Weak-form Efficiency After Global Financial Crisis: Emerging Stock Market Evidence

Emenike Kalu O.
Authors registered in the RePEc Author Service: Emenike Kalu O.

Journal of Emerging Market Finance, 2017, vol. 16, issue 1, 90-113

Abstract: This article investigates weak-form efficiency of the Nigerian Stock Exchange (NSE) and its sectors for the post-global financial crisis period using autocorrelation test, Ljung–Box Q test, McLeod-Li portmanteau test and ARCH-LM test. The descriptive statistics show that the returns of NSE and its sectors are positive. The results show that (i) investors can only predict banking sector return using superior fundamental analysis of their intrinsic values; (ii) prediction of the NSE 30 and Shari’ah equities sector returns require nonlinear model and fundamental analysis and (iii) consumer goods sector and oil and gas sector may be predicted using both technical and fundamental analyses. JEL Classification: G11, 14

Keywords: Weak-form EMH; stock returns; sectors of economy; global financial crisis; Nigeria (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/0972652716686268 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:16:y:2017:i:1:p:90-113

DOI: 10.1177/0972652716686268

Access Statistics for this article

More articles in Journal of Emerging Market Finance from Institute for Financial Management and Research
Bibliographic data for series maintained by SAGE Publications ().