A Test of Fama’s 1991 Efficient Capital Markets II Positions in the Nigerian Capital Market
Kennedy IMAFIDON, Amos Ojo AROWOSHEGBE

Abstract
This paper test Fama’s 1991 efficient capital market ii positions in the Nigerian capital market using event study with the aid of non-parametric tests. Using Wilcoxon Signed- Ranks Test, a non-parametric test, this paper investigates the significance relationship between stock prices before August 2010 when the Director-General of the Nigerian Stock Exchange was removed and stock prices after August 2010. This result is consistent with the theoretical postulation that capital market is efficient when the stock prices are capable of reflecting all relevant and publicly available information. The study revealed that the removal of the Director-General of Nigerian Stock Exchange has a significant effect on the stock prices in the Nigerian capital market. The result is consistent with the findings by (Charest, 1978), (Ahrony and Swary, 1980), (Asquith and Mullins, 1983), (Barber and Lyon, 1996) and (Kothari and Warner, 2001)

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