The Efficient Markets Theory (EMT) of Financial Economics states that the price of an asset reflects all the relevant information available on the value of the asset. Although the EMT applies to all types of financial securities, the theoretical discussions usually focus on one type of security, e.g. shares of common shares in a company. The objective of the research work is to empirically examine the weak-form efficiency of the Nigerian stock market and the data used to carry out this research work was the All-Share Index (ASI) using time series data, 1999-2019. Data analysis techniques involve descriptive analysis, normality tests with parametric run tests. The study found that there is a large difference between the mean and the standard deviation of the variables and
the stock returns are normally distributed in the descriptive statistics to determine whether autocorrelation is present in a time-series regression analysis. Durbin-Watson value was 1.81%. The result shows that the stock market return is efficient in the weak form. Because there was no autocorrelation. The study recommended that there is a need for more investigation on the efficiency of the Nigerian stock market because market efficiency changes over time, so the stock market needs to be tested continuously.

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Categories: Volume 4 No 1