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

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.)

Jurnal Keuangan dan Perbankan
Vol 22, No 1 (2018): January 2018

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