Testing the Semi-Strong Form of Efficiency Theory in the Nigerian Capital Market: The Input and Output Index

2017 ◽  
Author(s):  
John Ayodele Ajayi
Keyword(s):  
Capital Market ◽  
Strong Form ◽  
Output Index ◽  
Input And Output ◽  
Efficiency Theory

scholarly journals Semi-Strong Form of Efficiency of Nigerian Stock Market: An Empirical Test in the Context of Input and Output Index

2017 ◽  
Vol 9 (1) ◽  
pp. 115
Author(s):  
Ajayi John Ayodele ◽  
Segun Anthony Oshadare ◽  
Olufunmilayo Adekemi Ajala
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Empirical Test ◽  
Sampling Technique ◽  
Strong Form ◽  
Secondary Sources ◽  
Average Value ◽  
Output Index ◽  
Market Index ◽  
Input And Output

This paper examines the semi-strong form of efficiency of the Nigerian stock market. Such examination is made in the context of whether information impounded in previous stock prices reflect current prices through the input and output index. Data for the study were from secondary sources and it spans from 2005-2013. The population for this study encompasses all the companies that traded in the period of January 1, 2005 to December 31, 2013. All these companies are ranked according to their capitalization and a random sampling technique was employed to select the companies that have the capitalization values above the average value. The study made use of modified transfer function model to estimate the market index which is represented by the outputindex and the computed selected securities represented by the input index which is tantamount to published information. Findings from the paper show that publicly published information captured by the input index commands significant effect on the stock market represented by the output index hence making the Nigerian stock market to be semi-strong inefficient.

scholarly journals Testing Strong Form Market Efficiency of Jordanian Capital Market: Performance Appraisal of Mutual Funds a comparable study case with Saudi Arabia

2020 ◽  
Vol 16 (2) ◽  
pp. 3-15
Author(s):  
Mazen Bustanji
Keyword(s):  
Saudi Arabia ◽  
Performance Appraisal ◽  
Mutual Funds ◽  
Capital Market ◽  
Stock Exchange ◽  
Market Price ◽  
Strong Form ◽  
Monthly Data ◽  
Amman Stock Exchange ◽  
Modelling Techniques

This paper analyses the strong-form efficiency of the capital market in Jordan by evaluating the performance of mutual funds over the period from 2011 to 2016, and compare it with the situation in Saudi Arabia using the Jensen modelling techniques. These tests were applied on monthly data. Results from the study show that there is no evidence of the strong-form of efficiency in either the Amman Stock Exchange or in the Saudi Arabia capital market. Therefore, investors in the Amman Stock Exchange and Saudi Arabia capital market cannot predict stocks prices or returns in the short term; with regard to firms, it suggests that the securities of firms cannot outperform the market and present market price is to a certain extent a true reflection of the present situation of their securities, in addition there is lack number availability of the mutual funds in Jordan.

scholarly journals Impact of M&A Announcement on Stock Returns of Acquirer Companies: New Evidence from Indian Stock Market

2017 ◽  
Vol 3 (1) ◽  
pp. 86
Author(s):  
Richa Vij
Keyword(s):  
Stock Market ◽  
Mergers And Acquisitions ◽  
Stock Returns ◽  
Capital Market ◽  
Stock Return ◽  
Strong Form ◽  
Business Objectives ◽  
Indian Stock Market ◽  
The Impact ◽  
New Evidence

Mergers and Acquisitions (M&As) are often used as preferred tools of corporate structuring to serve a variety of business objectives and add value for the shareholders. Earlier studies have triggered a number of questions regarding the impact of M&As for the shareholders of acquiring companies. This paper focuses on the M&A among Indian companies and the response of the Indian capital market to such attempts as reflected in the changes in the stock return for different window periods close the M&A announcement. The findings of the present study suggest that there is significant impact of M&A announcement on stock returns for almost half of the sample acquirer companies. The study offers evidence in support of the contention that Indian stock market is not efficient in the semi-strong form with respect to M&A announcement information for acquirer companies and emphasizes that  investment analyst cannot ignore the information regarding the M&A deals.

Taking a Financial Position in Your Opponent in Litigation

2018 ◽  
Vol 108 (12) ◽  
pp. 3626-3650
Author(s):  
Albert H. Choi ◽  
Kathryn E. Spier
Keyword(s):  
Capital Market ◽  
Stock Price ◽  
Short Selling ◽  
Expected Value ◽  
Strong Form ◽  
Settlement Rate ◽  
Financial Position ◽  
The Capital Market

Before filing suit, a plaintiff can take a financial position in a defendant firm. A short position benefits the plaintiff by transforming a negative expected-value claim into a positive expected-value one and by enhancing the claim's settlement value. If the capital market is less than strong-form efficient, the plaintiff also benefits directly from the decline in the defendant's stock price. When the defendant is privately informed about the case's merits, bargaining failures can arise. While aggressive short-selling benefits the plaintiff at the expense of the defendant, moderate levels of short-selling can benefit the defendant and raise the settlement rate. (JEL D82, G14, K41)

CAPITAL MARKET EFFICIENCY: A Test of the Strong Form in Nigeria

2012 ◽  
Vol 02 (03) ◽  
pp. 12-18
Author(s):  
Azeez B.A. ◽  
Sulaiman L.A.
Keyword(s):  
Market Efficiency ◽  
Mutual Funds ◽  
Capital Market ◽  
Mutual Fund ◽  
Stock Exchange ◽  
Strong Form ◽  
Market Participant ◽  
Stock Volatility ◽  
Volatility Risk ◽  
Average Return

The responsiveness of the market financial instruments in terms of prices to reflect market information and the inability of information privileged market participant(s) to out-perform other counterparts pose the quest to test whether the strong form of market efficiency prevail in the Nigerian capital market or not. With the extraction of the returns on 240 stocks from the database of the Nigerian Stock Exchange (NSE), a comparison was made between a constructed random portfolio and a 3-year annualized average return on the portfolios of the mutual fund industry. In this empirical study, the analysis deduced that mutual funds were unable to out-perform the random portfolios created from the index stocks, which thus implies that the strong form of market efficiency holds in the Nigerian Capital Market. Nonetheless, profound analysis on stock volatility risk is essential to avoid substantial loss in the stock market.

Sign in / Sign up

Export Citation Format

Share Document