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    The Day Of The Week Effect And Stock Market Volatility: Evidence From Nairobi Securities Exchange

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    Date
    2013-11
    Author
    Kulavi, CM
    Type
    Thesis
    Language
    en
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    Abstract
    The day of the week effect purports that there is the existence of a pattern on the part of stock returns, whereby these returns are linked to a particular day of the week. The objective of the study was to establish the existence of day of the week effect at Nairobi Securities Exchange and to determine the relationship between of day of the week and Stock market volatility at the Nairobi Securities Exchange. This study was descriptive research design. The data used in this study constituted of daily stock returns of 50 companies listed continuously at NSE from 1st Jan 2008 to 31st December 2012. The data included daily prices and market indexes from the Nairobi Securities Exchange. The daily return for each firm was determined by taking the closing price for that day and the opening price for that day. Market index (NASI Index) was obtained. The daily returns being the dependent variable and market index being independent variable. The finding indicates that there is existence of day of the week effect in the Nairobi Securities Exchange and the highest volatility is experienced on Monday and lowest volatility is experienced on Thursday. The volatility pattern found on this study however does not refute public information release hypothesis
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    http://erepository.uonbi.ac.ke:8080/xmlui/handle/123456789/59404
    Citation
    A Research Project Submitted In Partial Fulfillment Of The Requirement For The Award Of The Degree Of Master Of Business Administration School Of Business, University Of Nairobi
    Publisher
    University of Nairobi
     
    School of Business
     
    Collections
    • Faculty of Arts & Social Sciences, Law, Business Mgt (FoA&SS / FoL / FBM) [24385]

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