Inter - sector volatility spillover among equities on the Nairobi Stock Exchange

dc.contributor.author	Chuchu, Michael Nyangasi
dc.date.accessioned	2016-04-14T11:15:58Z
dc.date.available	2016-04-14T11:15:58Z
dc.date.issued	2015-11
dc.description	Submitted in partial fulfillment of the requirements for the Degree of Bachelor of Business Science in Actuarial Science at Strathmore University	en_US
dc.description.abstract	This paper investigates the existence and magnitude of volatility spillovers among equities on the Nair obi Securities Exchange. The multivariate VARMA - GARCH model is used to test for spillover effects between four broad sectors of the NSE: Agricultural, Financial, Commercial and Services and Industrial. The significance of the parameters of the model are used as an indicator of the spillover effect between sectors. Based on the empirical results, the biggest volatility spillover is from the commercial and services sector to the broad industrial sector. There are also significant spillovers from the industrial and agricultural sectors to the financial and commercial and services sectors, as well as from the financial and commercial and services sectors to the broad industrial sector.	en_US
dc.identifier.uri	http://hdl.handle.net/11071/4436
dc.language.iso	en	en_US
dc.publisher	Strathmore University	en_US
dc.subject	Volatility Spillovers	en_US
dc.subject	NSE	en_US
dc.subject	VARMA-GARCH	en_US
dc.title	Inter - sector volatility spillover among equities on the Nairobi Stock Exchange	en_US
dc.type	Other	en_US

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