Test of the Semi-Strong Efficiency Theory in the Nigerian Stock Market: An Empirical Analysis
Journal of Finance and Accounting
Volume 5, Issue 4, July 2017, Pages: 139-146
Received: Oct. 20, 2016; Accepted: Nov. 16, 2016; Published: Jun. 21, 2017
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Authors
Ajayi John Ayodele, Department of Banking and Finance, Federal University of Agriculture, Abeokuta, Nigeria
Ogbulu Onyemachi Maxwell, Department of Banking and Finance, Abia State University, Uturu, Nigeria
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Abstract
This study investigates the semi- strong efficiency theory in the Nigerian stock market. The study used daily returns from the Nigerian stock market over the period of January 1, 2005, to December 31, 2013, of which about 80 companies that retained their quoting status were used as the sample for the study. A modified transfer function approach was built to show a cause and effect relationship between the output index represented by the All-Share Index of the Nigerian Stock Exchange and the input series represented by the computed index of the selected securities in the Nigerian stock market. Findings from the study showed that the coefficient of the input index is significantly different from zero implying that investors can outperform the market based on published information hence making the market be semi-strong inefficient.
Keywords
Semi-Strong, Stock Market, Input-Output, Transfer Function
To cite this article
Ajayi John Ayodele, Ogbulu Onyemachi Maxwell, Test of the Semi-Strong Efficiency Theory in the Nigerian Stock Market: An Empirical Analysis, Journal of Finance and Accounting. Vol. 5, No. 4, 2017, pp. 139-146. doi: 10.11648/j.jfa.20170504.13
Copyright
Copyright © 2017 Authors retain the copyright of this article.
This article is an open access article distributed under the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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