EMPIRICAL INVESTIGATION OF STOCK MARKET EFFICIENCY AND ALL SHARE INDEX (ASI) VOLATILITY IN NIGERIA

Ogbeifun Rachael Osasere, PhD

Abstract


This study empirically investigated stock market efficiency and all share index (ASI) volatility in Nigeria. The study used descriptive statistics and inferential statistics to analyze yearly All Share Index (ASI) data generated for the period, 1985 to 2021. The finding from the study showed that presence of the weak form efficient market in Nigeria. The random movement of the yearly All Share Index (ASI) indicated volatility in the Nigeria bourse in the reference period. The study concludes that active investors cannot beat the market to make abnormal profit in the Nigerian stock market because the market do have a long memory to associate the previous yearly prices. Based on the findings obtained, the study suggests that regulators of the Nigerian Stock Exchange should make information available to investors at free cost and employ more sophisticated system for information dissemination that will checkmate and reduce the application of insider information to make abnormal profit. There is need to increase the breadth and depth of the Nigerian stock market by policy makers via potential investor’s enlightenment of the available wealth opportunities in the bourse to entice different investors type to participate and develop the stock market in Nigeria. Continuous research on weak form of EMH is highly suggested in the Nigerian stock market in order to find more conclusions with the aid of more robust model.


Keywords


Stock Market Efficiency, All Share Index (ASI), Volatility, Random Theory.

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