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Research Article

Detecting Market Anomalies: Do Evidences Hold in Nigeria?

Arewa Ajibola1*, Nwakanma Prince C2 and Torbira Lezaasi Lenee3

1 Faculty of Management Sciences, Department of Accounting and Finance, Lagos State University, Lagos, Nigeria

2 Faculty of Management Sciences, Department of Finance and Banking, University of Port-Harcourt, River State, Nigeria

3 Faculty of Management Sciences, Department of Finance and Banking, University of Port Harcourt, Port Harcourt, River State, Nigeria

*Corresponding Author:
Arewa Ajibola
Faculty of Management Sciences
Department of Accounting and Finance
Lagos State University, Lagos, Nigeria
Tel: 08060962048; 08090733989
E-mail: [email protected]

Received date: December 16, 2013; Accepted date: March 20, 2014; Published date: March 27, 2014

Citation: Arewa Ajibola, Nwakanma Prince C and Torbira Lezaasi Lenee (2014) Detecting Market Anomalies: Do Evidences Hold in Nigeria? . Bus Eco J 5:91. doi: 10.4172/2151-6219.100092

Copyright: © 2014 Ajibola A, et al. This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.


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 the information plays significant role in Nigerian stock market.


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