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June 10, 2026African Journal of Economic and Management Studies

Post-COVID evolution of weak-form efficiency in the Nigerian exchange

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Authors

OAOvbe Simon Akpadaka

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Overview

Randomized trial examines changes in market efficiency across different phases of the COVID-19 pandemic in Nigeria, highlighting critical insights for investors and regulators.

Key Points

  • This study aims to evaluate the evolution of weak-form market efficiency in the Nigerian Exchange during different phases of the COVID-19 pandemic.
  • Analyzed daily returns from the NGX All-Share Index and NGX Banking Index from 2018 to 2023.
  • Applied a hierarchical testing framework using both linear and nonlinear tests for dependence.
  • Employed the Generalised Spectral Test as the primary method to assess the martingale property.
  • Detected significant return dependence in the pre-COVID and COVID regimes, indicating deviations from weak-form efficiency.
  • The Generalised Spectral Test no longer rejected the martingale hypothesis in the post-COVID period for both indices, showing improved informational efficiency.
  • For the banking sector, return dependence was observed, but it aligned more closely with the efficiency benchmark compared to the aggregate market.

Cite This Study

Ovbe Simon Akpadaka (2026) studied this question.

synapsesocial.com/papers/6a2900b26f82f25be989d22dhttps://doi.org/10.1108/ajems-12-2025-1001
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