Efficient Market Hypothesis and Nigerian Stock Market

Abstract

The paper examined the weak-form efficient market hypothesis in the Nigerian stock market, using a sample data spanning the period 1986 and 2010. The study adopted a serial auto-correlation and regression method of analysis. The variables used in the study were tested for stationarity using the Augmented Dickey Fuller and Philip Perron test. The result showed that the variables are stationary at first differencing. The result of the serial auto-correlation and regression analysis both revealed that the Nigeria stock market is informational inefficient, that is stock price does not exhibit random walk. The study recommended that to enhance informational efficiency of the Nigerian stock exchange especially in this era where the lost of the global financial crisis have dominated the minds of investors, there is the need to ensure strong and adequate supervision by the regulatory authorities and also the need for a greater development of the Nigeria stock market through appropriate policies which would enhance the informational efficiency of the market. Keywords: Weak-form, Efficient Market Hypothesis, Stock Price, Serial Auto-correlation, Regression method.

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