Empirical Test For Weak Form Efficient Market Hypothesis Of The Nigerian Stock Exchange
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Empirical Test For Weak Form Efficient Market Hypothesis Of The Nigerian Stock Exchange
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Author : Kalu O. Emenike
language : en
Publisher:
Release Date : 2010
Empirical Test For Weak Form Efficient Market Hypothesis Of The Nigerian Stock Exchange written by Kalu O. Emenike and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
In recent years, the Nigerian Stock Exchange (NSE) has witnessed an unprecedented growth in market capitalization, membership, value and volume traded. By December 2007, the All Share Index has grown massively to 57,990.2 from 1113.4 in January 1993. This rising interest in investment opportunities in the NSE raises questions about its efficiency. This paper, therefore, tests the Weak-form Efficient Market Hypothesis of the NSE by hypothesizing Normal distribution and Random walk of the return series. Monthly All Share Index of the NSE is examined from January 1993 to December 2007. Our Normality tests include Skewness, kurtosis, Jarque-Bera and Studentized Range tests; whereas Random walk is tested using the non-parametric Runs test. Results of the Normality tests show that returns from NSE do not follow normal distribution. Runs test results reject the randomness of the return series of the NSE. Overall results from the tests suggest that the NSE is not weak form efficient. Reduction of transaction cost so as to improve market activities and Minimizing institutional restrictions on trading of securities in the bourse were therefore recommended.
Weak Form Efficiency Of The Nigerian Stock Market
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Author : Pyemo Afego
language : en
Publisher:
Release Date : 2013
Weak Form Efficiency Of The Nigerian Stock Market written by Pyemo Afego and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This paper examines the weak-form efficient markets hypothesis for the Nigerian stock market by testing for random walks in the monthly index returns over the period 1984-2009. The results of the non-parametric runs test show that index returns on the Nigerian Stock Exchange (NSE) display a predictable component, thus suggesting that traders can earn superior returns by employing trading rules. The statistically significant deviations from randomness are also suggestive of sub-optimal allocation of investment capital within the economy. The findings, in general, contradict the weak-form of the efficient markets hypothesis. Finally, a range of policy strategies for improving the allocative capacity and quality of the information environment of the NSE are discussed.
Weak Form Efficient Market Hypothesis
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Author : Emenike Kalu O.
language : en
Publisher: LAP Lambert Academic Publishing
Release Date : 2013
Weak Form Efficient Market Hypothesis written by Emenike Kalu O. and has been published by LAP Lambert Academic Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
In recent years, the Nigerian Stock Exchange (NSE) witnessed an unprecedented growth in market capitalization, membership, value and volume traded. By December 2007, the All-Share Index has grown massively to 57,990 from 1,113 in January 1993. This rising interest in investment opportunities in the NSE raises questions about its efficiency. Why do we care if a stock market is efficient or not? The stock market acts an intermediary and channels funds from savers to firms for investment purposes. An efficient stock market is a 'well-functioning' market, where prices of stocks represent their fair value. This book examines the efficiency of the NSE using a scientific method that can be replicated by stakeholders of stock market such as investors, investment analysts, fund managers, regulators, and students of the stock markets.
Efficient Market Hypothesis And The Nigerian Capital Market
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Author : Henry Inegbedion
language : en
Publisher: LAP Lambert Academic Publishing
Release Date : 2012-03
Efficient Market Hypothesis And The Nigerian Capital Market written by Henry Inegbedion and has been published by LAP Lambert Academic Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-03 with categories.
In the wake of the deregulation of the financial sector in Nigeria, following the enthronement of democratic governance, several policies were put in place to stimulate capital market activities. The series of policies, especially the twenty-five Billion Naira capitalization of Banks, led to unprecedented increase in trading on the floor the Nigerian Stock exchange. The perceived rapid returns to investors were suggestive of a speculative market and thus made the market very attractive. Although the studies conducted before this period indicated that the Nigerian Capital Market was efficient in the weak form, there was need for a robust replication of earlier studies to determine the extent to which such claims still held sway against the backdrop of persistent bullish runs; this is what this study sought to achieve. Results of this study showed that the Nigerian capital market is efficient in the weak form; thus showing consistency with most previous studies. It is thus reasonable to conclude that investors in the Nigerian Stock Exchange are assured of fair returns to their investment.
