BSSF Research Projects (2021)

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    Investment timing in African private equity: A real options analysis
    (Strathmore University, 2021) Achacha, Linda Yunia
    This paper modifies the standard binomial option pricing approach to real options analysis so as to incorporate exogenous volatility. Real options allow a manager to gather information about a potential investment payoff prior to investment occurring . The focal point of this paper is to uncover the value that deferral options have in regard to investment decisions and to determine the optimal investment timing given macroeconomic conditions. The results show that enhanced value is yielded by deferral options in instances of higher exogenous volatility and that the most optimal investment outcomes are achievable when there is higher volatility which is proven by the complete elimination of downward movement investment loss.
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    Application of technical analysis in the forex market: Comparison of technical trading rules in developed and emerging markets
    (Strathmore University, 2021) Lelei, Elaine Cherop
    This paper examines the application of technical analysis in the forex market. It particularly looks at the comparison of technical trading rules in developed and emerging markets. In order to assess the performance, three momentum-based indicators are chosen, namely Moving Average Convergence Divergence, Relative Strength Index and Moving Average Crossover, while one volume indicator is chosen, namely Money Flow Index. To gauge the performance of the indicators, the parameters of each of the indicators is subjected to seven currency pairs which were, EURIUSD, GBP/USD, USD/JPY and USD/CNY for developed markets and USD/ZAR, USD/MXN and USD/TR Y for emerging markets. The daily closing prices of each of the currency pairs are used, and based on the parameters of the individual indicator, a buy or sell signal is conveyed by the indicator, and the profit or loss, of each of the signals is measured and summed up so that comparison of performance is possible. Daily closing prices from 2005- 2020 are used. The findings suggest emerging markets are more profitable than the developed markets.
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    The nexus between financial markets and economic growth in frontier economies
    (Strathmore University, 2021) Archibald, Kelvin Gichuru
    The stock market has potential to tum a country's fortunes. With proper organization and robust structures, the market can channel a county's savings and investments to deserving companies which would in tum, help develop the economy. Understanding how the stock market influences economic growth is important in formulating policies that would help make it more attractive to investors and more efficient in its allocation of resources. This paper undertakes to establish the quantitative effect of the stock market on economic growth and determine whether there is a long-term relationship between the two. A linear ordinary least squares model is used to achieve the first objective while the Johansen cointegrating test is used to achieve the second. The paper then offers recommendations, based on the findings, and provides possible areas of further research.
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    Robustness of risk based capital modelling in Kenya: A comparative study of Kenya’s and Malaysia’s risk based capital frameworks
    (Strathmore University, 2021) Miano, Moureen Njeri
    Many countries are taking a keen interest in monitoring the capital adequacy ratio of the operating insurance counh·ies. This has led to the development of different frameworks to measure capital risk e.g Solvency II, Risk Based Capital (RBC). Though most of these frameworks have been formulated by developed countries, other nations are formulating frameworks to suit their needs based on the nature of the insurance sector instead of adopting a "one-size fits all model". Some of these counh·ies include: South Africa, Malaysia, Kenya. Kenya's insurance sector is fairly young hence the Insurance Regulatory Authority began developing a Risk Based Capital framework recently. This paper compares tl1e robustness of tl1e Risk Based Capital frameworks between Kenya and Malaysia since tl1e latter's framework has been in existence for a longer period. The comparison will help in tl1e validation of Kenya's framework if there are similarities between tl1e capital adequacy ratios .
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    Determinants of financial inclusion in sub-Saharan Africa
    (Strathmore University, 2021) Odhiambo, Trevor Ooko
    Financial exclusion is the lack of access by clients to appropriate low cost, fair and safe financial products and services. Leyshon and Thrift explained it as the processes that are in place to prevent individuals or a section of individuals from gaining access to the formal financial system. Individuals being excluded from banking services generate negative socioeconomic consequences for economies (Levine, 1993). Defining financial exclusion prompts the need to elaborate on financial inclusion as they go hand in hand. Financial inclusion is the ease of access, availability and consumption of the services offered by the financial system of an economy. This brings about the importance of financial inclusion in a country as it improves sustainability and an economy's stability. The definition of financial inclusion gives us a scope which includes accessibility, availability and consumption of the services offered by the financial system particularly the banking industry.