An investigation of the relationship between systematic risk and returns of securities : a case of companies listed on the Nairobi stock exchange (NSE)
| dc.contributor.author | Ngatia, John K | |
| dc.date.accessioned | 2011-08-18T07:03:58Z | |
| dc.date.available | 2011-08-18T07:03:58Z | |
| dc.date.issued | 2011-08-18 | |
| dc.description | Department of Accounting and Finance,53p.HG 5151.5.K4N5 2009 | |
| dc.description.abstract | Prior to June 2001, all companies in the NSE traded under one market segment. Classification was done and they were re-classified into Main, Alternative Investment Segments and Fixed Income Securities. The period between 2001 to 2008 brought about phenomenal changes at the bourse. In addition to market segmentation, the increased number of newcomers in the stock market and other major changes that took place in the Kenyan economy affected the stock market significantly and thus the amount of risk exposure. These changes in the market made it totally different in terms of systematic risk. This study sheds light on the post-classification period after the companies have traded for a couple of years and it aimed at illuminating areas of systematic risk and how they relate to shareholders returns and whether the classification of the market into various segments trading under different requirements had effect on the investment returns of the shareholders. A study performed at the Warsaw stock exchange which is an emerging market with similar segments as the NSE revealed that the main market segment earnings results were slightly stronger than the whole market while being definitely stronger than the parallel (Alternative) market segments (Jarmathowicz & Gornit 1998). In light of market segmentation concept, this shows that the performance of the three market segments namely, Main, Alternative and Fixed Income Securities investment segments, ought to be significantly different. It is therefore important to understand whether the re-classification of companies at NSE three market segments reflects significant differences in performance levels of those companies. This study sought to establish whether the companies that are classified under MIMs are actually different in terms of risk and return with those that are classified under AIMs at NSE. Descriptive design approach was used to provide further insight into the research problem by describing the variables of interest and examining associative relationships. It involved taking repeated measures over time that was useful for conducting trend analysis and tracking changes in relationship over time. Systematic risk was found to have minimal effect on dividends and stronger positive effect on bonuses to investors. Main investment market segment had the highest systematic risk and posted the highest ' returns to investors compared to Alternative investment segment. Systematic risk and return relationship was found to be stronger in companies under MIMS compared to companies under AIMS. Future researchers may investigate the unsystematic risk return relationship at the NSE and establish the effect of different economic situations on the risk and return relationship | en_US |
| dc.description.sponsorship | Kenyatta University | en_US |
| dc.identifier.uri | http://ir-library.ku.ac.ke/handle/123456789/891 | |
| dc.language.iso | en | en_US |
| dc.subject | Stock exchange--Kenya--Nairobi | en_US |
| dc.title | An investigation of the relationship between systematic risk and returns of securities : a case of companies listed on the Nairobi stock exchange (NSE) | en_US |
| dc.type | Thesis | en_US |