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Weak-form Efficiency After Global Financial Crisis: Emerging Stock Market Evidence

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  • Emenike Kalu O.

Abstract

This article investigates weak-form efficiency of the Nigerian Stock Exchange (NSE) and its sectors for the post-global financial crisis period using autocorrelation test, Ljung–Box Q test, McLeod-Li portmanteau test and ARCH-LM test. The descriptive statistics show that the returns of NSE and its sectors are positive. The results show that (i) investors can only predict banking sector return using superior fundamental analysis of their intrinsic values; (ii) prediction of the NSE 30 and Shari’ah equities sector returns require nonlinear model and fundamental analysis and (iii) consumer goods sector and oil and gas sector may be predicted using both technical and fundamental analyses. JEL Classification: G11, 14

Suggested Citation

  • Emenike Kalu O., 2017. "Weak-form Efficiency After Global Financial Crisis: Emerging Stock Market Evidence," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 16(1), pages 90-113, April.
    • Handle: RePEc:sae:emffin:v:16:y:2017:i:1:p:90-113
    DOI: 10.1177/0972652716686268
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    References listed on IDEAS

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    More about this item

    Keywords

    Weak-form EMH; stock returns; sectors of economy; global financial crisis; Nigeria;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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    Access and download statistics

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