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Stock Returns Predictability and the Adaptive Market Hypothesis in Emerging Markets: Evidence from the Nigerian Capital Market. (1986-2016)

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  • Paul Ndubuisi
  • Kingsley Okere

Abstract

This paper explores the Adaptive Market Hypothesis using daily data from the Nigerian stock markets for the period of 1987 to 2016. Using different four sub-samples, the results are as follows; all four linear tests for the ASI suggest that the market is adaptive, the different tests disagree in relation to which subsamples are efficient and inefficient. Each of the nonlinear tests suggests that each market exhibits strong and significant nonlinear dependence, indicating inefficiency. These results indicate on evidence on the linear dependence of the ASI markets, however, it exhibits strong nonlinear dependence and in that sense they are inefficient for every subsample. There is also very little evidence of a switch to efficiency. In summary the evidence from the linear tests seems to be very supportive of the AMH whereas the nonlinear tests indicate continuing, although time varying, inefficiency. This results have some important policy implications.

Suggested Citation

  • Paul Ndubuisi & Kingsley Okere, 2018. "Stock Returns Predictability and the Adaptive Market Hypothesis in Emerging Markets: Evidence from the Nigerian Capital Market. (1986-2016)," Asian Journal of Economic Modelling, Asian Economic and Social Society, vol. 6(2), pages 147-156.
  • Handle: RePEc:asi:ajemod:v:6:y:2018:i:2:p:147-156:id:310
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    Citations

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    Cited by:

    1. Cheng-Wen Lee & Taufiqquddin Ande, 2022. "Pharmaceutical and Telecommunications Sector Weak Form Market Efficiency Study in Indonesian Capital Market 2017-2020," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 12(6), pages 1-9.
    2. Charles O. Manasseh & Nnah M. Iroha & Kingsley I. Okere & Ifeoma C. Nwakoby & Ogochukwu C. Okanya & Nnenna Nwonye & Onuselogu Odidi & Oliver I. Inyiama, 2022. "Application of Markov chain to share price movement in Nigeria (1985–2019)," Future Business Journal, Springer, vol. 8(1), pages 1-14, December.

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