Herding Behavior and Its Effect on Stock Market Performance in Kenya
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Date
2016Author
Maina, Teresa W
Type
ThesisLanguage
en_USMetadata
Show full item recordAbstract
The study was aimed at finding out the relationship between investor herding and performance of
quoted equities in Kenya. The study has three specific objectives which include; to determine the
relationship between investor herding, represented by value of shares traded, and performance of
the NSE equity market; to determine the relationship between investor herding represented by
volume of shares traded, and performance of the stock market; and to try and give
recommendations drawn from research findings. The main objective of the study is to provide
investors, policy makers and the academic community with knowledge of the relationship between
investor sentiment and equity market performance. The study used two proxy measures of investor
herding against market capitalization as an indicator of stock market performance. The two proxies
for investor herding include the volume of shares traded and value of shares traded. The study is
based on Calderon-Rossell (1991) behavioral model of stock market performance and Error
Correction Model. Herding measure will be based on the factor sensitivity to volume. To begin we
will apply the security market line against the trading volume and value. This study used quarterly
time series data for the time from 2010 to 2014. The results indicate that there is a relationship,
both long-run and also short run, between the indicators of investor herding and NSE performance.
The study therefore recommends that investor confidence in Kenya be developed further to expand
market capitalization to minimize the effect of herding.
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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