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

    Chege, Eric Theuri (Strathmore University, 2014-03-12)
    Using the monthly return series between 1999 and 2013 I find evidence that volatility is priced on the Nairobi Securities Exchange. The GARCH-M model yields positive and significant ARCH and GARCH parameters and the shocks ...

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    Author
    Chege, Eric Theuri (1)
    Subject
    Nairobi Securities Exchange (1)
    Volatility pricing (1)... View MoreDate Issued2014 (1)Has File(s)Yes (1)

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