Thin trading, market efficiency tests and the Nigerian stock market

Bashir Tijjani, Richard Brown, Suzanne Fifield, David Power

    Research output: Contribution to journalArticle

    Abstract

    The paper attempts to deal with data problems associated with shares traded on the Nigerian stock exchange (NSE). In particular, the paper investigates the effects of thin trading on share price changes and designs an approach to examine the extent of any possible inactive trading associated with Nigerian shares. This paper used disaggregated data which comprise the weekly closing share prices for 69 firms listed on the NSE over the period January 1995 to December 2005. Results suggest that sizeable periods of trading inactivity exist for NSE equities. The estimates of the probability that a share on the NSE will be actively or inactively traded as well as the average length of the period of activity or inactivity are determined.
    Original languageEnglish
    Pages (from-to)7-19
    Number of pages13
    JournalJournal of Emerging Markets
    Volume14
    Issue number3
    Publication statusPublished - 2009

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