dc.contributor.author | Kamuti, Hellen M | |
dc.date.accessioned | 2013-11-12T09:42:47Z | |
dc.date.available | 2013-11-12T09:42:47Z | |
dc.date.issued | 2013-10 | |
dc.identifier.citation | Kamuti,Hellen M.;October,2013.The Dynamic Relationship Between Stock Price Volatility And Trading Volume At The Nairobi Securities Exchange. | en |
dc.identifier.uri | http://erepository.uonbi.ac.ke:8080/xmlui/handle/123456789/58675 | |
dc.description.abstract | The study empirically examined the dynamic relationship between stock price volatility and
trading volume in the context of Nairobi Securities Market. The study applied Unit root tests,
GARCH techniques and causality tests on the data to determine the relationship between the
variables.
Monthly prices and volume for companies quoted under NSE- 20 share index were used in the
analysis for the period from January 2008 to June 2012. The study applied unit root test to
establish the stationarity of the variables, so as to assist in deciding on the most appropriate
analytical model to apply. GARCH model was used, since the data series exhibited
heteroscedasticity, to find out long run volatility clustering on the variables. Granger causality
test was used to determine the direction of relationship between price and volume.
The study found that there was a significant positive relationship between price and volume in
the NSE, indicating that rising market goes with rising volume. Results from GARCH model
show that volatility of stock returns is persistent in NSE. The research findings depicts that
previous information content of stock prices influence volume of stock traded in the market and
not vice versa. Thus, there is no presence of bi-directional granger causality between volume and
prices. This means that changes in volume, which is affected by market information, does not
lead to stock price changes in the market. The study results concluded that Price levels cause
changes in stock volumes transacted in NSE. | en |
dc.language.iso | en | en |
dc.publisher | University of Nairobi | en |
dc.title | The Dynamic Relationship Between Stock Price Volatility and Trading Volume at the Nairobi Securities Exchange | en |
dc.type | Thesis | en |
local.publisher | College of Humanities and Social Sciences | en |