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March 22, 2026Open Access

Predicting the Market Microstructure–Price Efficiency Nexus Using Time Series Analysis in Nigeria

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OYOnipe Adabenege Yahaya

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Overview

Investigates market microstructure's impact on price efficiency in Nigeria, suggesting regulatory improvements are needed.

Key Points

  • The research aims to explore the relationship between market microstructure and price efficiency in the Nigerian stock market.
  • Utilized time series analysis over the period 1995–2023.
  • Examined market microstructure through bid-ask spread, trading volume, and market depth.
  • Employed an Autoregressive Distributed Lag (ARDL) bounds testing approach.
  • Controlled for various socio-economic factors including GDP per capita and inflation.
  • Conducted post-estimation diagnostics for model stability and reliability.
  • Bid-ask spread significantly negatively affects price efficiency in both short and long run.
  • Trading volume and market depth are positively associated with improvements in price efficiency.
  • GDP per capita growth and trade openness show significant positive effects on price efficiency.
  • Natural resource dependence and inflation rate negatively impact price efficiency.

Cite This Study

Onipe Adabenege Yahaya (2026) studied this question.

synapsesocial.com/papers/69bf89a9f665edcd009e982fhttps://doi.org/10.5281/zenodo.19140525
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