IDEAS home Printed from https://ideas.repec.org/a/ids/ajesde/v4y2015i3p254-277.html
   My bibliography  Save this article

The Kenyan stock market: inefficiency, long memory, persistence and anomalies in the NSE-20

Author

Listed:
  • Borja Balparda
  • Guglielmo Maria Caporale
  • Luis A. Gil-Alana

Abstract

This paper examines the statistical properties of the NSE-20 index in the Kenyan stock market over the period 2001 to 2009. The analysis applies both unit root tests and long-range dependence techniques based on the concept of fractional integration. The results indicate that the order of integration of stock prices is significantly above 1, which implies the presence of long memory. This is also detected in the absolute and squared returns. The lowest degrees of integration (very close to zero) are found for Mondays and Fridays, and therefore, a day-of-the-week-effect appears to be present.

Suggested Citation

  • Borja Balparda & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2015. "The Kenyan stock market: inefficiency, long memory, persistence and anomalies in the NSE-20," African Journal of Economic and Sustainable Development, Inderscience Enterprises Ltd, vol. 4(3), pages 254-277.
    • Handle: RePEc:ids:ajesde:v:4:y:2015:i:3:p:254-277
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=71911
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. David de Villiers & Natalya Apopo & Andrew Phiri & David McMillan, 2020. "Unobserved structural shifts and asymmetries in the random walk model for stock returns in African frontier markets," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1769348-176, January.
    2. Donald A. Otieno & Rose W. Ngugi & Peter W. Muriu, 2019. "The impact of inflation rate on stock market returns: evidence from Kenya," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 73-90, January.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ajesde:v:4:y:2015:i:3:p:254-277. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=382 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.