Testing Weak Form Of Efficient Market Hypothesis
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Author : Saqib Nisar
language : en
Publisher:
Release Date : 2017
Testing Weak Form Of Efficient Market Hypothesis written by Saqib Nisar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
The efficient market hypothesis (EMH) suggests that stock prices fully reflect all available information in the market and no investor is able to earn excess return on the basis of some secretly held private, public or historical information. Efficient market hypothesis (EMH) can be further divided into three sub hypotheses depending upon the information set involved and these are weak form efficient market hypothesis, semi strong form efficient market hypothesis and strong form efficient market hypothesis. This research has examined the weak form of efficient market hypothesis on the four major stock exchanges of South Asia that are Karachi stock exchange (KSE-100), Bombay stock exchange (BSE-SENSEX), Colombo stock exchange (CSE-MPI) and Dhaka stock exchange (DSE-GEN). Historical index values of KSE-100, BSE-SENSEX, CSE-MPI and DSE-GEN on a monthly, weekly and daily basis for a period of 14 Years (July 1997 to June 2011). We applied four different statistical tests including runs test, serial correlation (Durbin Watson test), unit root and variance ratio test. Findings suggest that none of the four major stock markets of south-Asia follows Random-walk and hence all these markets are not the weak form of efficient market.
The Efficient Market Hypothesis Revisited
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Author : Nuray Ergül Kondak
language : en
Publisher:
Release Date : 1997-01-01
The Efficient Market Hypothesis Revisited written by Nuray Ergül Kondak and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-01-01 with Capital market categories.
An Empirical Analysis Of The Weak Form Efficiency Of Stock Markets
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Author :
language : en
Publisher:
Release Date : 2009
An Empirical Analysis Of The Weak Form Efficiency Of Stock Markets written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
The main objective of this thesis is to show that additional insights, beyond the verdict of market efficiency/inefficiency, can be obtained from those existing statistical tests of the weak-form efficient markets hypothesis (EMH). As an introduction, Chapter 1 provides the background and outline of this thesis. Chapter 2 then surveys the relevant literature and discusses the motivations behind the development of the three key research questions addressed in Chapter 3 through 5, respectively. Chapter 3 examines the association between trade liberalization and the weak-form efficiency of stock market, motivated by the production-based asset pricing model of Basu and Morey [Trade opening and the behavior of emerging stock market prices, Journal of Economic Integration 20(1), 2005, 68-92]. Using data from 23 developing countries over the sample period of 1992-2006, we find that a greater level of de facto trade openness is associated with a higher degree of informational efficiency in these emerging stock markets, even after controlling for trading volume and market return volatility. Further analyses find no significant association between the extent of financial openness and the degree of informational efficiency. While Chapter 3 provides novel evidence on the association between trade openness and stock market efficiency, our empirical work can also be viewed as addressing the issue of whether the existing theoretical determinants (i.e. trading volume, return volatility, trade liberalization and financial openness) are capable of explaining the variations of index return autocorrelations across countries and over time. Chapter 4 employs the rolling bicorrelation test to measure the degree of nonlinear departures from a random walk for aggregate stock price indices of 50 countries over the common sample period of 1995-2005. We find that stock markets in economies with low per capita GDP in general experience more frequent price deviations than those in the high incom.
Testing The Weak Form Of Efficient Market Hypothesis
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Author : Kashif Hamid
language : en
Publisher:
Release Date : 2017
Testing The Weak Form Of Efficient Market Hypothesis written by Kashif Hamid and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This empirical study is conducted to test the weak-form market efficiency of the stock market returns of Pakistan, India, Sri Lanka, China, Korea, Hong Kong, Indonesia, Malaysia, Philippine, Singapore, Thailand, Taiwan, Japan and Australia. Monthly observations are taken for the period January 2004 to December 2009. Autocorrelation, Ljung-Box Q-statistic Test, Runs Test, Unit Root Test and the Variance Ratio are used to test the hypothesis that the stock market follows a random walk. Monthly returns are not normally distributed, because they are negatively skewed and leptokurtic. In aggregate we concluded that the monthly prices do not follows random walks in all the countries of the Asian-Pacific region. The investors can take the stream of benefits through arbitrage process from profitable opportunities across these markets.
Investment Analysis And Portfolio Management
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Author : Frank K. Reilly
language : en
Publisher:
Release Date : 1997
Investment Analysis And Portfolio Management written by Frank K. Reilly and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Analyse financière categories.
Penned by a widely respected author team, this investments text takes an empirical approach to explaining current, real-world practice. Providing the most comprehensive coverage available, the text emphasizes investment alternatives and teaches students how to analyze these choices and manage their portfolio. Like the editions before it, the sixth edition includes excellent coverage of portfolio theory, capital market theory, security analysis, and international investments.
The Efficiency Of The Kuala Lumpur Stock Exchange
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Author : Annuar Md Nasir
language : en
Publisher:
Release Date : 1993
The Efficiency Of The Kuala Lumpur Stock Exchange written by Annuar Md Nasir and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Efficient market theory categories.