Empirical Investigation of Real Estate Market Efficiency in Nigeria’s Residential Property Sector

This study empirically investigates the efficiency of Nigeria's residential property market, testing whether property price information is incorporated rapidly and accurately into valuations and transaction prices, or whether significant information inefficiencies create systematic abnormal returns for informed market participants. Real estate market efficiency has important implications for investment decision-making, valuation practice, and the policy effectiveness of price transparency reforms, yet the efficiency characteristics of Nigerian residential property markets remain largely untested in the academic literature. The study applies weak-form and semi-strong-form efficiency tests adapted for the specific characteristics of the Nigerian property market, where data availability and market transparency constraints necessitate methodological adjustments. Time series of quarterly residential price indices are constructed from 1,200 individual transaction records sourced from estate surveyor firms in Lagos, Abuja, and Port Harcourt between 2015 and 2023. Serial correlation tests including the Ljung-Box test, runs tests, and variance ratio tests are applied to assess weak-form efficiency. Semi-strong form tests examine price responses to publicly available economic information including inflation, exchange rate, and monetary policy announcements. Results indicate significant serial correlation and predictability in Lagos residential price series, inconsistent with weak-form efficiency. Abuja shows closer to weak-form efficient behaviour. All three markets show delayed and incomplete adjustment to macroeconomic information announcements, indicating semi-strong form inefficiency. The study attributes inefficiency to high information asymmetry, fragmented market structure, and limited institutional investor participation. Recommendations include policy reforms to enhance transaction price transparency. Keywords: market efficiency, residential property, price index, transaction data, Nigeria.