Published Online:March 2024
Product Name:The IUP Journal of Financial Risk Management
Product Type:Article
Product Code:IJFRM020324
Author Name:Samuel Wandeto Mathagu
Availability:YES
Subject/Domain:Finance
Download Format:PDF
Pages:17
This study seeks to test the efficient market hypothesis (EMH) in the Nigerian stock market. The test is based on the notion that in an efficient market, the prices fully reflect ‘all the securities’ available information. It examines if there is a correlation between the expected returns on assets in consecutive periods, how asset prices adjust to reflect new information and how investors perform. The study employed descriptive research method and quantitative technique. It also employed all share index (ASI) to measure the stock market in terms of magnitude and direction. Augmented Dickey-Fuller (ADF) and Philips-Perron (PP) tests were applied to test the unit root. Runs test was used to test randomness in share price movements. The results for ADF and PP indicated presence of random walk, while the results for runs test indicated no random walk and hence a presence of weak form inefficiency.
A market is considered to be efficient, with respect to information, if prices ‘fully reflect’ all the securities’ available information.