Volume 5, Issue 3, September 2020, Page: 131-140
Efficient Market Hypotheses Controversy and Nigerian Stock Exchange Relations
Ejem Chukwu Agwu, Department of Banking and Finance, Abia State University, Uturu, Nigeria
Ogbonna Udochukwu Godfrey, Department of Management Science, Rhema University, Aba, Nigeria
Okpara Godwin Chigozie, Department of Banking and Finance, Abia State University, Uturu, Nigeria
Received: May 25, 2020;       Accepted: Jun. 8, 2020;       Published: Jun. 28, 2020
DOI: 10.11648/j.ijafrm.20200503.12      View  155      Downloads  62
Abstract
The endless arguments on which Efficient Market Hypotheses form Nigeria Stock exchange (NSE) belongs incited this study; Efficient Market Hypotheses controversy and Nigerian Stock Exchange Relations. In order to achieve the aim of this study, the All Share Index (ASI) with daily data from January 02, 2014 to May 20, 2019 (1333 observations) and annual data from 1985 to 2018 (34 observations) collected from the Nigeria Stock Market fact books. The study employed three analytical methods namely the unit root test, GARCH Model and the Autocorrelation cum patial autocorrelation method for the assessment of weak form hypothesis on the daily and annual all share index in the Nigerian Stock market. The results of these evaluations indicated a significant relationship between the price series and their lagged values implying that stock price series do not follow a random walk process in Nigerian stock market. Thus, affirming that the Nigeria Stock Exchange is not efficient in weak form. In the light of this, the researchers recommend that the supervisory and regulatory authorities should strengthen the Nigerian Stock Market through palliating its regulations pertaining to transparency of information management rules such as market barriers and stringent listing requirement, publication of accounts, notices of annual general meeting and the like.
Keywords
Random Walk, Capital Market Efficiency, Unit Root Test, GARCH Model, Autocorrelation
To cite this article
Ejem Chukwu Agwu, Ogbonna Udochukwu Godfrey, Okpara Godwin Chigozie, Efficient Market Hypotheses Controversy and Nigerian Stock Exchange Relations, International Journal of Accounting, Finance and Risk Management. Vol. 5, No. 3, 2020, pp. 131-140. doi: 10.11648/j.ijafrm.20200503.12
Copyright
Copyright © 2020 Authors retain the copyright of this article.
This article is an open access article distributed under the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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