Show simple item record

dc.contributor.authorVundi, Zacchaeus N
dc.date.accessioned2013-05-07T11:57:27Z
dc.date.available2013-05-07T11:57:27Z
dc.date.issued2005-09-09
dc.identifier.citationMasters thesis University of Nairobi (2005)en
dc.identifier.urihttp://erepository.uonbi.ac.ke:8080/xmlui/handle/123456789/19821
dc.description.abstractIn this study, the price of risk on the Nairobi stock market was estimated using a conditional asset pricing model that allows for time variation in the risk. Two different GARCH (1, 1)-M models are used in the econometric specification. The estimates of the price of risk are invariably positive and insignificant, and conclude that there exists an insignificant time-varying risk premium in the Nairobi stock market. The well known day of the week effect reflected in insignificant positive Friday and negative Monday, does not seem to be present in the market. Also entry of foreign investors and change of trading system increases volatility contrary to the fact the volatility should decline.en
dc.language.isoenen
dc.publisherUniversity of Nairobien
dc.title"Time-varying risk premia" an empirical investigation on the Nairobi stock exchangeen
dc.typeThesisen
local.publisherDepartment of Economicsen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record