Page 1. Efficiency across Time: Evidence from the Nigerian Stock Exchange1 EmenikeKalu O. Departm... more Page 1. Efficiency across Time: Evidence from the Nigerian Stock Exchange1 EmenikeKalu O. Department of Banking and Finance, University of Nigeria, Enugu Campus, Enugu State, Nigeria E-mail: [email protected] Abstract ...
Page 1. WEAK-FORM EFFICIENCY IN THE NIGERIAN STOCK EXCHANGE Augustine 0. Ekechi McGill University... more Page 1. WEAK-FORM EFFICIENCY IN THE NIGERIAN STOCK EXCHANGE Augustine 0. Ekechi McGill University 1. Introduction ... Arrangements were made whereby the banks would accept the names of potential buyers and sellers and ...
The study empirically assessed the relationship between stock market development and long-run eco... more The study empirically assessed the relationship between stock market development and long-run economic growth in Nigeria for the period 1980 to 2000. The study used secondary data while four models of multiple regressions were specified. The regression results, which were obtained using the Ordinary Least Square (OLS), show that measures of stock market development statistically have no significant effect on economic growth in Nigeria during the period 1980 to 2000. The major implication of the findings is that if the Nigerian Stock Market is to significantly contribute to rapid economic growth, policies must be fashioned out to eliminate those factors that blur the effectiveness of the vehicle or transmission mechanism through which stock market activities influence economic growth.Based on the findings, it was recommended that there should be an improvement in the attractiveness of the market as a major source of raising capital. This will entail improvement in the physical infrastructure, more efficient share transfer and delivering system and provision of adequate and timely information on the market. Also, there should be improvement in the institutional regulation, environment and legal framework such that a balance is maintained between the soundness and safety of the market. And finally, there is the need to internationalize the stock market to improve the flow of savings. This willgive the market the advantages of risk diversification, improve information flow and encourage corporate control through investment in equity.
The vast majority of efficient market research to date has focused on the major United States and... more The vast majority of efficient market research to date has focused on the major United States and European securities market. Far fewer have investigated the developing and less developed countries markets; and no study on this area has been performed on the Dhaka Stock Exchange (DSE). The study seeks evidence supporting the existence of at least weak-form efficiency of the market. The sample includes the daily price indices of all the listed securities on the DSE for the period of 1988 to 1997. The hypothesis of the study is whether the Dhaka Stock Market is weakform efficient. The results of both non-parametric (Kolmogrov -Smirnov normality test and run test) test and parametric test ( Auto-correlation test, Auto-regression, ARIMA model ) provide evidence that the share return series do not follow random walk model and the significant autocorrelation co-efficient at different lags reject the null hypothesis of weak-form efficiency. The results are consistent in different sub-sample observations, without outlier and for individual securities. The issues are important to security analysts, investors and security exchange regulatory bodies in their policy making decisions to improve the market condition. This study deserves a continuous research on this area to reach an ultimate conclusion about the level of efficiency of less developed market.
The weak-form Efficient Market Hypothesis (EMH) proposes that share prices fully reflect historic... more The weak-form Efficient Market Hypothesis (EMH) proposes that share prices fully reflect historical prices and earnings information. This implies that returns on shares follow a random walk and are unpredictable. There exists a strong measure of consensus supported by tremendous amount of research evidence among financial economists on the validity of the weak and semistrong form of the EMH with
This paper classifies formal African stock markets into four categories and discuses the principa... more This paper classifies formal African stock markets into four categories and discuses the principal characteristics of the seven markets covered in this study: South Africa, Egypt, Morocco, Nigeria, Zimbabwe, Mauritius and Kenya. Using a GARCH approach with time-varying parameters, a test of evolving efficiency (TEE) is implemented for periods starting in the early 1990s and ending in June 2001. This test detects changes in weak form efficiency through time. The TEE finds that the Johannesburg stock market is weak form efficient throughout the period, and three stock markets become weak form efficient towards the end of the period: Egypt and Morocco from 1999 and Nigeria from early 2001. These contrast with the Kenya and Zimbabwe stock markets which show no tendency towards weak form efficiency and the Mauritius market which displays a slow tendency to eliminate inefficiency. The paper relates weak form efficiency to stock market turnover, capitalisation and institutional characteristics of markets. JEL Classification: G14, G15, O16 Keywords: African Stock Markets, efficiency, GARCH WITH THE POSSIBLE EXCEPTION of the JSE Securities Exchange (JSE), there have been relatively few studies of the weak form efficiency of African stock markets. While the evidence for the JSE is mixed, the few studies that have been carried out for other markets find, not surprisingly, that most are inefficient (in a financial sense, meaning that stock prices do not reflect all available information, and that stocks are not therefore being appropriately priced at their equilibrium values).
