FRACTAL ANALYSIS OF STOCK MARKET VOLATILITY IN NIGERIA

This paper examines the Efficient Market Hypothesis (EMH) and its relevance in explaining stock market efficiency and price behavior. It reviews the theoretical foundations of EMH, emphasizing the proposition that security prices fully and rapidly incorporate all available information, thereby limiting investors' ability to consistently earn abnormal returns through prediction or market timing. The study discusses the assumptions underpinning market efficiency, including rational investor behavior, unrestricted access to information, negligible transaction costs, and homogeneous expectations among market participants. It also highlights the ongoing debate surrounding the validity of EMH, particularly in light of financial market anomalies and criticisms following global financial crises. By synthesizing the contributions of seminal scholars such as Bachelier, Samuelson, Fama, and Malkiel, the paper provides a comprehensive overview of the evolution of market efficiency theory and its implications for investors, policymakers, and financial market participants. The study concludes that while the Efficient Market Hypothesis remains a cornerstone of modern financial economics, empirical evidence suggests that market efficiency varies across markets and over time, warranting continued investigation.