Abstract
In this study, we presented robust analyses of the Nigerian equity market using weekly stock prices of 140 listed companies in Nigeria over the period of Jan 1 2006 to Dec 27 2012. We adopted two sets of tests. The first set comprises Llliefors, Cramer-Von-Mises, Anderson-Darling and Ljung-Box which confirmed that stock prices are not normally distributed. But the second set includes size/rank variance ratio tests and TGARCH in mean technique. The tests jointly revealed strong presence of inefficiency as anomalies can be traced to persisted volatility, lack of randomity, significant effects of information and heteroskedasticity/leptokurtic nature of stock prices. We therefore conclude that information plays significant role in Nigerian stock market
AREWA AJIBOLA, NWAKANMA PRINCE C, TORBIRA LEZASI LENEE. (2014) Detecting Market Anomalies: Do Evidences hold in Nigeria? , International Review of Management and Business Research, Volume 3, Issue 2.
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