| dc.description.abstract | In this study, the price of risk on the Nairobi stock market was estimated using a
conditional asset pricing model that allows for time variation in the risk. Two different
GARCH (1, 1)-M models are used in the econometric specification. The estimates of the
price of risk are invariably positive and insignificant, and conclude that there exists an
insignificant time-varying risk premium in the Nairobi stock market. The well known day
of the week effect reflected in insignificant positive Friday and negative Monday, does
not seem to be present in the market. Also entry of foreign investors and change of
trading system increases volatility contrary to the fact the volatility should decline. | en |
