dc.contributor.author | Okello, Samuel Christopher O. | |
dc.date.accessioned | 2013-05-10T12:48:25Z | |
dc.date.issued | 2006 | |
dc.identifier.citation | MBA | en |
dc.identifier.uri | http://erepository.uonbi.ac.ke:8080/xmlui/handle/123456789/21416 | |
dc.description.abstract | This paper examines the profitability of filter rule test in Nairobi Stock Exchange
(NSE). There were no local studies on filter rule in Kenya and thus a lot of
information was from the West. The population of the study was all the shares
listed in the Nairobi Stock Exchange with a sample size of the companies that
make up the NSE- 20 share index. The model used was from Fama and Blume
(1960) theory of filter rule tests.
The study systematically examined the returns of the various market segments
and the share prices variability of the firms selected within the NSE for the
various characteristics so as to build a basis for using FILTER RULE strategy.
Finally it compared the results obtained from filter strategy with that of buy and
hold technique to arrive at a conclusion.
The study revealed that filter rule strategy exists in NSE. In keeping with the
findings it was concluded that filter rule strategy in NSE is profitable at mean
filter of 4.3% with the lowest level of 3.6% and highest filter level of 4.9%. The
explanation prowess become stronger as we consider that the policy implication
here is that market is not efficient and thus a shift in share price is in anticipation
of future returns. Thus information is the key in to give the signal for an investor
to go long or short at anyone time. | en |
dc.description.sponsorship | University of Nairobi | en |
dc.language.iso | en | en |
dc.publisher | University of Nairobi | en |
dc.subject | Filter rule test | en |
dc.subject | Nairobi stock exchange (NSE) | en |
dc.subject | Kenya | en |
dc.title | Profitability of filter rule test at Nairobi Stock Exchange, Kenya | en |
dc.type | Thesis | en |
local.embargo.terms | 6 months | en |
local.embargo.lift | 2013-11-06T12:48:25Z | |
local.publisher | School of Business, College of Humanities and Social Sciences | en |