The effects of interest rates volatility on stock returns: evidence from the Nairobi securities exchange
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Date
2012Author
Thuo, Allan Ndung'u
Type
ThesisLanguage
enMetadata
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The purpose of this study is to analyze the effects of interest rates volatility on stock returns in
the Nairobi Securities Exchange. A descriptive design was used where monthly time series data
for a period of 5 years from 2007 to 2011 was used. The Nairobi Securities Exchange 20 Share
Index for the period January 2007 to December 2011 was obtained from the Nairobi securities
exchange as well as the 91 Day Treasury bill rate was obtained from the Central Bank of Kenya.
The data was then analyzed through the use of regression and correlation analysis to determine
the effect and direction of the variables. Two GARCH (1,1) models were used for the purpose of
investigating the effects of changes in interest rates on stock returns volatility. Model 1 is
estimated without interest changes and Model 2 includes the interest rates for estimating
conditional mean variance.
Citation
MBA Thesis 2012Sponsorhip
University of NairobiPublisher
University of Nairobi
Description
Master Thesis