Theses and Dissertations
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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 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.