Abstract
The study empirically investigated the weak form efficient market hypothesis in the Nigerian
stock exchange group; for the period 1997-2024. Secondary data were used and collected from
the Central Bank of Nigeria Statistical Bulletin. All-Share-Index (ASI) was used and converted
to stock market returns. Time series econometrics techniques were used for the analysis. The
study revealed that the large differences between the Mean and Standard deviation of the
variables in the descriptive statistics suggested that the stock market is highly risky. The study
showed that between 2010 to 2017, the stock market returns were normally distributed. The
results of serial independent or randomness as obtained from ADF test showed that the
Nigerian stock market is dependent and not random thus inefficient, which indicated that
investor can predict the markets returns. The stock market returns for the period 2010 to 2024,
means that investor cannot predict the market returns in the period. The result revealed that
previous stock market return has 15% positive relationship, and 0.23 0.23% had predictive
powers. The study concluded that the NSE was not efficient in the weak form between 1990
and 2010, hence, it has become efficient from 2011 up to 2024. The study recommended that
the SEC should take a leading role in regulating abnormal financial activities. Market
operators should provide adequate information on securities to the market allowing the free
interplay of demand and supply to determine security values as current market values of
securities on the NSE reflect available security information.