Modelings stock price volatility during pre and post financial crisis period in Kenya
Abstract
The trend of stock market prices in Kenya during the financial year 2007-2010 has been of major
concern for stock market investors and the financial institutions. Investors as well as the financial
institution use the stock returns volatility to measure risk however it becomes a challenge to
make predictions on the stock price movement if the stock market environment is unstable.This
study mainly concentrates on estimating the historical volatility using historical data from
Nairobi stock exchange. An analysis of the trend of stock market prices during this period has
revealed that unexpected event spikes the volatility of stock prices.
The volatility trend revealed in this study can be associated with the major shocks affecting the
financial economy for instance the global financial crisis, domestic crisis (post-election
violence). Injection of these shocks in the economy, increases uncertainty on the political and
economic stability hence lowers investor’s confidence.
Publisher
University of Nairobi
Description
Thesis