Investor Sentiment and Equity Markets: Evidence From Kenya
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Date
2013-11Author
Mohamed, Hilal A
Type
ThesisLanguage
enMetadata
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This study investigated the relationship between investor sentiment and performance of quoted
equities in Kenya. The study has three specific objectives which include; to determine the
relationship between investor sentiment, represented by value of shares traded, and performance
of the NSE equity market; to determine the relationship between investor sentiment, represented
by volume of shares traded, and performance of the NSE equity market; and to draw policy
recommendations from the research findings. The aim of the study is to provide policy makers
and the academic community with knowledge of the relationship between investor sentiment and
equity market performance.
The study used two proxy measures of investor sentiment against market capitalization as an
indicator of stock market performance. The two proxies for investor sentiment include the
volume of shares traded and value of shares traded. This study used quarterly time series data for
the period between 1996 and 2013. The study employed the augmented Engle and Granger Cointegration
test and the Error Correction Model.
The empirical results indicate the existence of both long-run and short run relationships between
the indicators of investor sentiment and stock market performance. The study therefore
recommends that investor confidence in Kenya be developed further to expand market
capitalization
Citation
Research Paper Submitted In Partial Fulfilment Of The Requirements For The Award Of The Degree Of Masters Of Arts In Economics Of The University Of NairobiPublisher
University of Nairobi Department of Economics