• Login
    View Item 
    •   SU+ Home
    • Research and Publications
    • Strathmore Institute of Mathematical Sciences (SIMs)
    • SIMs Projects, Theses and Dissertations
    • BBSF Research Projects
    • BBSF Research Projects (2015)
    • View Item
    •   SU+ Home
    • Research and Publications
    • Strathmore Institute of Mathematical Sciences (SIMs)
    • SIMs Projects, Theses and Dissertations
    • BBSF Research Projects
    • BBSF Research Projects (2015)
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    The trading volume - stock returns dynamic: a case study of the NSE

    Thumbnail
    View/Open
    Full Text (14.15Mb)
    Date
    2015
    Author
    Muheria, Grace Walthira
    Metadata
    Show full item record
    Abstract
    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.
    URI
    http://hdl.handle.net/11071/5102
    Collections
    • BBSF Research Projects (2015) [9]

    DSpace software copyright © 2002-2016  DuraSpace
    Contact Us | Send Feedback
    Theme by 
    Atmire NV
     

     

    Browse

    All of SU+Communities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

    My Account

    Login

    DSpace software copyright © 2002-2016  DuraSpace
    Contact Us | Send Feedback
    Theme by 
    Atmire NV