Abstract This paper examines the stock market reaction to annual earnings information releases us... more Abstract This paper examines the stock market reaction to annual earnings information releases using data on the Nigerian Stock Exchange. Using the event study method, the speed of reaction of the market to annual earnings information releases for a sample of 16 ...
This paper examines the weak-form efficient markets hypothesis for the Nigerian stock market by t... more This paper examines the weak-form efficient markets hypothesis for the Nigerian stock market by testing for random walks in the monthly index returns over the period 1984-2009. The results of the non-parametric runs test show that index returns on the Nigerian Stock Exchange (NSE) display a predictable component, thus suggesting that traders can earn superior returns by employing trading rules. The statistically significant deviations from randomness are also suggestive of suboptimal allocation of investment capital within the economy. The findings, in general, contradict the weak-form of the efficient markets hypothesis. Finally, a range of policy strategies for improving the allocative capacity and quality of the information environment of the NSE are discussed.
This study provides further evidence on the weak form efficiency of the Nigerian stock market, th... more This study provides further evidence on the weak form efficiency of the Nigerian stock market, that is, whether security prices on the Nigerian stock market adjust to historical price information. Using correlation analysis, monthly stock returns data over the period January 1981–December 1992 were employed in the analysis. The results provided support for the work of Samuels and Yacout (1981) and Ayadi (1983), that is, the Nigerian stock market appears to be efficient in the weak form.—Cet article traite de la faible efficacité de la Bourse des valeurs du Nigeria, à savoir que, à partir de nouveaux éléments, il cherche àétablir si les cours des titres cotés à la Bourse du Nigeria sont réajustés pour tenir compte des données chronologiques. A l’aide d’une analyse de corrélation, un examen des données mensuelles sur le rendement des titres, pour la période allant de janvier 1981 à décembre 1992, a été réalisé. Les résultats corroborent les travaux de Samuels et Yacout (1981) et ceux de Ayadi (1983), à savoir que la Bourse des valeurs du Nigeria semble être faiblement efficace.
Page 1. Efficiency across Time: Evidence from the Nigerian Stock Exchange1 EmenikeKalu O. Departm... more Page 1. Efficiency across Time: Evidence from the Nigerian Stock Exchange1 EmenikeKalu O. Department of Banking and Finance, University of Nigeria, Enugu Campus, Enugu State, Nigeria E-mail: [email protected] Abstract ...
Page 1. WEAK-FORM EFFICIENCY IN THE NIGERIAN STOCK EXCHANGE Augustine 0. Ekechi McGill University... more Page 1. WEAK-FORM EFFICIENCY IN THE NIGERIAN STOCK EXCHANGE Augustine 0. Ekechi McGill University 1. Introduction ... Arrangements were made whereby the banks would accept the names of potential buyers and sellers and ...
The study empirically assessed the relationship between stock market development and long-run eco... more The study empirically assessed the relationship between stock market development and long-run economic growth in Nigeria for the period 1980 to 2000. The study used secondary data while four models of multiple regressions were specified. The regression results, which were obtained using the Ordinary Least Square (OLS), show that measures of stock market development statistically have no significant effect on economic growth in Nigeria during the period 1980 to 2000. The major implication of the findings is that if the Nigerian Stock Market is to significantly contribute to rapid economic growth, policies must be fashioned out to eliminate those factors that blur the effectiveness of the vehicle or transmission mechanism through which stock market activities influence economic growth.Based on the findings, it was recommended that there should be an improvement in the attractiveness of the market as a major source of raising capital. This will entail improvement in the physical infrastructure, more efficient share transfer and delivering system and provision of adequate and timely information on the market. Also, there should be improvement in the institutional regulation, environment and legal framework such that a balance is maintained between the soundness and safety of the market. And finally, there is the need to internationalize the stock market to improve the flow of savings. This willgive the market the advantages of risk diversification, improve information flow and encourage corporate control through investment in equity.
