This paper investigates whether the martingale property holds in the Nigerian stock market. A transfer function approach was utilized for the study in which a martingale specification framework was constructed to check if the martingale property holds in line or against the specification conditions for the transfer function technique in the Nigerian stock market. Daily returns from the Nigerian stock market spanning January 1, 2005 to December 31, 2013 were used for the study. Findings from the study revealed that the Nigerian stock market does not exhibit martingale property and hence is weak- form inefficient.
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