dc.contributor.author | Kai, Benjamin | |
dc.date.accessioned | 2013-02-28T13:33:43Z | |
dc.date.issued | 2012-10 | |
dc.identifier.uri | http://erepository.uonbi.ac.ke:8080/xmlui/handle/123456789/12474 | |
dc.description.abstract | This project sought to conduct an empirical study to test the market efficiency of the
Nairobi Securities Exchange by investigating if Turn of the Month effect exists at the
exchange. In carrying out the study, the days of the month were divided in to two, the
Turn of the Month (TOM) which included the last trading day of the month and the first
three trading days of the following month. The other trading days of the month were
categorized as Rest of the Month (ROM). The 20 share index was used as the sampling
frame and the daily indices were used to compute the daily returns. Secondary data was
obtained from the NSE data base. Descriptive statistics were computed from the returns
and a regression model was run. The results of the study could not confirm the existence
of Turn of the Month effect at the NSE. The TOM coefficient was not significant to
confirm Turn of Month effect. The results are inconsistent with similar studies carried in
the developed economies that found TOM effect to exist confirming that the capital
markets were not efficient. It is therefore concluded that there is no TOM effect at the
NSE. It is equally recommended that the findings of this study should be used cautiously
by the market regulator, NSE, stock brokers, investors and listed companies. The reason
being, they could have been influenced by the size of the index used to compute the
returns. That no TOM effect was found at NSE is not sufficient to conclude that the
market is efficient. | en |
dc.language.iso | en | en |
dc.publisher | University of Nairobi | en |
dc.subject | turn of the month effect | en |
dc.subject | evidence | en |
dc.subject | Nairobi Securities Exchange | en |
dc.title | Turn of the month effect: evidence from the Nairobi Securities Exchange | en |
dc.type | Thesis | en |
local.publisher | School of Business, University Of Nairobi | en |