Weak Form Efficiency of the Insurance Industry: Empirical Evidence from Nigeria
Journal Title: Jurnal Keuangan dan Perbankan - Year 2018, Vol 22, Issue 1
Abstract
This paper evaluated the insurance sector of 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 showed negative skewness and leptokurtic distribution. Estimates from the Jarque-Bera normality test showed that the insurance sector returns did not follow a normal distribution. Results of the runs test reject the 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 suggested that the insurance sector of NSE is not weak-form efficient. Consequently, technical analysis of the insurance sector of the NSE may not be fruitless.
Authors and Affiliations
Emenike Kalu Onwukwe, Peter Ifeanyichukwu Ali
Keywords
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- EP ID EP417957
- DOI 10.26905/jkdp.v22i1.1800
- Views 112
- Downloads 0
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