International Journal of Academic Management Science Research (IJAMSR)   Year: 2022 | Volume: 6 | Issue: 8 | Page No.: 263-273 Efficient Market Hypothesis (EMH) and the Nigerian Stock Exchange In The Midst Of Global Financial Crisis Download PDF EHIEDU, Victor C. and OBI, Callistar K. Abstract: All Share Index (ASI) was used to examine the Efficient Market Hypothesis and its effects on the global financial crisis. Monthly data from January 2, 2015 to December 20, 2020 (72 observations) and annual data from 1985 to 2020 (36 observations) were gathered from the CBN statistical bulletin. The Nigerian stock exchange was shown to be monthly form efficient for the yearly ASI throughout the study period, but weakly form efficient for the monthly ASI utilizing the unit root test, GARCH model, autocorrelation, and partial autocorrelation tests (1985-2020). The research on the monthly and annual ASI shows a substantial correlation between price series and their lag values, supporting the idea that price series in the Nigerian stock market do not follow a random walk for monthly ASI but do follow a random walk for yearly ASI. In other words, the results confirmed whether or not the mixed findings from the Nigerian Stock Exchange are effective in their weak form. It's advised that the rules governing information management transparency be loosened, including those relating to market restrictions, stringent listing requirements, the publication of accounts, notices of annual general meetings, and going to press without obtaining the exchange's formal written approval.