The Efficient Market Hypothesis has been a central topic in financial discussions, offering significant insights into stock market behaviour. According to Efficient Market Hypothesis, market returns are unpredictable because markets are informationally efficient. However, this concept has been challenged by empirical evidence, leading to the development of the Adaptive Market Hypothesis. The Adaptive Market Hypothesis contends that arbitrage opportunities do exist and that market efficiency fluctuates with changing conditions. This study examined the Nigerian Exchange Group to determine if returns are predictable by using Automatic Variance Ratio and predictive regression. The analysis utilized daily closing prices of selected stocks listed on the Nigerian Exchange Group (NGX) from January 2016 to August 2024. The findings indicated that the market was inefficient during the study period, with returns being predictable based on economic fundamentals such as interest rates, inflation rates, dividend yields, financial crises, and government policies, all with statistical significance. However, due to the study's relatively short duration compared to earlier research, cyclic patterns of efficiency were not observed. The study recommends that investors, regulators, and scholars should not rely solely on the assumption that markets are always efficient. Such a belief can led to neglect of fundamental and intrinsic stock values. The Adaptive Market Hypothesis offers a more nuanced view, suggesting that market efficiency can vary over time, allowing periods where investors might outperform the market and achieve returns exceeding the average.
Nnamdi Obinna Okeke (2026) studied this question.