The Test of Semi - Strong Efficiency Theory in the Nigerian Capital Market: An Empirical Analysis in the Context of Dividend Announcements (original) (raw)

2014

Abstract

This study tests the semi-strong form of market efficiency theory. It employs event study methodology in which a sample of 20 randomly selected stocks listed on the Nigerian Stock Exchange on which dividend announcements were made from January 2010 to November 2011. Abnormal returns from the market model are evaluated by using the t-test. Findings from the study based on the average abnormal return shows that the market is semi strong efficient. However, the cumulative average abnormal return debunks the position arrived at the average abnormal return.

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