Browsing SIMs Scholarly Articles by Subject "Nairobi Securities Exchange"

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Return volatility and equity pricing: a frontier market perspective

Othieno, Ferdinand; Chege, Theuri; Kodongo, Odongo

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 ...
Return volatility and the pricing of equities at the Nairobi Securities Exchange

Chege, Theuri; Othieno, Ferdinand; Kodongo, Odongo

The study is an empirical test of asset pricing theory, which postulates that volatility is priced if a positive relationship exists between asset returns and their volatility. The asset under study is the Nairobi ...