147 AJBMR • Doi Publications
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  • CAPITAL MARKET EFFICIENCY: A Test of the Strong Form in Nigeria
    â–ºAzeez, B.A. and Sulaiman, L.A.

     10.52283/NSWRCA.AJBMR.20120203A02

    ABSTRACT
    The responsiveness of the market financial instruments in terms of prices to reflect market information and the inability of information privileged market participant(s) to out-perform other counterparts pose the quest to test whether the strong form of market efficiency prevail in the Nigerian capital market or not. With the extraction of the returns on 240 stocks from the database of the Nigerian Stock Exchange (NSE), a comparison was made between a constructed random portfolio and a 3-year annualized average return on the portfolios of the mutual fund industry. In this empirical study, the analysis deduced that mutual funds were unable to out-perform the random portfolios created from the index stocks, which thus implies that the strong form of market efficiency holds in the Nigerian Capital Market. Nonetheless, profound analysis on stock volatility risk is essential to avoid substantial loss in the stock market.
    Keywords: Market Efficiency, Capital Market, Nigerian Stock Exchange (NSE) Stocks, Information, Portfolio, Random Walk, Mutual Funds.

    Pages:12-18 :: Download-View
 
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