Testing Arbitrage in the Nigerian Stock Exchange

  • Godfrey Oke Omojefe University of Port Harcourt
  • Anderson Emmanuel Oriakpono State University of Science and Technology
Keywords: Arbitrage, Stock Exchange, Runs Test, GMM, Cointegration Test

Abstract

Given the nature of price movements and returns in the stock market, fluctuations in secondary market prices should follow the same index returns. However, the emerging status of the Nigerian stock exchange presupposes that issues of inefficiencies may be rife. This study sets out to investigate the process, patterns and behaviour of arbitrage for the Nigerian Stock Exchange. Data covered the period 1985 to 2016 and the focus was on obtaining long term behaviour of the market with respect to information availability in the market. The general outcome of the study is that arbitrage is present in the market since there is wide-spread inefficiency of information distribution in the market. Thus, investors tend to take advantage of price or returns differential to make profits from trading in the market.

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Published
2021-05-07
How to Cite
[1]
Omojefe, G.O. and Oriakpono, A.E. 2021. Testing Arbitrage in the Nigerian Stock Exchange. International Journal on Integrated Education. 4, 5 (May 2021), 197-207. DOI:https://doi.org/10.17605/ijie.v4i5.1800.
Section
Articles