The vast majority of efficient market research to date has focused on the major United States and... more The vast majority of efficient market research to date has focused on the major United States and European securities market. Far fewer have investigated the developing and less developed countries markets; and no study on this area has been performed on the Dhaka Stock Exchange (DSE). The study seeks evidence supporting the existence of at least weak-form efficiency of the market. The sample includes the daily price indices of all the listed securities on the DSE for the period of 1988 to 1997. The hypothesis of the study is whether the Dhaka Stock Market is weakform efficient. The results of both non-parametric (Kolmogrov -Smirnov normality test and run test) test and parametric test ( Auto-correlation test, Auto-regression, ARIMA model ) provide evidence that the share return series do not follow random walk model and the significant autocorrelation co-efficient at different lags reject the null hypothesis of weak-form efficiency. The results are consistent in different sub-sample observations, without outlier and for individual securities. The issues are important to security analysts, investors and security exchange regulatory bodies in their policy making decisions to improve the market condition. This study deserves a continuous research on this area to reach an ultimate conclusion about the level of efficiency of less developed market.
The weak-form Efficient Market Hypothesis (EMH) proposes that share prices fully reflect historic... more The weak-form Efficient Market Hypothesis (EMH) proposes that share prices fully reflect historical prices and earnings information. This implies that returns on shares follow a random walk and are unpredictable. There exists a strong measure of consensus supported by tremendous amount of research evidence among financial economists on the validity of the weak and semistrong form of the EMH with
This paper classifies formal African stock markets into four categories and discuses the principa... more This paper classifies formal African stock markets into four categories and discuses the principal characteristics of the seven markets covered in this study: South Africa, Egypt, Morocco, Nigeria, Zimbabwe, Mauritius and Kenya. Using a GARCH approach with time-varying parameters, a test of evolving efficiency (TEE) is implemented for periods starting in the early 1990s and ending in June 2001. This test detects changes in weak form efficiency through time. The TEE finds that the Johannesburg stock market is weak form efficient throughout the period, and three stock markets become weak form efficient towards the end of the period: Egypt and Morocco from 1999 and Nigeria from early 2001. These contrast with the Kenya and Zimbabwe stock markets which show no tendency towards weak form efficiency and the Mauritius market which displays a slow tendency to eliminate inefficiency. The paper relates weak form efficiency to stock market turnover, capitalisation and institutional characteristics of markets. JEL Classification: G14, G15, O16 Keywords: African Stock Markets, efficiency, GARCH WITH THE POSSIBLE EXCEPTION of the JSE Securities Exchange (JSE), there have been relatively few studies of the weak form efficiency of African stock markets. While the evidence for the JSE is mixed, the few studies that have been carried out for other markets find, not surprisingly, that most are inefficient (in a financial sense, meaning that stock prices do not reflect all available information, and that stocks are not therefore being appropriately priced at their equilibrium values).
Abstract This paper examines the stock market reaction to annual earnings information releases us... more Abstract This paper examines the stock market reaction to annual earnings information releases using data on the Nigerian Stock Exchange. Using the event study method, the speed of reaction of the market to annual earnings information releases for a sample of 16 ...
This paper examines the weak-form efficient markets hypothesis for the Nigerian stock market by t... more This paper examines the weak-form efficient markets hypothesis for the Nigerian stock market by testing for random walks in the monthly index returns over the period 1984-2009. The results of the non-parametric runs test show that index returns on the Nigerian Stock Exchange (NSE) display a predictable component, thus suggesting that traders can earn superior returns by employing trading rules. The statistically significant deviations from randomness are also suggestive of suboptimal allocation of investment capital within the economy. The findings, in general, contradict the weak-form of the efficient markets hypothesis. Finally, a range of policy strategies for improving the allocative capacity and quality of the information environment of the NSE are discussed.
This study provides further evidence on the weak form efficiency of the Nigerian stock market, th... more This study provides further evidence on the weak form efficiency of the Nigerian stock market, that is, whether security prices on the Nigerian stock market adjust to historical price information. Using correlation analysis, monthly stock returns data over the period January 1981–December 1992 were employed in the analysis. The results provided support for the work of Samuels and Yacout (1981) and Ayadi (1983), that is, the Nigerian stock market appears to be efficient in the weak form.—Cet article traite de la faible efficacité de la Bourse des valeurs du Nigeria, à savoir que, à partir de nouveaux éléments, il cherche àétablir si les cours des titres cotés à la Bourse du Nigeria sont réajustés pour tenir compte des données chronologiques. A l’aide d’une analyse de corrélation, un examen des données mensuelles sur le rendement des titres, pour la période allant de janvier 1981 à décembre 1992, a été réalisé. Les résultats corroborent les travaux de Samuels et Yacout (1981) et ceux de Ayadi (1983), à savoir que la Bourse des valeurs du Nigeria semble être faiblement efficace.
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