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Author: Oduka Tom Publisher: LAP Lambert Academic Publishing ISBN: 9783659760716 Category : Languages : en Pages : 64
Book Description
The Nairobi Stock Exchange (N.S.E) was founded in 1954 as a voluntary organization of the stock brokers and is now one of the most active capital markets in Africa where market players buy and sell shares and other securities. The stock prices usually vary with time and this can be attributed to factors such as economic growth, climatic changes, government policies and political atmosphere. In this book, our intention was to verify whether the price dynamics follow a random walk process or mean reversion. This may help market players understand the dynamics of prices so that they can make meaningful decision. We use one of the tests known as of Dickey-Fuller Test for unit root in a simple regression model of prices return and the parameters are estimated by the method of Ordinary Least Squares (O.L.S) Estimates. The book provides an insight for testing historical data received during trade of securities by market players in understanding the behavior of price changes. If stock price movement contain large transitory component, then for long horizon investors, the stock market may be much less risky.
Author: Oduka Tom Publisher: LAP Lambert Academic Publishing ISBN: 9783659760716 Category : Languages : en Pages : 64
Book Description
The Nairobi Stock Exchange (N.S.E) was founded in 1954 as a voluntary organization of the stock brokers and is now one of the most active capital markets in Africa where market players buy and sell shares and other securities. The stock prices usually vary with time and this can be attributed to factors such as economic growth, climatic changes, government policies and political atmosphere. In this book, our intention was to verify whether the price dynamics follow a random walk process or mean reversion. This may help market players understand the dynamics of prices so that they can make meaningful decision. We use one of the tests known as of Dickey-Fuller Test for unit root in a simple regression model of prices return and the parameters are estimated by the method of Ordinary Least Squares (O.L.S) Estimates. The book provides an insight for testing historical data received during trade of securities by market players in understanding the behavior of price changes. If stock price movement contain large transitory component, then for long horizon investors, the stock market may be much less risky.
Author: William Ambaka Akwimbi Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
This study applies the multi-index (APT) to explore the relationship of NSE companies stock returns to selected market and industrial variables. In this study I have used a model i.e. the relative pricing (APT) model, to explain the expected returns at the NSE. Use of indices as well as unanticipated changes in economic variables as factors driving security returns are employed. Regression results on the variables are mixed; in particular, interest on loans and interest on savings are positively related to NSE stock returns, but the relationships are not significant. The results of this paper suggest that a multi-index APT using selected economic and industrial variables provides additional power in explaining the variability of NSE stock returns over a single index model using the market index alone. It is therefore noted that the inclusion of economic variables to a large extent improves the explanation of the cross-section of expected returns.
Author: William Ambaka Akwimbi Publisher: ISBN: Category : Languages : en Pages : 7
Book Description
This study applies the multi-index (APT) to explore the relationship of NSE companies stock returns to selected market and industrial variables. In this study I have used a model i.e. the relative pricing (APT) model, to explain the expected returns at the NSE. Use of indices as well as unanticipated changes in economic variables as factors driving security returns are employed. Regression results on the variables are mixed; in particular, intereston loans and interest on savings are positively related to NSE stock returns, but the relationships are not significant. The results of this paper suggest that a multi-index APT using selected economic and industrial variables provides additional power in explaining the variability of NSE stock returns over a single index model using the market index alone. It is therefore noted that the inclusion of economic variables to a large extent improves the explanation of the cross-section of expected returns.
