Weak form efficiency of the Nigerian stock market: Further evidence

African Development Review

Volumn 11, Issue 1, 1999, Pages 54-68

  Olowe, R Ayodeji ^a  

^a UNIVERSITY OF LAGOS   (Nigeria)

Author keywords

[No Author keywords available]

Indexed keywords

CAPITAL FLOW; PRICE DYNAMICS; STOCK MARKET;

NIGERIA;

EID: 0033509309     PISSN: 10176772     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-8268.00003     Document Type: Article

References (35)

1. Akingbohungbe, S. (1990), 'The Role and Impact of the Securities and Exchange Commission in the Economy', Securities Market Journal (Nigeria), 6, 43-51.
2. Alexander, S.S. (1961), 'Price Movements in Speculative Markets: Trends or Random Walks', Industrial Management Review, May, 7-26.
3. Alexander, S.S. (1964), 'Price Movements in Speculative Markets: Trends or Random Walks', No. 2, Industrial Management Review, Spring, 25-46.
4. Alile, H.I. and A.R. Anao (1986), The Nigerian Stock Market in Operation, The Nigerian Stock Exchange, Lagos.
5. Ayadi, O.F. (1983), 'The Nigerian Capital Market and the Random Walk Hypothesis', unpublished MSc dissertation, University of Lagos.
6. Balogun, O.M. (1990), 'Practice of Stockbroking in an Emerging Stock Market: The Nigerian Experience', Securities Market Journal (Nigeria), 6, 75-108.
7. Box, G.E.P. and D.A. Pierce (1970), 'Distribution of Residual Autocorrelations in Auto-regressive Integrated Moving Average Time Series Models', Journal of the American Statistical Association, 65.
8. Clarice, L.C. (1992), Promoting and Developing Capital Markets in Africa - Essence, Problems and Prospects, Nigerian Securities and Exchange Commission/Africa Development Bank Conference on Promotion of Capital Markets in Africa, Abuja, November.
9. Copeland, T.E. and J.F. Weston (1983), Financial Theory and Corporate Policy, 2nd edn, Addison Wesley Publishing Inc., California.
10. Fama, E.F. (1965), 'The Behaviour of Stock Market Prices', Journal of Business, January, 34-105.
11. Fama, E.F. (1970), 'Efficient Capital Markets: A Review of Theory and Empirical Work', Journal of Finance, May, 383-417.
12. Fama, E.F. (1976), Foundations of Finance, Basic Books, New York.
13. Fama, E.F. and M. Blume (1966), 'Filter Rules and Stock Market Trading Profits', Journal of Business, 39, 226-41.
14. Frankfurter, G.M. and C.G. Lamoureux (1988), 'Stock Selection and TimingA New Look at Market Efficiency', Journal of Business Finance and Accounting, Autumn, 385-400.
15. Garbade, K. (1982), Securities Markets, McGraw-Hill, Inc., New York.
16. Garbade, K. and J. Hunt (1978), 'Risk Premiums on Federal Agency Debt', Journal of Finance, 33, 105.
17. Granger, C.W. and O. Morgenstern (1963), 'Spectral Analysis of New York Stock Market Prices', Kyklos, 16, 1-27. Reprinted in Cootner (ed.) 1964 op. cit., 162-187.
18. Hagerman, R. and R. Richmond (1973), 'Random Walks, Martingale and the OTC', Journal of Finance, September, 897-909.
19. Jensen, M. and G. Bennington (1970), 'Random Walks and Technical Theories: Some Additional Evidence', Journal of Finance, May, 469-82.
20. Kendall, M.G. (1953), 'The Analysis of Economic Time Series I', Journal of Royal Statistical Society, Series A, Vol. 116, 11-25.
21. Khoury, J.S. (1983), Investment Management: Theory and Application, Macmillan Publishing, New York.
22. Levy, R. (1967), 'Relative Strength as a Criteria for Investment Selection', Journal of Finance, December, 595-610.
23. Mandelbrot, B. (1966), 'Forecasts of Future Prices, Unbiased Markets and 'Martingale' Models', Journal of Business, January, 242-55.
24. Mobolurin, O. (1993), 'Secondary Market Trading: A Critical Appraisal', UNILAG CONSULT's Seminar on Capital Markets, Lagos, March.
25. Moore, A.B. (1962), 'A Statistical Analysis of Common Stock Prices', unpublished Doctoral dissertation, University of Chicago.
26. Odife, D.O. (1990), 'Improving the Operational Efficiency of the Nigerian Capital Market', Securities and Exchange Commission's Seminar on Ten Years of Securities Regulation in Nigeria, Lagos, August.
27. Olowe, R.A. (1996), 'Semi-Strong Information Efficiency of the Nigerian Stock Market: Evidence from Stock Splits', unpublished Doctoral dissertation, University of Lagos.
28. Osaze, B.E. (1991), The Capital Market - Its Nature and Operational Character, Bob Osaze, Benin.
29. Osborne, M.F.M. (1959), 'The Brownian Motion in the Stock Market', Operations Research, March-April, 145-73.
30. Roberts, H.V. (1959), 'Stock Market Patterns and Financial Analysis Methodological Suggestions', Journal of Finance, March, 1-10.
31. Samuels, J.M. and N. Yacout (1981), 'Stock Exchanges in Developing Countries', Savings and Development, No. 4, 217-320.
32. Samuelson, P.A. (1965), 'Proof that Property Anticipated Prices Fluctuate Randomly', Industrial Management Review, Spring, 41-9.
33. Schwert, C.W. (1977), 'Stock Exchange Seats as Capital Assets', Journal of Financial Economics, May.
34. Van Home, J. and G. Parker (1968), 'Technical Trading Rules: A Comment', Financial Analysts Journal, July/August, 128-32.
35. Yohannes, L.G. (1994), 'Macroeconomic Policy and Stock Market Efficiency in Nigeria: A Case Study', in A. Atsain, S. Wangwe and A.G. Drabek (eds) Economic Policy Experience in Africa: What Have We Learned?, African Economic Research Consortium, Nairobi.