Impact of the new NSSF act on stock market volatility
| dc.contributor.author | Wachira, Jacinta W | |
| dc.date.accessioned | 2017-02-24T12:37:52Z | |
| dc.date.available | 2017-02-24T12:37:52Z | |
| dc.date.issued | 2016 | |
| dc.description.abstract | This study is an empirical test of the impact pension funds have on the volatility of daily stock market returns in Kenya. More so, this study looks at the impact the new NSSF Act has had on the volatility structure of aggregate stock returns . The analysis involved NSSF investments funds made at the NSE and daily NSE 20 index returns. The time period under study ranged from the year 2004 to 2015. An Autoregressive distributed Lag (ARDL) framework was used to determine the existing relationship between pension funds and stock market volatility whereas a Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model was used to evaluate the effect ofthe new NSSF Act on the daily volatility of asset returns at the NSE. The study finds a positive long run relationship between pension funds invested at the NSE and the returns of the market. However, the study did not find any significant influence of NSSF funds on the NSE market volatility . | en_US |
| dc.identifier.uri | http://hdl.handle.net/11071/5031 | |
| dc.language.iso | en | en_US |
| dc.publisher | Strathmore University | en_US |
| dc.title | Impact of the new NSSF act on stock market volatility | en_US |
| dc.type | Learning Object | en_US |
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