Author: Fouad Sabry Publisher: One Billion Knowledgeable ISBN: Category : Business & Economics Languages : en Pages : 288
Book Description
What is Stock Exchange A stock exchange, also known as a securities exchange or bourse, is a type of currency exchange that allows stockbrokers and traders to buy and sell various types of securities, including bonds, shares of stock, and other financial instruments. It is also possible for stock exchanges to offer facilities for the issuance and redemption of securities and instruments, as well as for capital events, such as the payment of dividends and income. Securities that are traded on a stock exchange include bonds, unit trusts, derivatives, pooled investment products, and stock that has been issued by a company that is listed on the stock exchange. It is common for stock exchanges to operate as "continuous auction" markets, in which buyers and sellers complete deals by open outcry at a central place, such as the floor of the exchange, or through the utilization of an electronic trading platform. How you will benefit (I) Insights, and validations about the following topics: Chapter 1: Stock exchange Chapter 2: Nasdaq Chapter 3: New York Stock Exchange Chapter 4: Stock market Chapter 5: Closed-end fund Chapter 6: American depositary receipt Chapter 7: Exchange-traded fund Chapter 8: Securities Exchange Act of 1934 Chapter 9: Singapore Exchange Chapter 10: Penny stock Chapter 11: Harshad Mehta Chapter 12: Shanghai Stock Exchange Chapter 13: Securities market Chapter 14: Rights issue Chapter 15: Budapest Stock Exchange Chapter 16: Nairobi Securities Exchange Chapter 17: Jefferies Group Chapter 18: Microcap stock fraud Chapter 19: Listing (finance) Chapter 20: Stock Chapter 21: Securities market participants (United States) (II) Answering the public top questions about stock exchange. (III) Real world examples for the usage of stock exchange in many fields. Who this book is for Professionals, undergraduate and graduate students, enthusiasts, hobbyists, and those who want to go beyond basic knowledge or information for any kind of Stock Exchange.
Author: Publisher: ISBN: Category : Languages : en Pages : 49
Book Description
This study evaluates the effect of macro-economic factors on stock returns at the Nairobi stock exchange. According to the stock market efficiency (SME) hypothesis, all past information on fiscal and monetary policy actions is reflected in current stock returns and so changes in money supply or budget deficit should not have any significant impact on stock returns. The main aim of this study was therefore to test if stocks returns at the Nairobi Stock Exchange (NSE) follow the efficiency hypothesis. The objectives of the study was to determine the relationship between stock returns at the NSE on one hand and public deficit, interest rates and inflation on the other hand. The study uses regression analysis to establish the relationship between stock returns at the NSE and public deficits, interest rate, and inflation rate. Sixty data points are taken for the period beginning January 2008 to December 2012. The findings of the study indicate that budget deficits do not have any significant relationship with stock returns at the Nairobi stock exchange. This is true across all the five years that were analyzed. This finding is in line with stock market efficiency theory but it?s in contrast to some of the previous studies done on the subject. The study also found an inverse relationship between interest rates and stock returns in four out of the five years that were analyzed. A unit increase in interest rates led to a significant decrease in stock returns. Inflation was also found to have an inverse relationship with stock returns in four out of the five years that were analyzed. A unit increase in inflation led to a significant decrease in stock returns but the relationship was not as strong as that observed with interest rates. The major recommendation of this study is that more research is needed to establish whether indeed the lack of a significant relationship between stock returns and fiscal deficits in Kenya is because the Kenya stock market is efficient in terms of information on fiscal policy actions or there are other reasons why fiscal deficits do not seem to matter. Interest rates and Inflation on the other hand have been found to adversely impact stock returns at the Nairobi stock exchange. This indicates that high interest rates and inflation do harm to the economy and the major recommendation for improvement is that the government should pursue policies aimed at bringing interest rates down and containing inflation.
Author: Tobias Olweny Publisher: LAP Lambert Academic Publishing ISBN: 9783659146787 Category : Languages : en Pages : 72
Book Description
This book provides a wider scope on the effect of NSE index, Foreign exchange rate, and Interest rate and Inflation rate in determining macroeconomic environment affecting stock return volatility on Nairobi Stock Exchange. Secondary data from NSE, Central Bank of Kenya (CBK) and Kenya National Bureau of Statistics (KNBS) were employed in the study. The results of the study have been presented in five chapters each handling introduction, literature review, study design and summary of the study findings and conclusion. The major investigations presented in the study were mainly concentrated around the selected variables. The finding of this research provides robust understanding by policy makers, policy analysts, investors, and academics of the dynamics of the stock returns in Kenya particularly, with regard to leverage and impact of news. The study recommends the government and the regulator to come up with policies that will help stabilize Foreign exchange rate, Interest rate and Inflation rate fluctuation thus creating investor confidence in the securities market.
