International Journal of Accounting, Finance and Risk Management

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Efficient Market Hypotheses Controversy and Nigerian Stock Exchange Relations

Received: May 25, 2020    Accepted: Jun. 08, 2020    Published: Jun. 28, 2020
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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.

DOI 10.11648/j.ijafrm.20200503.12
Published in International Journal of Accounting, Finance and Risk Management ( Volume 5, Issue 3, September 2020 )
Page(s) 131-140
Creative Commons

This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.

Copyright

Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

Random Walk, Capital Market Efficiency, Unit Root Test, GARCH Model, Autocorrelation

References
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Cite This Article
  • APA Style

    Ejem Chukwu Agwu, Ogbonna Udochukwu Godfrey, Okpara Godwin Chigozie. (2020). Efficient Market Hypotheses Controversy and Nigerian Stock Exchange Relations. International Journal of Accounting, Finance and Risk Management, 5(3), 131-140. https://doi.org/10.11648/j.ijafrm.20200503.12

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    ACS Style

    Ejem Chukwu Agwu; Ogbonna Udochukwu Godfrey; Okpara Godwin Chigozie. Efficient Market Hypotheses Controversy and Nigerian Stock Exchange Relations. Int. J. Account. Finance Risk Manag. 2020, 5(3), 131-140. doi: 10.11648/j.ijafrm.20200503.12

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    AMA Style

    Ejem Chukwu Agwu, Ogbonna Udochukwu Godfrey, Okpara Godwin Chigozie. Efficient Market Hypotheses Controversy and Nigerian Stock Exchange Relations. Int J Account Finance Risk Manag. 2020;5(3):131-140. doi: 10.11648/j.ijafrm.20200503.12

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  • @article{10.11648/j.ijafrm.20200503.12,
      author = {Ejem Chukwu Agwu and Ogbonna Udochukwu Godfrey and Okpara Godwin Chigozie},
      title = {Efficient Market Hypotheses Controversy and Nigerian Stock Exchange Relations},
      journal = {International Journal of Accounting, Finance and Risk Management},
      volume = {5},
      number = {3},
      pages = {131-140},
      doi = {10.11648/j.ijafrm.20200503.12},
      url = {https://doi.org/10.11648/j.ijafrm.20200503.12},
      eprint = {https://download.sciencepg.com/pdf/10.11648.j.ijafrm.20200503.12},
      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.},
     year = {2020}
    }
    

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  • TY  - JOUR
    T1  - Efficient Market Hypotheses Controversy and Nigerian Stock Exchange Relations
    AU  - Ejem Chukwu Agwu
    AU  - Ogbonna Udochukwu Godfrey
    AU  - Okpara Godwin Chigozie
    Y1  - 2020/06/28
    PY  - 2020
    N1  - https://doi.org/10.11648/j.ijafrm.20200503.12
    DO  - 10.11648/j.ijafrm.20200503.12
    T2  - International Journal of Accounting, Finance and Risk Management
    JF  - International Journal of Accounting, Finance and Risk Management
    JO  - International Journal of Accounting, Finance and Risk Management
    SP  - 131
    EP  - 140
    PB  - Science Publishing Group
    SN  - 2578-9376
    UR  - https://doi.org/10.11648/j.ijafrm.20200503.12
    AB  - 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.
    VL  - 5
    IS  - 3
    ER  - 

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Author Information
  • Department of Banking and Finance, Abia State University, Uturu, Nigeria

  • Department of Management Science, Rhema University, Aba, Nigeria

  • Department of Banking and Finance, Abia State University, Uturu, Nigeria

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