An Empirical Investigation of the Weak-Form of the Efficient Market Hypothesis for the Nigerian Stock Exchange

According to the weak-form of the Efficient Market Hypothesis (EMH), investors should not be able to outperform the market consistently by looking at charts of past share prices or by devising trading rules based on historic share returns. This paper investigates the extent to which the equity prices of firms listed on the Nigerian Stock Exchange (NSE) are consistent with this hypothesis. In particular, the paper investigates the weak-form efficiency of the NSE using weekly returns for the 69 most actively traded shares over the period 1995-2005. The paper tests the weak-form of the EMH using a battery of tests including tests of autocorrelations and technical trading strategies. Overall, the analysis indicates that the Nigerian market may be weak-form efficient for ordinary investors who operate in a costly trading environment