TESTING THE WEAK-FORM EFFICIENCY OF THE NIGERIAN STOCK MARKET IN DIFFERENT MARKET PERIODS

This study investigates the weak-form efficiency of the Nigerian stock market by testing for random walks in the monthly returns of the NSE All Share Index from January 1991 to December 2014 using a combination of nonparametric Runs test and Autocorrelation Function test. The results of the Overall Period show that the Nigerian stock market was weak-form inefficient over the entire period. Dividing the entire sample period into three distinct market periods, this empirical study documents shifts in the weak-form efficiency of the market. The results reject the presence of random walk in the NSE All Share Index in Period I (January 1991 – December 1999). Period II (January 2000 – December 2008) shows the weak-form efficiency of the Nigerian stock market evolving, reflecting the impact of various financial sector reforms launched during the period. Period III (January 2009 – December 2014) shows that the NSE All Share Index follows a random walk process and therefore weak-form efficient. This study therefore concludes that the Nigerian stock market could be adaptive and recommends further empirical studies in that direction.