Testing Arbitrage in the Nigerian Stock Exchange
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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