dc.contributor.author | Mwaniki, Henry N | |
dc.date.accessioned | 2013-02-22T09:45:45Z | |
dc.date.issued | 2012-11 | |
dc.identifier.citation | MBA Thesis | en |
dc.identifier.uri | http://erepository.uonbi.ac.ke:8080/xmlui/handle/123456789/10735 | |
dc.description | Sensitivity of Kenya banks' stock returns to interest rate and exchange rate changes | en |
dc.description.abstract | This paper seeks to establish the effect of interest rates and foreign exchange changes on
bank stock returns. There are various reasons why the stock returns of banks can be
responsive to interest rate and FX rate changes. The objective of the study was to
determine the sensitivity of Kenya banks' stock returns to interest rate and exchange rate
changes. To determine the sensitivity of Kenya banks' stock returns to interest rate and
exchange rate changes, regression of stock returns on exchange rates and event study
methodology was used.
The event is what the researcher would like to study. The event date is the date of
announcement of change in interest rate by CBK and change in Foreign exchange by the
sample firm. The study only sampled commercial banks listed in the NSE as the study is
focusing on the analysis of the sensitivity of Kenya banks' stock returns to interest rate
and exchange rate changes with reference to listed banks in Kenya. The study covered a
period of 18 months start from January 2011 to June 2012. The period has been selected
since it has been characterized with changes in foreign exchange and interest rate.
Secondary method of data collection was used. Data was analyzed using ordinary least
square (OLS) market model which measured the estimation of abnormal return on stock
prices.
The study found that changes in the interest rate had both positive and negative effects on
the stock price of commercial banks listed in the NSE. The study further found that share
price of commercial banks listed in the NSE was sensitive to changes in interest rate. The
study also established that 73.2 % changes stock price of commercial banks listed in the
NSE could be accounted for by changes in foreign exchange an indication that changes
in stock price of commercial banks listed in the NSE could be attributed to changes in
foreign exchange rate. There is need for the central bank of Kenya to control the interest
rate as changes in interest rate were found to have both positive and negative effects on
the performance of stocks of commercial banks listed in the NSE. | en |
dc.description.sponsorship | University of Nairobi | en |
dc.language.iso | en | en |
dc.subject | Kenya | en |
dc.subject | Stock returns | en |
dc.title | Sensitivity of Kenya Banks' Stock Returns to Interest Rate and Exchange Rate Changes | en |
dc.type | Thesis | en |
local.publisher | School of Business, University of Nairobi | en |