Daily Effect and the Returns of Stocks Listed at the Nairobi Securities Exchange in Kenya
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Date
2021
Authors
Nalwenge, Duncan Ombullu
Jagongo, Ambrose
Atheru, Gerald
Journal Title
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Volume Title
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Abstract
One of the major components of7 the7 financial7 markets are the securities markets7 of7 the7world. An efficient market is an indicator of market prices reflecting available information about the fundamental values of a company. A conventional distribution of returns to a financial asset indicates that anticipated returns for7 all7 days7 of7 the7week, known as the day7 of7 the7week, are the same. And investor at the NSE looks to getting a return on their investments. The studies moderating variable is the change in price of the daily volumes traded. A return7 is7 the7gain or7loss7of7the7value7 of7 a7 share7 in7a7particular7 period7 usually7 quoted7 as7 a7percentage. This7 study7 sought7 to7 find7 out7 if7 there7 was7 significant7 deviations in the conclusions arrived at on the days that had highest positive returns at the NSE for the period starting January 1st 2012 and ending December 31st 2018. If the deviation in daily return are in accordance to observations made in past studies as no studies were done within the aforementioned period. The general objective7 of7 this7 study7 was7 the7 day7 of7 the7 week7 effect7 and7 the7 returns7 of7 stocks7 listed7 at7 the7 Nairobi7 Securities7Exchange (NSE) in Kenya. The study was guided by the following specific objectives of the study: to establish the Mondays Effect and the returns of stocks listed on the7 Nairobi7 Securities7Exchange; to7 establish7the Tuesdays Effect and the returns of stocks listed7 on7 the7 Nairobi7Securities7Exchange; to7 determine7 Wednesdays7 Effect and the returns of stocks listed7 on7 the7 Nairobi7Securities7Exchange; to7determine7 Thursdays Effect and the returns of stocks listed7 on7 the7 Nairobi7Securities7Exchange7and7to7 establish Fridays Effect exists and the returns7 of7 stocks7 listed7 on7 the7 Nairobi7Securities7Exchange. This study adopts the positivity philosophy. This study used a longitudinal descriptive research design. The population of this study comprised of the firms listed in the 20 Share Index at the NSE for7 the7 period7 January7 20127 to7 December72018. Out of the 20 listed companies at the 20 Share Index at the NSE, the study sampled, by use of purposive sampling, 10 companies. The data required was collected from7NSE. Data7 for7 the7 seven-year7 period7 1st7 January7 20127 to7 31st7 December7 2018 was sourced from the NSE website and NSE trading data vendors. The data series comprised of daily stock market prices of the 10 firms thin the 20 Share Index at the NSE as at 31st December, 2018. The VWAP data was adjusted for dividend payment, any share splits and share bonus. The study used both descriptive statistics and inferential statistics. According7 to7 the7 day7 of7 the7 week7 the7data gathered has been categorized. The t-tests for a test of the week-day hypothesis were based on the empirical model. Initially, the stuffy variable regression was used in the research to determine the influence day-by-week on NSE. A linear regression occurred when a dummy variable equivalent to one each day is represented when the return is equal to zero for the day when the return is equal to the day. The t-test was performed in order to assess whether stock returns differed significantly throughout the five7 days7 of7 the7week. The7 research7also tested how different the departures from these daily inventory returns are. Both test were at a 0.05% Confidence Level. The moderating variable and its effect on the other variables was analyzed using multiple regression analysis. The study found that Returns for Monday 2012 had the lowest mean of 101.997 while those for Monday 2014 had the highest mean of 158.28. Returns for Tuesday 2012 had the lowest mean of 101.716 while those for Tuesday 2014 had the highest mean of 162.029.
International Academic Journal of Economics and Finance | Volume 3, Issue 7, pp. 221-238
223 | P a g e
Returns for Wednesday 2012 had the lowest mean of 100.398 while those for Wednesday 2014 had the highest mean of 162.372. Returns for Thursday 2012 had the lowest mean of 100.661 while those for Thursday 2014 had the highest mean of 162.257 and Returns for Friday 2012 had the lowest mean of 102.782 while those for Friday 2018 had the highest mean of 122.229. Finally, with the return of the Nairobi Securities Exchange in Kenya the day of the week-end effect will be present. On Monday and Thursday, investors can gain an uneven return by purchasing stocks, while on Wednesday, Thursday and Friday they can sell stocks. Investors in trading on7 the7 Nairobi7 securities7 exchange7 should not take the days of the week into account in the research. To discover the major variables affecting stock returns in the NSE, investors need do a fundamental and comprehensive market study.
Description
Article
Keywords
Financial markets, Market prices, Return on investments, Day of the week effect, Stock returns
Citation
Nalwenge, D. O., & Jagongo, A. A. (2021). G.(2021). Daily effect and the returns of stocks listed at the Nairobi Securities Exchange in Kenya. International Academic Journal of Economics and Finance, 3 (7), 221, 238, 2.