The Effect of Covid•19 Announcement on Stock Returns of Listed Companies at Nairobi Securities Exchange
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Date
2021Author
Nzioka, Nichodemus, N
Type
ThesisLanguage
enMetadata
Show full item recordAbstract
Every investor's objective is to get value from the investment vehicle they have selected.
Stock returns are the profits an investor derives from a portfolio invested in the stock
exchange market for a certain period. However, upon the COVID•19 pandemic
announcement, the stock market disruption was experienced in both advanced and
developing economies. In Kenya, an increase in equity volatility and a decline in return on
assets was experienced in the financial sector. The study aimed at examining the COVID•
19 announcement effect on the stock returns of all listed companies at the Nairobi
Securities Exchange. Cross•section methodology was used for the event study five days
prior the announcement of COVID•19 and five days after the event of announcement. The
target population was all listed companies at Nairobi Securities Exchange. Secondary data
was extracted from the data bank available at Nairobi Securities Exchange. Data was
analyzed using the market model Abnormal Returns and Cumulative Abnormal Returns.
The T•test was employed to test availability of significance at 5%. The findings revealed
that the COVID•19 announcement had an influence on the stock returns. Conclusion of the
study was that all companies in the economy were affected by the COVID•19
announcement. The study recommends that a different model be used to measure firms’
sector•specific factors, allowing the identification of anomalies that may interfere with
stock returns. Further studies should be done on the phenomena using other models such
as TGARCH and GJH GARCH to measure stock return volatility. In addition, a
comparative analysis should be carried on the effect of the COVID•19 announcement on
stock returns of companies within East African Countries.
Publisher
University of Nairobi
Rights
Attribution-NonCommercial-NoDerivs 3.0 United StatesUsage Rights
http://creativecommons.org/licenses/by-nc-nd/3.0/us/Collections
- School of Business [1421]
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