Stock Market Anomalies and Efficient Market Hypothesis: Empirical Analysis of Monday Effect of Selected Securities from Nigeria

Abstract

This study was conducted to examine stock market anomalies and efficient market hypothesis with empirical analysis of Monday effect of selected securities from Nigeria. Daily stock prices of 20 quoted firms were sourced from www.cashcraft.com. The study used Friday 4/11/2022, and Friday 3/12/2022 to test against Monday Effect 7/11/2022 and Monday 5/12/2022. The prices of the stocks on Friday against Monday were used to test the market anomalies and the efficient market hypothesis. Findings of the study revealed a mix reaction of stock market anomalies and efficient market hypothesis among the studied securities. Evidence from table 1 and 2 proved that some stocks have return greater or less than zero which implies that investors in such stocks had abnormal return which contrary to the assumptions of efficient market hypothesis. However, some stocks have no return from the price of Friday and the price of Monday which implies that the investor have no return, this is in line with efficient market hypothesis. The study recommends that the regulatory authorities should develop the stock market such that the functioning of the market is in line with the stock market of the developed countries to reflect relevant assumptions and theories

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