Stock market liquidity and asset returns: The case of the NSE 20 share index

dc.contributor.author	Silvia, Wairimu Kahihu
dc.date.accessioned	2017-09-11T12:10:40Z
dc.date.available	2017-09-11T12:10:40Z
dc.date.issued	2017
dc.description	A Research project submitted in partial fulfillment of the requirements for the Degree of Bachelor of Business Science in Financial Economics at Strathmore University	en_US
dc.description.abstract	This research aims to measure the liquidity levels on a sample of stocks from the Nairobi Securities exchange and also investigate the relationship between returns and liquidity on some of the stocks listed under the NSE 20-share index. The results show that there is a positive relationship between market illiquidity and returns which suggests that the excess returns contain a compensation for illiquidity. The measure of the illiquidity used in the study is the one proposed by Amihud in 2002 which is the average across stocks of the daily ratio of absolute stock return to dollar volume, which is easily obtained from daily stock data for long time series in most stock markets. The model that was used to test for this analysis is the random effects model after running the Hausman test.	en_US
dc.identifier.uri	http://hdl.handle.net/11071/5422
dc.language.iso	en	en_US
dc.publisher	Strathmore University	en_US
dc.title	Stock market liquidity and asset returns: The case of the NSE 20 share index	en_US
dc.type	Projects	en_US

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