Efficiency across Time: Evidence from the Nigerian Stock Exchange

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

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines the Weak-Form Efficient Market Hypothesis across time for the Nigerian Stock Exchange (NSE) by hypothesizing Normal Distribution and Random walk in periodic return series. Monthly all share indices of the NSE are examined for three periods including January 1985 to December 1992, January 1993 to December 1999, and January 2000 to December 2007. Our Normality tests are conducted using Skewness, Kurtosis, Kolmogorov-Smirnov, and Q-Q Normal Chart; whereas Random walk is tested using the non-parametric Runs test. Results of the Normality tests show that returns from NSE do not follow normal distribution in all the periods. Runs test results reject the randomness of the return series of the NSE in the periods studied. Overall results from the tests suggest that the NSE is not Weak-Form efficient across the time periods of this study. The results however, show that improvements in NSE trading system have positive effect on efficiency. Relaxing institutional restrictions on trading securities in the market and strengthening the regulatory capacities of NSE and Nigerian Securities and Exchange Commission (NSEC) to enforce market discipline were recommended.

Keywords: Weak-Form Efficiency; Random Walk; Normal Distribution; Nigerian Stock Exchange; Trading System (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2008-08-22
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