Existence of the Semi-month Effect on Stock Returns at the Nairobi Securities Exchange
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Date
2014-08Author
Mohamed, Ibrahim M
Type
ThesisLanguage
enMetadata
Show full item recordAbstract
Thesemi-montheffectpurportsthatstockreturnsin the firsthalfofthe tradingmonthis
significantly higherthanthesecondhalfof the month. The objectiveof this studywas
toestablishwhetherthere isexistenceof thesemimontheffectsonstockreturnsattheNairobi
SecuritiesExchange(NSE).Thisstudy useda
descriptiveresearchdesign.Thepopulationof
interestwasallthelistedcompaniesforequitystocksattheNSEasatDecember2013.The
samplepopulationwascompanieslistedcontinuouslyintheNSE-
20shareIndex.Thedataused inthisstudy
constitutedindividualsharepricesfortheperiodstartingfromJanuary2011to
December2013.Thedailyreturnforeachfirmstockwasdeterminedasthechangeinmarket
priceofthestockplusanydividendreceived, expressedasafractionofinitialstockprice.
Descriptivestatisticsused weremeanandstandarddeviation.
Regressionanalysiswasusedtoassess the semi-month effect on stock returns.
Themeanreturnsforthefirsthalfofthemonthforthe3yearperiodis0.0674%with a
standard deviation of 0.7645%. For thesecondhalfthemean return was0.0304%
with a standard deviation of 0.6091%.Thecoefficientβ1in the regression model
was-0.000369with ap-valueof0.465038.The difference between the returns of
the second half and the first half of the month had a negative effect on
stock returns. Thep-value for the significance of the regression
coefficient 0.465038 isgreaterthan0.05thusthecoefficientisnotsignificant.Fstatisticwas
found to be 0.534291witha p-valueof0.465038.Thispvalueisalsogreaterthan0.05hencethe
overallfitofthemodelispoor.Fromthefindingsofthisstudy thereisnoevidenceofthesemimontheffectonstockreturnsintheNSE.
Therefore investors should not expect returns
from one half of the month to be statistically different from returns in the other
half.
Publisher
University of Nairobi
Rights
Attribution-NonCommercial-NoDerivs 3.0 United StatesUsage Rights
http://creativecommons.org/licenses/by-nc-nd/3.0/us/Collections
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