Re-Validating Weak-Form Hypothesis in Nigerian Capital Market: A Comparative Test Analyses

Ajibola Arewa, Prince C. Nwakanmaa

Abstract


In the study, we adopted comparative statistical techniques to evaluate the behaviors of stock returns in Nigerian
Capital market. Data were collected from CBN statistical bulletin over a period of Jan 1985 to Dec 2012. Our
findings based on JB, BJ, portmantuea autocorrelation and LM serial correlation tests showed that the behaviors
of stock returns follow the pattern of a random walk or alternatively the steps of a man who is drunk, while the
K-S, Runs and unit root tests contradict this position. Therefore we conclude that the controversial issue on the
tests of RWH in Nigerian stock market strikingly relies on the techniques that are applied and the asymptotic
nature of data set.

Full Text: PDF DOI: 10.5539/ibr.v7n4p73

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International Business Research  ISSN 1913-9004 (Print), ISSN 1913-9012 (Online)

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