School of Business
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Item Effect Of Seasonal Market Anomalies On Stock Market Return Among Companies Listed At The Nairobi Securities Exchange Kenya(KCA University, 2020) Onuko, Esther A.Many researchers both globally and locally have demonstrated that stock markets are inefficient as investors can rely on the calendar/seasonal market anomalies to gain abnormal returns. These studies have continued to contradict the Efficient Market hypothesis theory which exhibits that stock market is efficient. The inefficiency of the stock market is believed to be as a result of the volatility of the stock returns. This study therefore investigated the effect of seasonal stock market anomalies on the stock market returns among companies listed at the Nairobi Securities Exchange. The main objective of the study was to determine the weekend effect, turn of the month effect and holiday effect anomalies on the stock market return among Companies listed at the Nairobi Securities Exchange in Kenya. The study sampled NSE - 20 share index closing prices from September 2000 to December 2019. Data was obtained from the Nairobi Securities Exchange database. All the data collected were first input into an excel sheet and then analysed using Stata version 12 software. Characteristics of the data for each seasonality; weekend effect, turn of the month effect and holiday effect was analysed using descriptive statistics then EGARCH (1,1) model and results obtained for both the mean and variance equation. The mean analysis results showed the presence of the weekend effect and turn of the month effect on the stock market returns of the NSE 20 Share Index at the Nairobi Securities Exchange while the results failed to confirm existence of holiday effect at the NSE. The variance analysis for the three independent variables showed a positive asymmetric term, implying that positive shocks have greater impact on volatility more than negative shocks of the same magnitude. Positive information in the stock market generates less variance or volatility in the market since positive return translates to high equity prices. This implies that volatility tends to decrease when the stock market returns at the NSE increases than when the stock market decreases with the same amount.Item Modelling The Effect Of Stock Market Development On Economic Growth In Kenya(KCA University, 2016) Muriithi, Moureen N.This study analyzed the effect of stock market development indicators namely market capitalization, total value of shares traded and NSE20 share index on economic growth in Kenya as measured by the gross domestic product for the period 2000 to 2015 on quarterly time series data. The results were reported using the Johansen cointegration test and vector error correction model (VECM) and causality which were analyzed on STATA statistical software. The general objective of the study was to analyze the effects of stock market development on economic growth in. The study found both short run and long run relationship between stock market development indicators used and economic. The cointegration results established that total value of shares traded and nse20 share index had a positive and significant long run relationship with economic growth, while market capitalization had a negative and significant long run relationship with economic growth. The VEC model results established that stock market development indicators had short run relationship with economic growth, and the model speed to adjustment to long term equilibrium was at 75.85%. In the long run market capitalization was negative and significant to economic growth both in the first and second lag while total value of shares traded was positive and significant to economic growth in the first lag while NSE20 share index positive and significant to economic growth in the second lag. The study recommended that capital markets regulators should formulate policies that that will ensure stability of capital markets liquidity, stock market performance as well as regulate allocation of funds to productive investments so as to ensure all pooled funds are allocated to productive investments, which would certainly lead to increased performance and efficiency of the stock markets and hence developing the stock markets which in the long run will foster economic.Item Effect Of Risk On Financial Performance Of Agricultural Companies Listed On Nairobi Securities Exchange(KCA University, 2019) Omogi, Daniel O.Agricultural sector in Kenya is exposed to various risks which originate from both the internal and external environment. Long term sustainability and financial viability of agricultural firms is threatened by risk exposure. Key categories of risks such as operational, liquidity and credit risks possess a major challenge despite the steady growth recently experienced in the Kenyan agricultural sector. In line with the challenges experienced, the study sought to establish the extent to which operational risk, liquidity risk and credit risk affect the financial performance of agricultural firms listed on Nairobi Securities Exchange. The target population were the six agricultural firms listed on NSE for the period between the year 2009 and 2018. A descriptive research design was adopted for the study and data obtained was edited and coded for the purposes of data analysis. Data was further summarized using descriptive statistics such as measure of central tendency, measures of variability, and measures of reliability and frequency among others. Diagnostic tests such as Wooldridge test, Modified Wald test and Hausman tests were also run to specify the regression model to be run. STATA software was used in analysis of the panel data. Panel data was analysed and data obtained from Nairobi Securities Exchange and published annual report and financial statements of the six agricultural firms listed on NSE and the individual firms’ website. Data was analysed using panel data regression model. The results of the analysis indicated that the null hypothesis that operational risk, liquidity risk and credit risk have negative effect on financial performance on agricultural companies listed on NSE was rejected at 5 percent significance. The study recommends that proper guidelines and procedures to be put into place to ensure operational risk is well mitigated and effective lease arrangements also be instituted in order to curb risk associated with agricultural produce. In addition, the management should maintain assets which can be easily converted into cash and cash equivalents when need arises in order to curb cash flow constraints and the management should maintain lower inventory levels. Further, the companies should come up with proper credit risk transfer mechanisms and policies to curb credit risk. The study therefore concludes that operational risk, liquidity risk and credit risk negatively affects financial performance of agricultural companies listed on NSE.Item Effect Of Interest Rate Components