Testing for market efficiency in Nairobi stock exchange: a serial correlation analysis

Abstract

The study examined the weak-form informational efficiency in the Nairobi Securities Exchange (NSE), using a sample of data of both the NSE 20 and All Share Indices, in the period between January 1999 and January 2013. The study adopted a serial auto-correlation and regression method of analysis to examine the informational efficiency. The variables used in the study were market return proxies. The Serial Correlation test revealed that the NSE exhibited informational inefficiency, and that returns did not follow a random walk.