Faculty: Management Sciences
Department: Banking And Finance
Agbadua, O. B.
This study investigated the possibilities of the existence of weak form market efficiency in Nigeria and China Stock Markets. Unlike previous studies, we also investigated the existence of weak form efficiency under bull and bear market cycles. The data for this study comprises the monthly All Share Index returns, which were computed using percentage changes in monthly All Share Index obtained from the Nigerian Stock Exchange (NSE) webpage. It covered a period of 192 sampled months (i.e from January 1999 to December 2014). Data for China All Share Price Index was obtained from Fred economics webpage and it also covered 192 months (i.e from January 1999 to December 2014). The study, like other similar research on weak form efficiency in Nigeria and China adopted the popular and widely used statistical test and analysis. This includes the unit root test (ADF), Serial Autocorrelation Test, Autoregressive Test, Variance ratio test and the non-linear ARCH test. We also carried out descriptive statistical analysis to enable us understand and compare the unique statistical properties of stock return for bull and bear market cycles in Nigeria. Eview 8 econometric software was used in analysing the data. It was observed in the case of Nigeria that weak form efficiency was less pronounced under the full period of study and under the bull market cycle compare to the bear market cycle where the market tends to become more weak form efficient. Similar results were obtained in the case of china. The study therefore recommends that, since inefficiency exists in these markets, investors in both markets can take advantage of the arbitrage opportunities by buying and selling shares using the buy low and sell high profit rule.