Share Price Behaviour Around 2010 Constitution of Kenya Referendum on Nairobi Securities Exchange

Abstract

Share price behaviour of a market is influenced by how quickly that market assimilates the relevant new information it receives in its trading prices and volume patterns to the extent that no trader can sustainably make abnormal returns while riding on such information. In an efficient market, all information is reflected in trading prices. Where a market is efficient in the semi strong form, it is expected that her prices reflect all the relevant publicly available information in its trading prices. A securities market is said to be efficient with respect to economic announcements such as dividend announcements, stock splits, mergers and acquisitions, rights issues and non-economic announcements such as wars, election of presidents and prime ministers, death or resignation of presidents or prime ministers, or referendum vote announcements. The speed and accuracy with which a securities market reflects the information content of these events shows how efficient the securities market is. This paper reports on the behaviour of the share prices at the Nairobi Securities Exchange as observed in the share price index with respect to the August 4, 2010 constitution of Kenya referendum vote results announcement