Abstract

The weak form hypothesis has been pointed out as dealing with whether or not security prices fully reflect historical price or return information. To carry out this investigation with the Nigerian stock market data, we employed the run test and the correlogram/partial autocorrelation function as alternate forms of the research instrument. The results of the three alternate tests revealed that the Nigerian stock market is efficient in the weak form and therefore follows a random walk process. Thus, the opportunity of making excess returns in the market is ruled out.

Keywords: Market efficiency, weak form hypothesis, stock market returns, equity, run test, autocorrelation test.