This study focused on testing the efficient market theory in Nigeria. The quest to stimulate research interest in testing this theory using the stock price before announcement of dividends and the stock price after the announcement of dividends motivates the conduct of this study. To this end, a pilot experiment is conducted using the stock prices of five commercial banks that are listed on the Nigerian Stock Exchange market. The sample are selected based on the fact that the selected banks

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... concluded their financial year on or before the end of September 2017. In the result, it was observed that that announcement did not make any significant difference between the stock prices in the banking sector in Nigeria and therefore conclude that the efficient market theory does not hold in the Nigerian Stock Exchange market. We recommend that there should be consistent sensitization of investors by banks listed on the Nigerian Stock Exchange market and stock broking firms to guide them in making informed investment decisions make it difficult for individual investors and agents to 'beat the market'.