The dynamic relationship between stock prices and exchange rates - A case of Kenya

Simple item page
dc.contributor.authorMumbe, Kaseka Anita
dc.date.accessioned2016-03-02T13:38:16Z
dc.date.available2016-03-02T13:38:16Z
dc.date.issued2015-11
dc.descriptionSubmitted in partial fulfillment of the requirements for the Degree of Financial Economics at Strathmore Universityen_US
dc.description.abstractThis study investigates the price t1uctuations and volatility spillover effects as well as the relationship between the stock market and the currency market in Kenya. The study developed long run and short run models for the exchange rate and stock price index with data ranging from between January 2004 to December 2014. The Data was obtained from the Nairobi Stock Exchange for the stock prices and the US DIKES exchange rate from the Central Bank of Kenya website. The study uses the Vector error correction model to determine the short run relationship 'and the significant price transmission effects' between the markets whereas the EGARCH' model is used to determine the volatility effects as well as the conditional variances of each of the variables. The study finds that there is no causal relationship between the stock market and exchange rate market; however it finds that there is significant volatility and price spillover effects from the foreign exchange market to the stock market and vice versa. This dynamic relationship opens up avenues for further research into other factors that may affect these two variables such as interest rates, which may be used to better explain the transmission of price spillovers between the currency and stock markets.en_US
dc.identifier.urihttp://hdl.handle.net/11071/4281
dc.language.isoenen_US
dc.publisherStrathmore Universityen_US
dc.subjectRelationshipen_US
dc.subjectStock pricesen_US
dc.subjectExchange ratesen_US
dc.subjectKenyaen_US
dc.titleThe dynamic relationship between stock prices and exchange rates - A case of Kenyaen_US
dc.typeOtheren_US
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
The dynamic relationship between stock prices and exchange rates - A case of Kenya.pdf
Size:
1.86 MB
Format:
Adobe Portable Document Format
Description:
Full - text undergraduate research project
Download
License bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
BBSE Research projects (2016)