Test of the Semi-Strong Efficiency Theory in the Nigerian Stock Market: An Empirical Analysis

Ajayi John Ayodele; Ogbulu Onyemachi Maxwell

doi:doi:10.11648/j.jfa.20170504.13

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Test of the Semi-Strong Efficiency Theory in the Nigerian Stock Market: An Empirical Analysis

Ajayi John Ayodele, Ogbulu Onyemachi Maxwell

Published in Journal of Finance and Accounting (Volume 5, Issue 4)

Received: 20 October 2016 Accepted: 16 November 2016 Published: 21 June 2017

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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.

Published in	Journal of Finance and Accounting (Volume 5, Issue 4)
DOI	10.11648/j.jfa.20170504.13
Page(s)	139-146
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), 2017. Published by Science Publishing Group

Keywords

Semi-Strong, Stock Market, Input-Output, Transfer Function

References

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APA Style

Ajayi John Ayodele, Ogbulu Onyemachi Maxwell. (2017). Test of the Semi-Strong Efficiency Theory in the Nigerian Stock Market: An Empirical Analysis. Journal of Finance and Accounting, 5(4), 139-146. https://doi.org/10.11648/j.jfa.20170504.13

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ACS Style

Ajayi John Ayodele; Ogbulu Onyemachi Maxwell. Test of the Semi-Strong Efficiency Theory in the Nigerian Stock Market: An Empirical Analysis. J. Finance Account. 2017, 5(4), 139-146. doi: 10.11648/j.jfa.20170504.13

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AMA Style

Ajayi John Ayodele, Ogbulu Onyemachi Maxwell. Test of the Semi-Strong Efficiency Theory in the Nigerian Stock Market: An Empirical Analysis. J Finance Account. 2017;5(4):139-146. doi: 10.11648/j.jfa.20170504.13

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@article{10.11648/j.jfa.20170504.13,
  author = {Ajayi John Ayodele and Ogbulu Onyemachi Maxwell},
  title = {Test of the Semi-Strong Efficiency Theory in the Nigerian Stock Market: An Empirical Analysis},
  journal = {Journal of Finance and Accounting},
  volume = {5},
  number = {4},
  pages = {139-146},
  doi = {10.11648/j.jfa.20170504.13},
  url = {https://doi.org/10.11648/j.jfa.20170504.13},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jfa.20170504.13},
  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.},
 year = {2017}
}

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TY  - JOUR
T1  - Test of the Semi-Strong Efficiency Theory in the Nigerian Stock Market: An Empirical Analysis
AU  - Ajayi John Ayodele
AU  - Ogbulu Onyemachi Maxwell
Y1  - 2017/06/21
PY  - 2017
N1  - https://doi.org/10.11648/j.jfa.20170504.13
DO  - 10.11648/j.jfa.20170504.13
T2  - Journal of Finance and Accounting
JF  - Journal of Finance and Accounting
JO  - Journal of Finance and Accounting
SP  - 139
EP  - 146
PB  - Science Publishing Group
SN  - 2330-7323
UR  - https://doi.org/10.11648/j.jfa.20170504.13
AB  - 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.
VL  - 5
IS  - 4
ER  -

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Author Information

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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APA Style

Ajayi John Ayodele, Ogbulu Onyemachi Maxwell. (2017). Test of the Semi-Strong Efficiency Theory in the Nigerian Stock Market: An Empirical Analysis. Journal of Finance and Accounting, 5(4), 139-146. https://doi.org/10.11648/j.jfa.20170504.13

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ACS Style

Ajayi John Ayodele; Ogbulu Onyemachi Maxwell. Test of the Semi-Strong Efficiency Theory in the Nigerian Stock Market: An Empirical Analysis. J. Finance Account. 2017, 5(4), 139-146. doi: 10.11648/j.jfa.20170504.13

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AMA Style

Ajayi John Ayodele, Ogbulu Onyemachi Maxwell. Test of the Semi-Strong Efficiency Theory in the Nigerian Stock Market: An Empirical Analysis. J Finance Account. 2017;5(4):139-146. doi: 10.11648/j.jfa.20170504.13

Copy | Download

@article{10.11648/j.jfa.20170504.13,
  author = {Ajayi John Ayodele and Ogbulu Onyemachi Maxwell},
  title = {Test of the Semi-Strong Efficiency Theory in the Nigerian Stock Market: An Empirical Analysis},
  journal = {Journal of Finance and Accounting},
  volume = {5},
  number = {4},
  pages = {139-146},
  doi = {10.11648/j.jfa.20170504.13},
  url = {https://doi.org/10.11648/j.jfa.20170504.13},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jfa.20170504.13},
  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.},
 year = {2017}
}

Copy | Download

TY  - JOUR
T1  - Test of the Semi-Strong Efficiency Theory in the Nigerian Stock Market: An Empirical Analysis
AU  - Ajayi John Ayodele
AU  - Ogbulu Onyemachi Maxwell
Y1  - 2017/06/21
PY  - 2017
N1  - https://doi.org/10.11648/j.jfa.20170504.13
DO  - 10.11648/j.jfa.20170504.13
T2  - Journal of Finance and Accounting
JF  - Journal of Finance and Accounting
JO  - Journal of Finance and Accounting
SP  - 139
EP  - 146
PB  - Science Publishing Group
SN  - 2330-7323
UR  - https://doi.org/10.11648/j.jfa.20170504.13
AB  - 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.
VL  - 5
IS  - 4
ER  -

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