MARKET EFFICIENCY DURING THE RECENT GLOBAL FINANCIAL CRISIS: EVIDENCE FROM THE EMERGING NIGERIAN STOCK MARKET

Chinazaekpere Nwani

Post-Print from HAL

Abstract: This study investigates the weak form efficiency of the Nigerian stock market before, during and after the global financial crisis by testing for random walks in the monthly returns of the NSE All Share Index using nonparametric Runs test and Ljung-Box Q-Statistics (Box-Pierce Q) test. The empirical results show that the recent global financial crisis affected the weak-form efficiency of the Nigerian stock market. The result of the Pre-Crisis Period (January 2001 – June 2006) shows that the Nigerian stock market was weak-form efficient before the global financial crisis, but became weak-form inefficient during the Crisis Period (July 2006 – December 2010) as investors were able to predict future stock prices from historical prices during the financial crisis period. The result of the Post-Crisis Period (January 2011 – December 2014) shows that the stock market has recovered from the impact of the global financial crisis and is weak-form efficient.

Date: 2015-05-30
References: Add references at CitEc
Citations:

Published in Journal of Global Economics, Management and Business Research, 2015, 3 (4), pp.154-160

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:hal:journl:hal-05366528

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().