BBSF Research Projects (2015)

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Now showing 1 - 5 of 9
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    Commodity diversification: How Kenya can exploit commodities for diversification.
    (Strathmore University, 2015) Kuhunya, Lisa Wangari
    Investment in commodities dates back to the age of barter trade and has continually evolved to form an investmentwith substantial diversification benefits to investors · {Vrugt, Bauer, Steenkamp, & Molenaar, 2004). Commodity markets have become an attractive investment, as they offer returns not easily accessible through the traditional equity and bond investments {Schneeweis, Karavas, & Georgiev, Updated 2002). Defining characteristics of the return on commodity investment include relatively high performance and low volatility as opposed to those of equities and bonds. Inclusion of these commodities in an equity or fixed income portfolio would therefore be important to improve the risk adjusted return of the latter portfolios.
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    The trading volume - stock returns dynamic: a case study of the NSE
    (Strathmore University, 2015) Muheria, Grace Walthira
    This paper exammes the contemporaneous and dynamic relationships between stock returns and trading volume for the Kenyan Stock Market. The sample under stud y was the stocks constituting the NSE-20 index for a period extending from September, 1997 through to March, 2014. After time trend tests and unit-root tests to ensure stat ionarity of data , the empirical methods employed include bivariate simultaneous equat ions regression analysis and Granger causality tests to examine the. contemporaneous and causal relationships respectively. There was evidence to SUPP011 existence of a contemporaneous relationship between stock returns and trading volume with most stocks exhibiting a positive relationship. There was no evidence to support the causal relationship between stock returns and trading volume for most stocks. Out of20 stocks, 4 of them indicated that return causes volume, 4 stocks indicated that volume causes return and I stock indicated bi-directional causation. This implie s that forecast s of one of the variables (return or volume) cannot be impro ved by knowledge of the other for many of the Nairobi Securities Exchange counters. More could be done to asse ss the economic significance of the statistical predictability detected in this study for the 8 stocks and as a result make conclusions about market efficiency.
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    Stock price behavior in the NSE- a test of the predictability and seasonality of stock prices movements
    (Strathmore University, 2015) MURIITHI, JEAN MUTHONI
    This study incorporates a_ predictive regression approach and a centered moving average analysis to test the predictability and seasonality respectively of the stocks on the Nairobi Securities Exchange (NSE) 20 Share Index. The findings reveal that most of the stock prices do not exhibit seasonality with the exception of a few such as Kenya Power, Centum, Bamburi which exhibit repetitive cycles. The t-test of significance portrays the shortcomings of the past stock prices in predicting future stock prices with Sasini showing the closest element of predictability (t-test value of 0.000290608) which is still very low.
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    Intertemporal equity asset pricing with stochastic volatility at the NSE and the JSE
    (Strathmore University, 2016) Chelimo, John K
    This paper explores the implementation of an intertemporal asset pricing model with stochastic volatility. This model is applied to equity asset pricing at the Nairobi Securities Exchange (NSE) and the Johannesburg Stock Exchange (JSE). The return on the aggregate stock market is modelled using a vector auto regression (VAR) model and the volatility of all shocks to the VAR is modelled using GARCH and EGARCH models. It is shown that the reduced form of the ICAPM with stochastic volatility is inadequate in the context of equity asset pricing at the NSE and JSE. However, the variables indicate the existence of a significant relationship between asset returns and realized market variance and PE ratios to motivate further research.
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    The viability of long term care insurance in Kenya
    (Strathmore University, 2014-11) Wanja, Njau Lilian
    Kenya's population aged 60 and above is rapidly ageing. The available facilities catered towards meeting the health care needs of Kenya's ageing population are inadequate and may not be able to manage this growing population.2 additionally, the public facilities available have only the basic outpatient and inpatient facilities which are not sufficient to accommodate the health needs of the population aged 60 and above. On the other hand, the private facilities available in Kenya cover these needs by providing nursing care as well as residential care. However these facilities prove to be overly expensive and can cause a financial burden on the party taking out these services. This research assesses Long Term Care Insurance as an affordable solution to providing the needed health care services for Kenya's ageing population as well as considers the viability of such a scheme in Kenya. This has been done by determining the factors that affect the sustainability of such a product in the Kenyan market. Besides this, an appropriate contribution rate for a suitable LTC! Policy was determined. This was done by using the Markov process through the multi-state model in the pricing of the scheme. This research shows that a long term care insurance scheme is sustainable in Kenya as it can be both affordable and comprehensive in terms of what the benefits can afford the policyholder. Different contribution rates were established for males and females due to their different inherent risk set and needs.