STOCK SPLITS AND THE EFFICIENCY OF THE NIGERIAN STOCK MARKET

This study investigates whether the Nigerian Stock Market is efficient in the semi-strong form, that is, whether security prices on the Nigerian stock market adjust to publicly available information. Stock splits were used as information generating events. Monthly stock returns data over the period January 1981 - December 1992 were employed in the analysis. Using residual analysis methodology, the market model, the market deducted returns model and the mean adjusted returns model were employed to test the semi-strong form efficiency of the Nigerian Stock market. The results show that the Nigerian stock market is inefficient in the semi-strong form. The results are unaffected by choice of model or choice of proxy for stock market return. The results are also the same for a sample of actively traded securities. From the writer's exchanges with stock market operators in Nigeria, the problems affecting pricing efficiency in the Nigerian stock market include inadequate information flow in the stock market, inefficient communication system, inadequate understanding of financial information by Nigerian investors, inadequate skills among some Nigerian stockbrokers, low level of automation in the country and interference by the regulatory authorities in the determination of secondary market price. It is suggested that efforts should be made by stock market operators and regulatory authorities to improve pricing efficiency in the Nigerian stock market to improve allocational efficiency of the market. Recommendations incude improvement in the adequacy and quality of information flow in the stock market, improvement in the automation of the stock market, improvement in the knowledge of stockbrokers in modern security analysis and portfolio management and improvement in the efficiency of Nigerian Telecommunication Plc. Cet étude se propose de vérifier l'efficience de la Bourse des Valeurs du Nigeria dans la forme semi-forte, c'est à dire si les cours des titres se conforment aux informations à la disposition du public, en utilisant comme opérations source d'information les fractionnements d'actions. Pour l'analyse on a utilisé les données sur les rendement mensules des actions pour la période janvier 1981 -décembre 1992. Pour tester l'efficience dans la forme semi-forte de la Bourse des Valeurs au Nigeria ont a employé le modèle du marché, le modèle des rendements à déduction de marché et le modèle des rendements ajustés à la moyenne sur la base de la méthodologie de l