Testing the existence of January effect at the Nairobi stock exchange
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Date
2011-09Author
Nyamosi, John Nyabuto
Type
ThesisLanguage
enMetadata
Show full item recordAbstract
The objective of the study was to find out whether there exists a January effect at the Nairobi
Stock Exchange (NSE). Descriptive research design was used in the study. It involved
gathering daily stock prices from the Nairobi Stock Exchange and analyzing the data
statistically to determine the existence of the January effect on stock prices at the NSE. The
population of interest in the study consisted of fifty two firms listed for equity stocks at the
NSE as at December 2010. Their mean returns were used to investigate the existence of
January effect at the NSE. The data comprised of the monthly share prices and returns.
Regression analysis of beta co-efficients of the model showed negative co-efficients between
the average dependent variable for the months of February through December and an average
positive dependent variable for January. This confirmed higher returns in January compared
to the other months. Mean returns computed were found to be higher in January compared to
the other months. T-statistics analysis carried out also showed positive significant effect
between January and the other months and hence confirmed that returns in January were
significantly higher compared with the other months. The analysis has clearly indicated that
the January effect was present between the period 2001 and 2010 at the NSE. These results
are useful in providing evidence of deviation from the efficient markets theory and in drawing
conclusions about anomalies at the NSE. It is observed that the January effect patterns in
return and volatility might enable investors strategize and take advantage of relatively regular
shifts in the market.
Sponsorhip
University of NairobiPublisher
School of business