文章基本信息

标题：Semi Strong Form Efficiency Test of the Nigerian Stock Market: Evidence from Event Study Analysis of Bonus Issues
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作者：Charles O. Manasseh ; Chukwuka Kenneth Ozuzu ; Jonathan E. Ogbuabor 等
期刊名称：International Journal of Economics and Financial Issues
电子版ISSN：2146-4138
出版年度：2016
卷号：6
期号：4
页码：1474-1490
语种：English
出版社：EconJournals
摘要：This study tests the consistency of the Nigerian Stock Market with the Efficient Market Hypothesis (EMH) in the semi-strong form using bonus issues as the information generating event. Using daily data, a total of 121 bonus issues were observed and examined for the period 2002-2006. The stocks which were tested were classified according to the size of their bonus issues and also according to the price of the stock to know the impact of information released on the price of different categories of stock. Using the event study methodology, the market and the market adjusted models as well as the VAR models, the study discovered that information release impacts significantly only in the year 2002. Also, it reveals that small bonus issues responded speedily to bonus issues more than medium and large bonus issues. In addition, the test between penny stocks and blue chips shows that only penny stocks were significantly affected. Keywords : Semi-Strong Form, Efficiency, Stock Market, Event Study, Bonus Issues JEL Classifications: G10; G11; G12; G14
其他摘要：This study tests the consistency of the Nigerian Stock Market with the Efficient Market Hypothesis (EMH) in the semi-strong form using bonus issues as the information generating event. Using daily data, a total of 121 bonus issues were observed and examined for the period 2002-2006. The stocks which were tested were classified according to the size of their bonus issues and also according to the price of the stock to know the impact of information released on the price of different categories of stock. Using the event study methodology, the market and the market adjusted models as well as the VAR models, the study discovered that information release impacts significantly only in the year 2002. Also, it reveals that small bonus issues responded speedily to bonus issues more than medium and large bonus issues. In addition, the test between penny stocks and blue chips shows that only penny stocks were significantly affected. Keywords : Semi-Strong Form, Efficiency, Stock Market, Event Study, Bonus Issues JEL Classifications: G10; G11; G12; G14