Abstract

The paper investigates the weak-form market hypothesis in the emerging capital market of Nigeria from January 2006 to December 2011. It uses three tests of randomness based on autoregressive technique to check for the presence or otherwise of autocorrelation in daily stock prices and returns from the Nigerian Stock Market. All the tests including the Z-statistics for both stock prices and their returns show significant indications of dependence in return series and hence, of non-randomness. The overall results suggest that the emerging Nigerian Stock Market is not efficient in the weak form. The paper recommends that policy makers and regulatory authorities should enact and implement policy measures and put in place necessary market structures that would promote the efficiency of the Nigerian Stock Market.

Keywords:

Autocorrelation, efficient market hypothesis, randomness, stock returns and weak-form efficiency,

References

Competing interests

The authors have no competing interests.

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Copyright

The authors have no competing interests.