Impact of pension funds on the stock market volatility in Kenya.
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Date
Authors
Ondisi, Juliet Moraa
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Publisher
Strathmore University
Abstract
This study is an empirical test of the impact pension funds have on the volatility of monthly stock returns in Kenya. The study involved RBA funds invested in equities and monthly NSE index returns. The time period under study ranged from the year 2002-2015. An ARMA (p,q)- EGARCH (1 , 1) model was used to evaluate the effect on the invested funds on the stock market volatility. However, the study did not find any significant influence of the RBA funds on the NSE market volatility
Description
A Research project submitted in partial fulfillment of the requirements for the degree of Bachelor of Business Science in Actuarial Science at Strathmore University