Testing the Weak Form of Efficient Market Hypothesis in Nigerian Capital Market

Investigate the current consumption of assets for the benefit of the future. The investment canbe done by only one in the capital market which means that the investment is invested in the initialcapital assets. Profit or the same value is aimed at the investor's main interest in investing not releasedfrom risk money. Such risks are inevitably uncertain about information movement in the stock market.Relevant information available can be used as a basis for making decisions when to buy shares orretain holdings of shares. In addition, information can also be a basis for consideration when to releaseshares or not to buy shares at all. This information relates to Efficient Market Hypothesis (HPE) whichcontinues to research in financial markets. One of the forms of the Efficient Market (HPE) hypothesis isthat market efficiency is a weak form that is examined in this study. This market efficiency form isrelated to random walk theory which assumes that past data is not related to present value.

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An Empirical Study on Efficient Market Hypothesis with reference to FMCG Sector

GIS Business ◽

10.26643/gis.v15i1.17895 ◽

2020 ◽

Vol 15 (1) ◽

pp. 109-126

Author(s):

Nitin Tanted ◽

Prashant Mistry

Keyword(s):

Stock Prices ◽

Stock Price ◽

Abnormal Returns ◽

Weak Form ◽

Efficient Market Hypothesis ◽

Controversial Issues ◽

Efficient Market ◽

Price Movements ◽

Run Test ◽

Stock Price Movements

One of the highly controversial issues in the area of finance is “Efficient Market Hypothesis”. Efficient Market Hypothesis states that, “In an efficient market, all available price information is reflected in the stock prices and it is not possible to generate abnormal returns compared to other investors.” A lot of studies conducted previouslyto test the Efficient Market Hypothesis, confirmed the theory until recent years, when some academicians found it to be non-applicable in financial markets. According to them, it is possible to forecast the stock price movements using Technical Analysis. The results of various studies have been inconclusive and indefinite about the issue. This study attempted to test the efficiency of FMCG Sector stocks in India in its weak form. For the study, closing prices of top 10 stocks from Nifty FMCG index has been taken for the 5-year period ranging from 1st October 2014 to 30th September 2019. Wald-Wolfowitz Run test has been used to test the haphazard movements in the stock price movements. The results indicated that FMCG sector stocks does support the Efficient Market Hypothesis and exhibit efficiency in its weak form. Hence, it is not possible to accurately predict the price movements of these stocks.

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Robust Approach to Verifying the Weak Form of the Efficient Market Hypothesis

10.1063/1.3636754 ◽

2011 ◽

Author(s):

Luboš Střelec ◽

Theodore E. Simos ◽

George Psihoyios ◽

Ch. Tsitouras ◽

Zacharias Anastassi

Keyword(s):

Weak Form ◽

Efficient Market Hypothesis ◽

Efficient Market ◽

Robust Approach

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Testing the weak form of efficient market hypothesis for socially responsible and Shariah indexes in the USA

Journal of Islamic Accounting and Business Research ◽

10.1108/jiabr-02-2020-0055 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Abbas Khan ◽

Muhammad Yar Khan ◽

Abdul Qayyum Khan ◽

Majid Jamal Khan ◽

Zia Ur Rahman

Keyword(s):

Stock Prices ◽

Arima Model ◽

Weak Form ◽

Efficient Market Hypothesis ◽

Future Price ◽

Short Term ◽

Socially Responsible ◽

Efficient Market ◽

Content Type ◽

The Us

Purpose By testing the weak form of efficient market hypothesis (EMH) this study aims to forecast the short-term stock prices of the US Dow and Jones environmental socially responsible index (SRI) and Shariah compliance index (SCI). Design/methodology/approach This study checks the validity of the weak form of EMH for both SCI and SRI prices by using different parametric and non-parametric tests, i.e. augmented Dickey-Fuller test, Philip-Perron test, runs test and variance ratio test. If the EMH is invalid, the research further forecasts short-term stock prices by applying autoregressive integrated moving average (ARIMA) model using daily price data from 2010 to 2018. Findings The research confirms that a weak form of EMH is not valid in the US SRI and SCI. The historical data can predict short-term future price movements by using technical ARIMA model. Research limitations/implications This study provides better guidance to risk-averse national and international investors to earn higher returns in the US SRI and SCI. This study can be extended to test the EMH of Islamic equity in the Middle East and North Africa region and other top Islamic indexes in the world. Originality/value This study is a new addition to the existing literature of equity investment and price forecasting by comparing and investigating the market efficiency of two interrelated US SRI and SCI.

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Die Johannesburgse Effektebeurs as rasionele kapitaalmark

South African Journal of Business Management ◽

10.4102/sajbm.v12i3.1212 ◽

1981 ◽

Vol 12 (3) ◽

pp. 53-59 ◽

Cited By ~ 1

Author(s):

Leon M. Brummer ◽

Pieter J. Jacobs

Keyword(s):

Stock Exchange ◽

Weak Form ◽

Efficient Market Hypothesis ◽

Small Degree ◽

Point Of View ◽

Efficient Market ◽

Price Changes ◽

Economic Point ◽

Johannesburg Stock Exchange ◽

Measure Of Dependence

The Johannesburg Stock Exchange as an efficient market. Finality has not yet been reached on the question whether the Johannesburg Stock Exchange complies with the requirements of the efficient market hypothesis. The results of the research that are published in this article is therefore an attempt to make a contribution to the debate regarding the Johannesburg Stock Exchange as an efficient market. By way of serial correlations as well as runs tests an investigation was carried out into the behaviour of the prices of 94 quoted shares for the period 1970 to 1977. The results of the study give rise to the conclusion that the Johannesburg Stock Exchange does not statistically comply with the weak form of the efficient market hypothesis (the random walk hypothesis), as a measure of dependence between successive price changes was found. Seen from an economic point of view it is, however, doubtful whether investors could use this small degree of dependence between price changes to gain higher returns on share investments.Uitsluitsel met betrekking tot die mate waartoe die Johannesburgse Effektebeurs aan die vereistes vir 'n rasionele mark voldoen, is nog nie verkry nie. Die resultate wat in hierdie artikel voorkom is daarom 'n poging om 'n bydrae in die debat rakende die Johannesburgse Effektebeurs as 'n rasionele mark, te maak. 'n Ondersoek na die markpryse van 94 genoteerde aandele vir die periode 1970-77 is deur middel van reekskorrelasiekoeffisiente en die lopietoets uitgevoer. Die resultate van die studie gee aanleiding tot die gevolgtrekking dat die Johannesburgse Effektebeurs nie statisties aan die swak vorm van die rasionele markhipotese (die willekeurige beweging van markpryse) voldoen nie, aangesien 'n mate van afhanklikheid tussen opeenvolgende prysveranderings gevind is. Uit 'n ekonomiese oogpunt gesien is dit egter twyfelagtig of beleggers hierdie afhanklikheid sal kan aanwend om hoer opbrengste op aandelebeleggings te bewerkstellig.

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