An Empirical Study On The Week-end Effect On The Stocks At The Nairobi Stock Exchange

Abstract

The objective of this study was to establish whether the Nairobi Stock Exchange (NSE) exhibits the week-end effect on the securities traded there. To achieve this objective, a sample of 43 equity stocks traded at the NSE was tested for equality (or difference) between the sample mean returns. Monday and Friday mean returns were computed and then tested for variations using the independent samples test and regression method. The results of this study showed that NSE mean stock returns are equal over the days of the week. Hence time does not appear to be a good indicator of stock returns at the NSE. These results may be attributed mainly to the short period of five years covered in the study; the number of stocks traded, and the knowledge of investors as regarding the stock trading and the number and intention of investors. A longer period of at least ten years would probably produce difference results.