On Financial Performance Of Banks Listed At Nairobi Securities Exchange(KCA University, 2018) Kabia, Karungo T.This paper aim was to study the effect of the components of interest rates on the performance of banks listed at the Nairobi Securities Exchange. The study determined the effects of each of the five components of interest rates; real risk-free interest rates, liquidity premium, default risk premium, maturity premium and expected inflation, through the application of time series and regression Equation. The study used multiple correlations and multiple regression analysis to determine the level and extent of effects, and to test the regression equation, as reflected by the Return on Assets (ROA) of these banks listed at the exchange. The study analyzed data of these banks from 2015 to 2017. The choice of banks was a result of the availability of information through other channels like CBK, NSE, CMA and KNBS. The researcher did not encounter any limitation throughout the research period because the data intended for use was readily available and much of it is at no cost. The research results will assist policy makers and investors alike by using the information in decision.Item Modeling the effect of calendar anomalies on stock price volatility using Tgarch: Comparison between NSE all share index and NSE 20 share index markets.(Kca University, 2016) Odago Saline A.Inefficiency in the market may be explained by the volatility of the stock prices. This study was conducted with the main objective being to establish the effect of calendar anomalies on stock price volatility in NSE 20 Share Index market and NSE All Share Index market using TGARCH model. The scope of study was NSE20 share Index Companies from 1994-2015 and NSE All Share Index Companies from 2008-2015 daily observations and designed first by descriptive analysis then OLS lastly through Time series analysis. Results from NSE All Share Index market from descriptive analysis to TGARCH model indicated market efficiency concept and the time series as well as conditional variance plots showed response to political instability unlike NSE 20 Share Index market results which showed the presence of DOW effect and Calendar Month effect in time series analysis, OLS and descriptive analysis. On the other hand, conditional variance and time series plots for NSE 20 Share Index only identified postelection violence and not elections.Item Effect Of Financial Restructuring On Operational Efficiency Of Savings And Credit Societies In Kenya(KCA University, 2022) Njue, Jamlick M.The basic aim of this research was to examine the relationship between financial restructuring and operational efficiency of deposit taking savings and credit societies listed at Nairobi Securities Exchange (NSE). This study was carried out with general objective of examining the relationship between financial restructuring e.g. Debt restructuring, equity restructuring as well as deposit restructuring of financial firms listed in NSE. Debt restructuring, equity restructuring and deposit restructuring as independent variables while operational efficiency as dependent variable. Three theories were used loanable fund theory liquidity preference theory and perking order theory. The study used non-probability sampling whereas Purposive sampling was used to select the target sample of 50 desired financial institutions out of the population in Kenya. The study employed secondary panel data which was obtained from the annual reports, financial statements of listed financial firms. Interviews as well as observations from the sampled entities and from the Nairobi Securities Exchange websites for period between 2016 to 2021. The study used descriptive design. Multiple linear regression analysis was used to establish the relationship or lack of it. The link financial restructuring and operational efficiency of financial institutions listed in NSE has remained unresolved for some decades as most studies focused developed economies leaving at a disadvantage. Studies in developing economies had provided mixed findings on this subject a gap which this study had bridged. The study found that there was positive and significant linear relationship on equity, debt and customer deposit restructuring on operational efficiency The study record that a further study can be done to incorporate Sacco’s in east African community as well as non-deposit taking SaccoItem Factors Influencing Dividend Payout Decision Of Financial And Non-financial Companies Listed On Nairobi Securities Exchange(KCA University, 2015) Gakumo, Samuel T.Corporate dividend payout policy is among the most contested topics in corporate finance. The question of why firms make decisions to pay or not to pay dividends remains an open topic. The reason of this study was to examine the factors influencing dividend payout decision of financial and non-financial companies listed on Nairobi Securities Exchange. Specifically, it looked to establish how financial leverage, business risk, business growth rate, profitability, earning per share (EPS), financial sector dummy and the moderating effect of firm size impact dividend payout decision of financial and non-financial companies listed on Nairobi Securities Exchange. The study adopted a descriptive research design. The study conducted a census on 9 financial and 24 non-financial firms listed on the NSE consistently since 2003 to 2012.Panel data was analyzed using Probit and Tobit random effects models. The findings indicated that four variables; EPS and profitability plays a key role in positively determining the amount of dividend to pay while financial leverage and business risk play a key role in negatively determining the amount to pay. Based on the findings, the study concluded that EPS, financial leverage, and business risk play a key role in making the decision to pay or not to pay dividends. Earnings per share influence the decision to pay positively while both financial leverage and business risk influences the decision to pay dividends negatively. The findings also indicated that business growth rate, the moderating effect of size and financial sector have an insignificant relationship with the amount of dividend paid. The study recommended that both current and potential investors who are predicting future dividends to be paid should take note of the firm’s financial leverage, business risk, profitability and EPS. They should expect a decision of not being paid dividends when the firm’s have high business risk and financial leverage and expect a decision of being paid dividends when the firm’s have high EPS.Investors should not rely on profitability when predicting the decision to pay dividends. Another recommendation made by the study is that managers should incorporate policies to pay low amounts of dividends when their firms have high leverage and business risk and pay more dividends when profitability and EPS are high. However, they should not necessarily consider business growth rate in paying dividends.