Weak-form Efficiency After Global Financial Crisis: Emerging Stock Market Evidence
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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 | |
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Main Library | Vol 16, No 1/ 5557178JA4 (Browse shelf(Opens below)) | Available | 5557178JA4 | ||||
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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 |
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| Vol 16, No 1/ 5557178JA1 Intraday Periodicity and Volatility Forecasting: Evidence from Indian Crude Oil Futures Market | Vol 16, No 1/ 5557178JA2 Impact of Cash Dividend Announcements: Evidence from the Indian Manufacturing Companies | Vol 16, No 1/ 5557178JA3 Estimating Financial Conditions Index for India | Vol 16, No 1/ 5557178JA4 Weak-form Efficiency After Global Financial Crisis: Emerging Stock Market Evidence | Vol 16, No 1/ 5557711JA1 Impact of Good Governance on Indian Manufacturing Growth: A System Dynamics Analysis | Vol 16, No 1/ 5557711JA2 Women Investors: A Literature Review | Vol 16, No 1/ 5557711JA3 A Study on Consumer Behaviour of Passenger Car Segments through Logistic egression Modelling |
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.
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