Measuring volatility of nairobi stock exchange

measuring volatility of nairobi stock exchange The vix was created by the chicago board of options exchange as a measure to gauge the 30-day expected volatility of the us stock market derived from real-time quote prices of s&p 500 call and.

The primary measure of volatility used by traders and analysts is standard deviation this metric reflects the average amount a stock's price has differed from the mean over a period of time. Effects of macroeconomic volatility on stock prices in kenya: a cointegration evidence from the nairobi securities exchange (nse) nairobi securities exchange, co-integration and evidence 1 introduction over the past decade, the stability of the inflation rate has been a key focus of the macroeconomic policy in –measure for inflation. The chapter presents a summary of the results on relationship between exchange rate movement and stock market returns volatility at the nairobi securities exchange the exchange rate movements fluctuated widely reflecting the changes in the value of the local currency against the foreign currency.

Success of the arch family models in capturing behaviour of volatility, stock returns volatility has received a great attention from both academies and practitioners as a measure and control of risk both in emerging and developed financial markets. Abstract we examine day-of-the-week effect anomaly and volatility in returns on ghana stock exchange (gse) and nairobi stock exchange (nse) using daily closing price indices from 2005 to 2014. Analysis of the determinants of stock price volatility at nairobi securities exchange nancy nyaguthii waweru the common stock‟s volatility is a benchmark for measuring risk it indicates the changing pace in the stock‟s price over a the determinants of stock price volatility include inflation rate, interest rate and exchange rate. However, kalui (2004) on his study on the determinants of stock price volatility, an empirical investigation of nairobi stock exchange covering the period between 1998 and 2002 revealed that companies quoted at nse experience stock price volatility.

The influence of financial risk on stock returns isaac mwaurah , dr willy muturi , influences stock returns of at nairobi securities exchange this establish the influence of financial risk on stock returns at nairobi securities exchange. Analysis of asymmetric and persistence in stock return volatility in the nairobi securities exchange market phases ogega haggai owidi 1 , , freshia mugo-waweru 1 1 school of management and commerce, strathmore university, nairobi, kenya. Case of nairobi securities exchange jonathan ang’ani omuchesi1 mary bosire2 1department of accounting & finance,school of business & economics, examining the effect of automation on volatility of toronto stock exchange [18]finds on average, automation had a significantimpact on the volatility and hence on the pricing of securities on the. Measuring the effect of confirmatory bias on the level of volatility on stock markets in developing countries reduces the efficiency of the price signals in allocating investment listed in nairobi stock exchange and cross listed on the rwanda stock exchange [15.

The purpose of this study is to analyze the effects of interest rates volatility on stock returns in the nairobi securities exchange a descriptive design was used where month, time series data for a period of 5 years from 2007 to 2011 was used. The main objective of this paper is to model stock returns volatility for the kenya’s nairobi securities exchange (nse), by applying different univariate spe- cifications of garch type models. The volatility tells us about how turbulent the price is and is an indicator of the risk involved a currency pair with high volatility involves high risk, but is also seen as an opportunity to make profits by the currency traders. Extreme values modelling of nairobi securities exchange index kelvin ambrose kiragu 1, joseph kyalo mung’atu 2 1 applied statistics, department of statistics and actuarial science, jomo kenyatta university of agriculture and technology, nairobi, kenya 2 statistics, department of statistics and actuarial science, jomo kenyatta university of agriculture and technology, nairobi, kenya.

Measuring volatility of nairobi stock exchange

View the effect of macroeconomic variables on stock return volatility in the nairobi securities exchange from soci 100 at friends university the effect of macroeconomic variables on stock. Stock volatility and returns in the nairobi stock exchange, kenya using daily returns data over the period january 2006 to april 2009 the garch based regression models came out with. Inflation and stock market volatility in kenya benard gibet inflation price earnings, and nairobi securities exchange index were used in the analysis between inflation and stock market volatility has generated interest on how to evaluate financial risk. The relationship between trading volume and price volatility of shares in the nairobi securities exchange collince odhiambo gworo mount kenya university (mombasa campus) school of business and economics [email protected] abstract this study intended to examine the price- volume movements in the nse, in order to determine the impact of changes in trade volume on the volatility of stock.

  • Abstract— stock market volatility is important in determining in stock prices is frequently used as a measure to test market efficiency if changes are highly predictable, this could muragu [10] on the nairobi stock exchange (nse) and ojah and karemera [11] on the four latin american countries market studies done on the klse by arief.
  • This paper investigates the existence and magnitude of volatility spillovers among equities on the nairobi securities exchange the multivariate varma-garch model is used to test for spillover effects between four broad sectors of the nse: agricultural, financial, commercial and services and industrial the significance of the parameters of the model are used as an indicator of the spillover.

The nairobi securities exchange and that although there was a relationship, it was weak the most significant factor that affected the stock market volatility of the listed firms was found to be market capitalization, followed by liquidity respectively. Firms listed in the nairobi stock exchange (nse) provides an exhaustive presentation of firms from non- financial and financial firms the firms are also from different sector of the economy. Stock returns and volatility i̇n an emerging equity market evidence from kenya david ndwiga, ma uganda and tanzania stock exchange (in 2006) and change in equity settlement cycle from t+4 to t+3 (in 2011) significantly reduce volatility evidence on stock returns volatility at the nairobi stock exchange (nse) is also scant using. The effect of inflation on the stock exchange and ultimately stock prices has been under scrutiny over the past few decades the point of argument being if inflation has an impact on the volatility of stock prices and eventually the stock market.

measuring volatility of nairobi stock exchange The vix was created by the chicago board of options exchange as a measure to gauge the 30-day expected volatility of the us stock market derived from real-time quote prices of s&p 500 call and.
Measuring volatility of nairobi stock exchange
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2018.