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Return volatility and equity pricing: a frontier market perspective
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
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 ...