminals. Validity and reliability were premised on the statutory audit of the financial statement. The study adopted descriptive and inferential (Regression and Correlation) statistics to analyze the data. The study found that the stock market returns indicators (dividend per share, earnings and Leverage) have joint and statistically significant relationship with market price per share: DPS, EPS and LEV with Adjusted R2 = 0.738, F(3, 796) = 54.74, p = 0.108 > 0.05. The study concluded that stock market returns measured by dividend and earnings have a significant effect on the shareholders' wealth while leverage exerts a negative effect on Market Price per share. The study recommended that the management of the companies should embrace the payment of dividend to shareholders while ensuring the growth of earnings over the period to sustain shareholder's wealth.

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Testing the Weak Form of Efficient Market Hypothesis in Nigerian Capital Market

Cited by 26 publications

References 21 publications

Is Pharmaceuticals Industry Efficient? Evidence from Dhaka Stock Exchange

Is Pharmaceuticals Industry Efficient? Evidence from Dhaka Stock Exchange

Are African Stock Markets Inefficient or Adaptive? Empirical Literature

Stock Market Returns and Shareholders’ Wealth Sustainability of Companies Listed on the Nigerian Stock Exchange

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