The Effect of the fluctuation of the Chinese Yuan on the returns of stocks traded in the Kenyan, Ugandan and Tanzanian markets

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dc.contributor.authorKibathi, Leonie Njeri
dc.date.accessioned2018-11-01T07:29:49Z
dc.date.available2018-11-01T07:29:49Z
dc.date.issued2018
dc.descriptionA Dissertation submitted in partial fulfillment of the requirements for the Master of Science in Mathematical Finance (MSc.MF) at Strathmore Universityen_US
dc.description.abstractThis paper investigated the relationship between Kenya, Tanzanian and Ugandan ex-change rates and the returns of three stocks traded in all three markets. The exchange rates analyzed were from the three countries versus the Chinese Yuan. The data was maintained at weekly intervals and the time period was from January 2012 to December 2017. In this study, both the exchange rate and the stock returns data were found to be non-normally distributed. A unit root test (Augmented Dickey-Fuller) found that both time series were stationary at level form. A test into the causal relationship between the two variables by the Granger Causality test showed that there was a unidirectional relationship between stock returns and the exchange rates that run from the stock returns to the exchange rates. Understanding the flow of influence between exchange rates and stock market returns is essential as the two variables have become important aspects in trading markets. The information about this relationship between stock market returns and exchange rates would help investors to invest prudently by reducing their exposure to risk.en_US
dc.identifier.urihttp://hdl.handle.net/11071/6051
dc.language.isoenen_US
dc.publisherStrathmore Universityen_US
dc.subjectChinese Yuanen_US
dc.subjectAugmented Dickey-Fulleren_US
dc.subjectGranger Causality testen_US
dc.titleThe Effect of the fluctuation of the Chinese Yuan on the returns of stocks traded in the Kenyan, Ugandan and Tanzanian marketsen_US
dc.typeThesisen_US
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MSc.MF Theses and Dissertations (2018)