WEAK FORM EFFICIENT MARKET HYPOTHESIS IN THE NIGERIAN STOCK MARKET: AN EMPIRICAL INVESTIGATION

Abstract

 The study empirically investigated the weak form efficient market hypothesis in the Nigerian stock market for the period 1990-2017. Secondary data were used and collected from the Central Bank of Nigeria Statistical Bulletin. All-Share-Index (ASI) was used and converted to stock market returns. Time series econometrics techniques were used for the analysis. The study revealed that the large differences between the Mean and Standard deviation of the variables in the descriptive statistics suggested that the stock market is highly risky. The study showed that between 2010 to 2017, the stock market returns were normally distributed. The results of serial independent or randomness as obtained from ADF test showed that the Nigerian stock market is dependent and not random thus inefficient, which indicated that investor can predict the markets returns. The stock market returns for the period 2010 to 2017, means that investor cannot predict the market returns in the period. The result revealed that previous stock market return has 15% positive relationship, and 0.23 0.23% had predictive powers. The study concluded that the NSE was not efficient in the weak form between 1990and 2010, hence, it has become efficient from 2011 up to 2017. The study recommended that the SEC should take a leading role in regulating abnormal financial activities. Market operators should provide adequate information on securities to the market allowing the free interplay of demand and supply to determine security values as current market values of securities on the NSE reflect available security information.