The trading volume - stock returns dynamic: a case study of the NSE
| dc.contributor.author | Muheria, Grace Walthira | |
| dc.date.accessioned | 2017-03-03T07:47:54Z | |
| dc.date.available | 2017-03-03T07:47:54Z | |
| dc.date.issued | 2015 | |
| dc.description.abstract | This paper exammes the contemporaneous and dynamic relationships between stock returns and trading volume for the Kenyan Stock Market. The sample under stud y was the stocks constituting the NSE-20 index for a period extending from September, 1997 through to March, 2014. After time trend tests and unit-root tests to ensure stat ionarity of data , the empirical methods employed include bivariate simultaneous equat ions regression analysis and Granger causality tests to examine the. contemporaneous and causal relationships respectively. There was evidence to SUPP011 existence of a contemporaneous relationship between stock returns and trading volume with most stocks exhibiting a positive relationship. There was no evidence to support the causal relationship between stock returns and trading volume for most stocks. Out of20 stocks, 4 of them indicated that return causes volume, 4 stocks indicated that volume causes return and I stock indicated bi-directional causation. This implie s that forecast s of one of the variables (return or volume) cannot be impro ved by knowledge of the other for many of the Nairobi Securities Exchange counters. More could be done to asse ss the economic significance of the statistical predictability detected in this study for the 8 stocks and as a result make conclusions about market efficiency. | en_US |
| dc.identifier.uri | http://hdl.handle.net/11071/5102 | |
| dc.language.iso | en | en_US |
| dc.publisher | Strathmore University | en_US |
| dc.title | The trading volume - stock returns dynamic: a case study of the NSE | en_US |
| dc.type | Learning Object | en_US |