A New Look at Weekdays Effect of Stock Prices in the Weak Form: Evidence from Nigerian Stock Exchange

Abstract

Efficiency intensity of stock exchange market has policy implications in any economy. The focus of this work is to assess the intensity of efficiency in the weak form of the Nigerian stock exchange market. This study stands to examine predictability level of Monday trading, Tuesday trading, Wednesday trading, Thursday trading and Friday trading in the Nigerian Stock Exchange (NSE). Monday NSE all share index covered August 6, 2018 to October 28, 2019; Tuesday NSE all share index covered August 7, 2018 to October 29, 2019; Wednesday NSE all share index covered August 8, 2018 to October 30, 2019; Thursday NSE all share index covered August 9, 2018 to October 31, 2019; Friday NSE all share index covered August 10, 2018 to November 1, 2019. The data was analyzed employing Jarque-Bera check for normality, ADF unit root test, graphs and GARCH term. The Jarque-Bera examination for normality indicates that all the data are normally spread. The ADF unit root shows that the factors employed were not stationary @ level series but stationary @ 1st difference. The GARCH term shows that all the variables were not significant at 5% level. From the above findings, stock prices on Mondays, Tuesdays, Wednesdays, Thursdays and Fridays stock prices studied exhibited significant random walk, the investigation therefore concludes that, NSE market is efficient in the weak form. It is thus recommended that Government should continue to allow the invisible hands to determine the direction of stock prices in order to boast NSE trading activities.