Bett, Robert Kiprotich (2015) The Effect of the Day of the Week on Volatility of Stock Returns of the Commercial Banks Listed in the Nairobi Securities Exchange. Masters thesis, University of Nairobi.
![[img]](http://thesisbank.jhia.ac.ke/style/images/fileicons/application_pdf.png) |
PDF (The Effect of the Day of the Week on Volatility of Stock Returns of the Commercial Banks Listed in the Nairobi Securities Exchange)
Bett_The Effect Of The Day Of The Week On Volatility Of Stock Returns Of The Commercial Banks Listed In The Nairobi Securities Exchange.pdf - Accepted Version Restricted to Repository staff only Download (531kB) | Request a copy |
Abstract
The day of the week effect purports that there is the existence of a pattern on the part of stock returns, whereby these returns are linked to a particular day of the week. The objective of the study was to establish the existence of day of the week effect in the banking segment at Nairobi Securities Exchange and to determine the volatility of the stock price return relative to the specific days of the week. This study was descriptive research design. The data used in this study constituted of daily stock returns of 11 listed commercial banks at the NSE from 1st Jan 2013 to 31st December 2014.The data included daily prices for the specific banking segment stock prices and the average price for the whole banking segment from the Nairobi Securities Exchange was computed. The daily return for the banking segment was determined by taking the average banking closing price for that day and the average banking opening price for the previous day. The daily segment returns and the banking returns standard deviation being the dependent variables and the day of the week being the independent variable. The finding indicates that there is existence of day of the week effect in the Nairobi Securities Exchange and the highest returns are experienced on Tuesdays and lowest returns experienced on Thursday. The highest volatility was also observed on Wednesdays with the lowest volatility observed on Monday.
| Item Type: | Thesis (Masters) |
|---|---|
| Subjects: | H Social Sciences > HG Finance |
| Divisions: | Africana |
| Depositing User: | Mr Nahum Osman |
| Date Deposited: | 23 Jun 2016 10:20 |
| Last Modified: | 23 Jun 2016 10:20 |
| URI: | http://thesisbank.jhia.ac.ke/id/eprint/546 |
Actions (login required)
 |
View Item |