Turn of the month and January effects on Stock prices at Nairobi stock exchange
Abstract
This paper examined the turn-of-the-month and January effects at Nairobi Stock
Exchange (NSE) during the period July 1995 through June 2003. Using the NSE
daily closing prices, average daily returns were computed by applying the
Holding Period Return method. Geometric average rate of return method was
then applied to arrive at the required means of the two-week periods and monthly
basis. Mean returns for the last and first weeks were compared with the second
and third weeks of the month and no evidence was found in favor of the turn-of the-
month effect.
Likewise, the mean returns for the February to December compared with the
mean returns for January of the following year, indicated absence of January
effect at NSE. Since no capital gains tax exists in Kenya, these findings may
support a tax-related interpretation of abnormal January returns on many stock
markets.
Citation
A Management Research Project Report Submitted in Partial Fulfillment for the Requirements of the Degree of Masters of Business Administration (MBA), School Of Business, University Of NairobiPublisher
Business Administration