Weak-form Efficiency After Global Financial Crisis: Emerging Stock Market Evidence
Material type:
TextDescription: 90–113 pSubject(s):
In:
GANGOPADHYAY, SHUBHASIS JOURNAL OF EMERGING MARKET FINANCESummary: his article investigates weak-form efficiency of the Nigerian Stock Exchange (NSE) and its sectors for the post-global financial crisis period using autocorrelation test, Ljung–Box Q test, McLeod-Li portmanteau test and ARCH-LM test. The descriptive statistics show that the returns of NSE and its sectors are positive. The results show that (i) investors can only predict banking sector return using superior fundamental analysis of their intrinsic values; (ii) prediction of the NSE 30 and Shari’ah equities sector returns require nonlinear model and fundamental analysis and (iii) consumer goods sector and oil and gas sector may be predicted using both technical and fundamental analyses.
| Item type | Current library | Call number | Vol info | Status | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|---|
Journal Article
|
Main Library | Vol 16, No 1/ 5557178JA4 (Browse shelf(Opens below)) | Available | 5557178JA4 | ||||
Journals and Periodicals
|
Main Library On Display | JOURNAL/FIN/Vol 16, No 1/5557178 (Browse shelf(Opens below)) | Vol 16, No 1 (01/05/2017) | Not for loan | 5557178 |
his article investigates weak-form efficiency of the Nigerian Stock Exchange (NSE) and its sectors for the post-global financial crisis period using autocorrelation test, Ljung–Box Q test, McLeod-Li portmanteau test and ARCH-LM test. The descriptive statistics show that the returns of NSE and its sectors are positive. The results show that (i) investors can only predict banking sector return using superior fundamental analysis of their intrinsic values; (ii) prediction of the NSE 30 and Shari’ah equities sector returns require nonlinear model and fundamental analysis and (iii) consumer goods sector and oil and gas sector may be predicted using both technical and fundamental analyses.
There are no comments on this title.