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

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Weak Form Efficiency of the Insurance Industry: Empirical Evidence from Nigeria Emenike Kalu Onwukwe; Peter Ifeanyichukwu Ali
Jurnal Keuangan dan Perbankan Vol 22, No 1 (2018): January 2018
Publisher : University of Merdeka Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (320.887 KB) | DOI: 10.26905/jkdp.v22i1.1800

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, G22DOI: https://doi.org/10.26905/jkdp.v22i1.1800
Co-Authors Emenike Kalu Onwukwe