An Investigation of Weak Form Efficiency in the Nigerian Capital Market
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The study investigated if the Nigerian stock market (NSM) is weak and inefficient from1990 and 2019. To properly capture the studied periods, they were clustered, the data used to conduct this research is monthly All Share Index (ASI) source from the apex bank Bulletin, 2019. The specific objectives investigated include: (1) presence of normal distribution, (2) the randomness or stock market returns’ independence so as to forecast future market returns. Various tests conducted includes: descriptive statistics, Kolmogorov-Smirnov Test, runs test, unit root test, and simple regression. The results are as follows: (1) the NSM is highly risky;(2) The NSM returns is not normally distributed in the period between 1990 and 1997; 1998 and 2004; 2005 and 2015, and in the whole periods (1990 to 2019) though was normally distributed between 2011 and 2014 (3) the NSM seems to be inefficient from 1990 to 1997, 1998 to 2004, 2005 to 2015 and in the whole periods (1990 to 2019); (4) the market fashioned after the random walk from 2016 to 2019 suggesting that investor were able to forecast the market returns efficiently in these periods; and(5) previous stock market return has 15% positive relationship, and 0.23 0.23% predictive power. Thus, concludes that the NSM was only become in the weak and inefficient from 2016 up to 2019. As such, the study submits that information security fundamentals should be provided by issuers as at when due for security valuation at no cost.
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