| dc.contributor.author | Mwambi, Winfred N | |
| dc.date.accessioned | 2013-03-01T15:10:56Z | |
| dc.date.issued | 2012 | |
| dc.identifier.citation | MBA Thesis 2012 | en |
| dc.identifier.uri | http://erepository.uonbi.ac.ke:8080/xmlui/handle/123456789/13176 | |
| dc.description | Master Thesis | en |
| dc.description.abstract | The primary objective of this study is to assess the day of the week effect in the Kenya Shilling
versus Us Dollar foreign exchange market using data over the period, July 2, 2007 and June 29,
2012. An investigation of the day of the effect in returns should also consider the day of the
week effect on volatility. The study uses the GARCH (1, 1) framework to estimate the presence
of such day of the week effect in the mean and volatility of the foreign exchange returns. Both
the return and volatility equations are given. E-views (5) program was used to analyze the data.
The summary statistics reveal that the average returns and standard deviation on each day of the
week varies. This implies exchange rate overshooting and undershooting, though this is just a
mere statistical aberration as we do not find sufficient evidence supporting the day of the week
effect. However there are signals of the Tuesday effect on the volatility equation. The absence of
the day of the week effect has implications on the foreign exchange market efficiency. | en |
| dc.description.sponsorship | University of Nairobi | en |
| dc.language.iso | en | en |
| dc.subject | Day-of-the-Week Effect, Volatility, Exchange rate, Generalized Autoregressive Conditional Heteroscedasticity models | en |
| dc.title | An Examination of the day of the week anomaly in the Kenya shilling/ us Dollar Foreign Exchange Market | en |
| dc.type | Thesis | en |
| local.publisher | School of Business, University of Nairobi | en |
