The Effects of Herding on Stock Returns at the Nairobi Securities Exchange

Ayuko, Siloya Dorcas (2015) The Effects of Herding on Stock Returns at the Nairobi Securities Exchange. Masters thesis, University of Nairobi.

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Human beings are social beings who thrive from the sense of belonging and togetherness. This innate need results to herding, an attempt by people to blend in by mimicking actions of others. Herding in capital markets is in general exhibited by propensity of an investor to mimic the actions of large group of investors, those regarded as better informed and at the same time neglecting personal information and expectations. The objective of the study was to investigate the effect of herding on returns of stocks traded at the Nairobi Securities exchange; the research design adopted for the study was descriptive research design. Secondary daily price data was obtained from the Nairobi Securities Exchange historical database. Using daily price data, descriptive and regression analysis of returns were computed to test for the presence of herding as suggested by Chang, Cheng, and Khorana (2000). In the presence of herding the γ2 coefficient was expected to be significantly negative. The regression coefficient γ2 was found to be positive for the sub periods: 2001 to 2007, 2008 to 2010, 2011to 2014 and the market as a whole these results indicate there is no evidence of herding and its effects on stock returns at the in the Nairobi Securities Exchange

Item Type: Thesis (Masters)
Subjects: H Social Sciences > HJ Public Finance
Divisions: Africana
Depositing User: Mr Nahum Osman
Date Deposited: 23 Jun 2016 08:28
Last Modified: 23 Jun 2016 08:28

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