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Comparing the JSE to Nigerian stock exchange as well as some other African markets, it was found that a study was interested in whether the NSE followed a random walk which is when the price of stock changes randomly based on all available information at that time, inclusive of previous year prices. The markov model was used to test for this and found that NSE didn’t follow a random walk process which means that there is no pattern to predict stock prices for tomorrow by using today’s prices
In 2016, Nkemnole, E found the Nigerian stock exchange to be weak market efficient which meant that changes in prices of stock is not immediately reflected on price of the stock as stated by weak-form of the EMH, investors shouldn’t be able to outperform the market continually through having a look at trends of past share prices or by formulating trading rules that are based on historic share returns. This paper investigated the lenght to which the equity prices of firms listed on the Nigerian Stock Exchange were consistent with the efficient market theory hypothesis. Particularly, the paper investigated the weak-form efficiency of the NSE using weekly returns for sixty-nine most actively traded shares in 1995 to 2005 and pointed put at the end it pointed out that indeed the NSE may be weak-form efficient which is not efficient as investors end up paying more than they should
Obrimah, O. A., Alabi, J., ; Ugo-Harry, B. (January 01, 2015) found that the NSE capital pricing is characterised by market skewness and volatility, indicating this model was useful for the studies of semi-strong form efficiency of the Nigerian Stock Market. Their discovery was that capital pricing models mostly underestimated prices therefore is not an appropriate test for efficiency of the NSE whereas the capital pricing model was found to be an appropriate measure of efficiency in the Johannesburg stock exchange
Nwosu, E. O., Orji, A., ; Anagwu, O (2013) they examined the weak form of market efficiency of 5 stock markets; 4 were from Africa and 1 was developed through the period 1998 to 2008. Results indicated that the African markets do not behave in a manner consistent with the weak form of market efficiency. These results provide a difference in the developing African markets and the developed markets. The study found that developing African markets had higher average returns and volatility compared to developed markets which makes sense because higher risk is associated with higher return. An argument was that in market become less volatile, they would attract more investment

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