EFFICIENT MARKET HYPOTHESIS (EMH) AND NIGERIAN CAPITAL MARKET AN ANALYSIS OF BONUS ISSUES AND DIVIDEND ANNOUNCEMENT

📄 Project Abstract

The study examined the efficient market hypothesis and Nigerian capital market in relation to information contained in dividend and bonus issues announcement to ascertain the speed at which the market adjust to all the relevant available information on share prices of the listed firms in the main board market. To estimate the speed of adjustment of daily share prices of 33 sampled firms listed in the market in semi-strong form, market model developed by Fama (1969) is employed. From the findings, the study reveals positive and significant abnormal returns (ARs) for most of the days around the 41-days event window (-20, 0, +20). The evidence shows that share prices of main board market do not adjust quickly to dividend and bonus issues announcements thus, suggesting that the market is not efficient in semi-strong form. The study also investigated if the market anticipated the information contained in the event by examining the share price movement of the sampled firms around the estimat...