Purpose This study examines the evolution of weak-form market efficiency in the Nigerian Exchange by analysing return dynamics over the full sample period (2018–2023) and across three structural regimes associated with the COVID-19 pandemic: the pre-COVID period (2018–2019), the COVID crisis (2020–2021) and the post-COVID recovery phase (2022–2023). Design/methodology/approach The study applies a hierarchical testing framework to evaluate the martingale difference hypothesis using daily returns from the NGX All-Share Index and the NGX Banking Index. Linear dependence is examined using Ljung–Box and runs tests, nonlinear dependence using the Brock–Dechert–Scheinkman (BDS) test, and the Generalised Spectral Test (GST) is employed as the primary test of the martingale property. Findings The results reveal time-varying efficiency consistent with the adaptive market hypothesis. We detect significant return dependence in the aggregate market during the pre-COVID and COVID regimes, which indicates deviations from weak-form efficiency. For the banking sector, supporting diagnostics detect dependence, but the GST does not reject the martingale difference hypothesis, suggesting behaviour closer to the efficiency benchmark. In the post-COVID period, the GST no longer rejects the martingale hypothesis for either index, indicating measurable improvement in informational efficiency. Research limitations/implications This study uses index-level data rather than firm-level observations and examines a relatively short post-COVID period, which may limit generalisability and the ability to capture firm-specific dynamics. Nevertheless, the findings provide valuable insights into evolving market efficiency in the Nigerian Exchange and highlight the role of institutional reforms, improved disclosure and nonlinear analytical methods in understanding adaptive efficiency in emerging markets. Practical implications The findings suggest that improvements in market infrastructure, disclosure systems and regulatory surveillance can enhance informational efficiency in emerging markets. For regulators, strengthening transparency and digital trading platforms may accelerate price discovery and reduce return predictability. For investors, the results indicate that market efficiency evolves across regimes and sectors, implying that trading strategies should adapt to changing market conditions. Overall, the study highlights the importance of institutional reforms and advanced analytical methods in understanding and monitoring market efficiency in developing financial systems. Originality/value This study provides a regime-segmented evaluation of weak-form efficiency in the Nigerian Exchange using a hierarchical framework that integrates linear diagnostics, nonlinear dependence tests, and spectral analysis. By comparing the aggregate market with the banking sector, the findings demonstrate that informational efficiency evolves across systemic shocks and varies across sectors within the same frontier market environment, indicating that the banking sector may respond differently to economic changes compared to other sectors, which could have implications for investors and policymakers.
Ovbe Simon Akpadaka (Mon,) studied this question.