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The study aims to determine the predictability of stock returns in the Nigerian Exchange Group using various statistical methods.

April 24, 2026Open Access

Market Behavior and Stock Return Predictability: A Study of the Nigerian Exchange Group

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Examines stock return predictability in the Nigerian Exchange Group, suggesting fluctuating market efficiency over time.

The study aims to determine the predictability of stock returns in the Nigerian Exchange Group using various statistical methods.
Analyzed daily closing prices of selected stocks from January 2016 to August 2024
Applied Automatic Variance Ratio and predictive regression techniques
Investigated the influence of economic fundamentals on market returns
Market inefficiency was observed, allowing predictable stock returns based on economic factors
Statistical significance was found for variables like interest rates and inflation rates
Cyclic patterns of market efficiency were not evident due to the study's short duration

Nnamdi Obinna Okeke (2026) studied this question.

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