An Assessment of the extent effect of seasonal anomalies on efficiency of firms: evidence from Nairobi Securities Exchange
Date
2022
Authors
Kamau, Njuguna Evans
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Journal ISSN
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Publisher
Strathmore University
Abstract
The presence of security market anomalies provide an opportunity that market participants can exploit. The study tries to focus on the extent Month of the Year effect on efficiency of firms listed on the NSE particularly as an event based study on Covid-19 pandemic. Based on this study, the first objective of the study sought to examine the extent Month of the Year effect on efficiency of firms listed in the NSE. The study used closing monthly prices which were derived from NSE website for the period 2018-2021. From the results of the test carried out, the study established that Month of the Year effect was present and affected the efficiency of the market differently. January and December exhibited higher returns than other months. The study also sought to establish which stocks in the NSE were more prone to the extent month of the year effect on efficiency of firms. Also the study sought to establish which sectors in the NSE were more prone to the extent month of the year effect on efficiency of firms. A test of equality of mean was carried out to determine whether the mean returns for the different stocks and sectors were different. The findings of the test conducted indicated that the following stocks had more positive correlation to month of the year effect; Centum, Co-operative Bank, Absa, KCB, Scangroup, KenGen, KPLC, Scangroup and Stanbic compared to others. There was no single sector that was more prone to month of the year effect than the other. The findings from the analysis established that majority of trading participants had knowledge of market anomalies though also majority were affected during the Covid-19 pandemic. The results of the study contradict the efficient market hypothesis since the study has established month of the year effect is present.
Description
Submitted in partial fulfilment of the requirements for the award of a Master of Commerce Degree in Finance at Strathmore University