Ugbs faculty profiles measuring volatility persistence and risk in southern and east african stock markets, international journal of economics and business. Measuring volatility of nairobi stock exchange using garch and egarch models essay model 9 27 indices study for the nairobi securities exchange and the new york. In estimating var, we need to estimate the volatility of the returns, specify the holding period and the confidence interval a case of nairobi stock exchange.
Analysis of share price determinants at nairobi setting up of nairobi stock exchange as an overseas stock exchange in 1954, nse (now nairobi securities exchange. Modelling stock market volatility using univariate garch models: show that while the nairobi stock exchange return series indicate negative and insignificant risk. Volatility in ghana and nairobi stock exchanges stock exchange (gse) and nairobi stock exchange (nse) for a more recent period relative to the related past.
Stock market volatility at nairobi securities exchange 4 12 research problem 5 stock market volatility volatility, as a measure of percentage change in stock. Abstract: measuring and estimating volatility of asset return is bubbly for risk management, asset allocation, and option pricing this paper investigated the asymmetry and persistence of the return of some stocks on the ghana stock exchange using univariate tgarch-m (1, 1) and half-life measure of. Investors perceptives on the nasi and the nse 20 share index as performance measurement indicators at the nairobi securities exchange in kenya and nairobi stock. Factors influencing share price volatility of firms listed at the nairobi securities exchange by faith wairimu ngugi-1022605 a thesis submitted in partial fulfilment for the award of the degree of masters of.
Nairobi stock exchange (nse) is an important emerging market of the east and central africa region among the developing countries few studies have attempted to analyse the long run behaviour of the market and related. Stock market anomalies: a study of seasonal effects on average returns of nairobi securities exchange. Purpose - the paper seeks to investigate the relationship between stock volatility and returns in the nairobi stock exchange, kenya it uses daily returns data over the period january 2006 to april 2009. Analysis of the determinants of stock price volatility at nairobi securities exchange the common stock‟s volatility is a benchmark for measuring risk it.
The purpose of this study is to analyze the effects of interest rates volatility on stock returns in the nairobi securities exchange a descriptive design was used where month, time series data for a period of 5 years from 2007 to 2011 was used. The effect of macro-economic factors on stock return volatility in the nairobi stock exchange, kenya economics and finance review, 1(10), pp34-48. The research study sought to investigate the effect of macro-economic factors on the stock return volatility on the nairobi securities exchange, kenya the study focused on the effect of foreign exchange rate, interest rate and inflation rate fluctuation on stock return volatility at the nairobi. The aim of this paper is to use the general autoregressive conditional heteroscedastic (garch) type models for the estimation of volatility of the daily returns of the kenyan stock market: that is nairobi securities exchange (nse. Analysis of asymmetric and persistence in stock return volatility in the nairobi securities exchange market phases ogega haggai owidi 1 , , freshia mugo-waweru 1 1 school of management and commerce, strathmore university, nairobi, kenya.
The volatility of stock prices and eventually the stock market this study examined the effect of inflation on stock prices at the nairobi securities exchange. Stock market development in sub-saharan africa: critical issues and challenges progress on african stock exchange developments23 3 i introduction this. This study set to establish the relationship between exchange rate movement and stock market returns volatility at the nairobi securities exchange measurement. Therefore, measuring volatility, which is the dispersion of exchange rate returns, has useful and practical applications for risk management, and policy evaluation, academics, policymakers, regulators, and market practitioners.
Stock volatility and returns in the nairobi stock exchange, kenya using daily returns data over the period january 2006 to april 2009 the garch based regression models came out with. Shares on the nairobi securities exchange have dropped 69 percent since jan 1, extending last year's 85 percent decline, because of jitters among investors about elections scheduled for. Macroeconomic variables, volatility and stock market returns: a case of nairobi securities exchange, kenya despite being a measure of risk, excessive stock.
About next next is the nairobi securities exchange (nse) derivatives market that facilitates the trading of futures contracts in the kenyan market. (2010), reported that the nairobi securities exchange witnessed volatility in 2008 which persisted through 2010 the report also indicates that in december 2009, the nse market. This paper examines the impact of real exchange rate volatility on economic growth in kenyan the study employed the generalized autoregressive condition of heteroscedasticity (garch) and computation of the unconditional standard deviation of the changes to measure volatility and generalized method.