| dc.description.abstract | Stock return volatility has been a subject of interest among finance researchers and this due to
the fact that volatility is that stock return volatility influences stock price movement. The study
analyses the volatility in conditional stock returns at Nairobi Securities Exchange for the period
2ndJanuary 2010 to 31st December 2013. The study uses the Autorogressive conditional
heteroscedastic – family econometric models to test for both the stock returns volatility and
leverage effect at the Nairobi Securities Exchange. More specifically, the study focused on the
main aspects of daily returns with special attention on volatility clustering and the leverage
effect. More specifically autorogressive conditional heteroscedastic (1, 1) and Exponential
generalized autorogressive conditional heteroscedastic were estimated. The study used secondary
data of all the daily security prices from January 2010 to December 2013 and concluded that
Nairobi Securities Exchange is not a weak – form efficient market. The study also confirms that
volatility clustering is evident at the Nairobi securities exchange as portrayed by the significance
of the coefficients of the autorogressive conditional heteroscedastic (1) terms. Lastly leverage
effect was confirmed at the Nairobi securities exchange for the period under review implying the
existence of information asymmetry in the market. Therefore, the stock returns and the market
volatility are negatively related meaning that in the time of high market volatility, the bearish
behaviour rules the market while in the time of low volatility bullish behaviour takes an upper
hand in the market | en_US |