Author: Md Abu Hasan Publisher: Cambridge Scholars Publishing ISBN: 1527569780 Category : Business & Economics Languages : en Pages : 223
Book Description
This book contributes to empirical finance by comprehensively analysing an emerging stock market, employing modern econometric techniques. The most central and fascinating area of financial economics is probably the efficiency and volatility of the stock market – however, studies of emerging economies are relatively limited in this area. The rising importance of stock market globalisation has increased interest in emerging markets. This book leads the way for an emerging market perspective, as it explores the issue of efficiency and volatility of the stock market in Bangladesh by employing both univariate and multivariate models, using daily data of past share prices and monthly data of macroeconomic variables and the stock index, respectively. This book offers an understanding of the crucial issues facing developing economies, particularly emerging stock markets with similar characteristics to those of Bangladesh. This book undoubtedly provides valuable information for investors in the stock market, graduate, post-graduate, and PhD students in quantitative financial economics, academics in economics and finance, and policymakers in developing economies.
Author: Theuri Chege Publisher: ISBN: Category : Languages : en Pages : 19
Book Description
Using both monthly and weekly return series between 1999:01 and 2013:12, we investigate the dynamics of stock returns and volatility in a Kenya's fledgling equity market - the Nairobi Securities Exchange. Both the GARCH-in-mean and E-GARCH models yield positive and significant conditional variance parameters. We also find that shocks to equity returns of conditional volatility are highly persistent. Our results also indicate that conditional variance is driven more by the past conditional variance than it is driven by new disturbances. Finally, we find evidence of volatility clustering in the stock markets around major world and domestic economic episodes. Results are consistent with the inference that investors require larger risk premia on equities if they anticipate greater price volatility in future.
Author: Barack Wanjawa Publisher: LAP Lambert Academic Publishing ISBN: 9783659585609 Category : Languages : en Pages : 200
Book Description
Stock exchanges are considered major players in the financial sector of many countries. In such exchanges, it is Stockbrokers who execute stock trade deals and advise clients on where to invest. Most of these Stockbrokers use technical, fundamental or time series analysis in trying to predict future stock prices, so as to advise clients on appropriate investments. However, these strategies do not usually guarantee good returns because they guide on trends and not the most likely trade price of a future date. It is therefore necessary to explore improved methods of prediction. The research uses Artificial Neural Network (ANN) that is feedforward multi-layer perceptron (MLP) with error backpropagation to develop a model ANN of configuration 5:21:21:1 using 80% data for training in 130,000 cycles. The research then develops a prototype and tests it using 2008-2012 data from various stock markets, such as the Nairobi Securities Exchange (NSE) and New York Stock Exchange (NYSE). Results showed that the model predicted prices with MAPE of 0.71% to 2.77%. Validation done using Neuroph & Encog showed close RMSE. The model can therefore be used in any typical stock market predict.
Author: Oduka Tom
Author: Oduka Tom
Author: William Ambaka Akwimbi
Author: William Ambaka Akwimbi
Author: Fouad Sabry
Author: O. P. Gupta![Effect of Macro-economic Factors on Stock Returns at the Nairobi Stock Exchange [MBA Thesis a Ccompanied by a CD-ROM] PDF](https://books.google.com/books/content/images/frontcover/uELXjgEACAAJ?fife=w80-h100)
Author: 
Author: Tobias Olweny
Author: Md Abu Hasan
Author: Theuri Chege
Author: Barack Wanjawa