期刊名称：International Journal of Development and Sustainability
印刷版ISSN：2186-8662
出版年度：2014
卷号：3
期号：5
页码：1199-1244
出版社：International Society for Development and Sustainability (ISDS)
摘要：Efficient Market Hypothesis is one of the important models in the present modern finance. Market Efficiency has become the basis for numerous financial models thus providing for investment strategies. If a stock market is not efficient, the pricing mechanism will not ensure efficient allocation of capital within the economy which will have negative effects in such economy. Some financial Resear chers have discounted many reports of market inefficiency on the grounds of new statistical insight which has given rise to increase study of the efficient market hypothesis. In this study we are interested in testing the weak form of efficiency to stock market indexes of Nigeria between 1984 and 2012 using the monthly stock market indexes of the country within the period. Also to look at the effect of interest rate on the expected average annual monthly market share performance in Nigeria. The study adopte d unit root test and t-test to investigate efficient market hypothesis based on monthly annual share index panel data. Johansson co integration tes t was used to establish relationship between the monthly share prices. VAR model and granger causality were used to test for impact of interes t rate on market share index. The result rev ealed that there exist random walk model confirming no market efficiency based on the annual result. However, no random walk model was confirmed in the monthly stock returns hence, there was market efficiency in the monthly transaction in Nigeria stock exchange. Variance ratio was able to monitor the performance of the stock market. The study recommended; maintaining robust share market return policy could enhance the survival of the stock prices return. Adopting regulatory bodies that study the interest rate of the market capitalization so as to regulate the high interes t rate that give rise to total performance in the stock market which will in turn generate substance for economy growth and sustainable development in the Nigeria emerging economy.
关键词：Efficient Market; weak form hypothesis; stock indexes; random walk; Unit root; VAR
