MARKET EFFICIENCY DURING THE RECENT GLOBAL FINANCIAL CRISIS: EVIDENCE FROM THE EMERGING NIGERIAN STOCK MARKET

This study investigates the weak form efficiency of the Nigerian stock market before, during and after the global financial crisis by testing for random walks in the monthly returns of the NSE All Share Index using nonparametric Runs test and Ljung-Box Q-Statistics (Box-Pierce Q) test. The empirical results show that the recent global financial crisis affected the weak-form efficiency of the Nigerian stock market. The result of the Pre-Crisis Period (January 2001 – June 2006) shows that the Nigerian stock market was weak-form efficient before the global financial crisis, but became weak-form inefficient during the Crisis Period (July 2006 – December 2010) as investors were able to predict future stock prices from historical prices during the financial crisis period. The result of the Post-Crisis Period (January 2011 – December 2014) shows that the stock market has recovered from the impact of the global financial crisis and is weak-form efficient.