Weak Form Efficiency of the Insurance Industry: Empirical Evidence from Nigeria

Authors

  • Emenike Kalu Onwukwe Department of Accounting and Finance, Kampala International University, P.M.B. 20000, Kampala
  • Peter Ifeanyichukwu Ali Department of Financial Management Technology Federal University of Technology P.M.B. 1526, Owerri.

DOI:

https://doi.org/10.26905/jkdp.v22i1.1800

Keywords:

Efficient Market Hypothesis, Stock Returns, Weak-form Efficiency, Nigeria stock exchange

Abstract

This paper evaluates the insurance sector of the Nigeria Stock Exchange (NSE) for evidence weak-form efficiency using daily returns from January 2009 to February 2016. The study employs descriptive analysis, non-parametric runs test and autocorrelation function as well as Ljung-Box Q statistics in conducting the evaluation. Descriptive statistics of the insurance sector return series show negative skewness and leptokurtic distribution. Estimates from the Jarque-Bera normality test show that the insurance sector returns do not follow a normal distribution. Results of the runs test reject a null hypothesis of randomness in the return series of the insurance sector in the period studied. Furthermore, the autocorrelation functions and the Ljung-Box Q tests provide evidence of serial correlation in the stock returns of the insurance sector. Overall results from the study suggest that the insurance sector of NSE is not weak-form efficient. Consequently, technical analysis on the insurance sector of the NSE may not be fruitless.

 

JEL Classification: G14, G22

DOI: https://doi.org/10.26905/jkdp.v22i1.1800


Author Biographies

Emenike Kalu Onwukwe, Department of Accounting and Finance, Kampala International University, P.M.B. 20000, Kampala

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Peter Ifeanyichukwu Ali, Department of Financial Management Technology Federal University of Technology P.M.B. 1526, Owerri.

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Published

2018-02-28

Issue

Vol. 22 No. 1 (2018): January 2018

Section

FINANCE AND BANKING

License

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