On Stock Returns Volatility and Trading Volume of the Nairobi Securities Exchange Index

Simple item page
dc.contributor.authorKalovwe, Sebastian Kaweto
dc.contributor.authorMwaniki, Joseph Ivivi
dc.contributor.authorSimwa, Richard Onyino
dc.date.accessioned2024-09-17T09:04:43Z
dc.date.available2024-09-17T09:04:43Z
dc.date.issued2021
dc.descriptionJournal Article
dc.description.abstractThis study attempts to put forward a framework that can be utilized to model the dynamics of the underlying returns on asset. The intention is to probe the dynamic connection between volatility of stock returns and trading volume of the Nairobi Securities Exchange (NSE20) index. The consequence of incorporating trading volume in the equation for conditional variance of the generalized autoregressive conditional heteroscedasticity (GARCH) model on volatility persistence is investigated. Further, this study brings into play GARCH, GARCH-M, and EGARCH models conditioned to normal, student-t and generalized error distributions to model the dynamic structure of the NSE20 index for the period 2 January 2001 to 31 December 2017. The results disclose some well-known stylized facts of returns on stock, for instance, volatility clustering, heavy tails, leverage effects, and leptokurtic distribution. The estimates of parameters of the three models, that is, GARCH (1, 1), GARCH-M (1, 1), and EGARCH models report that the correlation between stock returns volatility and trading volume is positive and statistically significant. Moreover, estimates of the coefficients of EGARCH (1, 1) model report an increased measure of persistence on volatility as well as volatility asymmetry and the absence of leverage effect in the returned volatility. Also, the estimates of GARCH (1, 1) and GARCH-M (1, 1) parameters report that volatility persistence dwindles after trading volume is incorporated in the equation for the conditional variance
dc.identifier.citationKalovwe, S. K., Mwaniki, J. I., & Simwa, Richard, O. (2021). On Stock Returns Volatility and Trading Volume of the Nairobi Securities Exchange Index. RMS: Research in Mathematics & Statistics
dc.identifier.issn27658449
dc.identifier.urihttps://repository.daystar.ac.ke/handle/123456789/5152
dc.language.isoen
dc.publisherRMS: Research in Mathematics & Statistics
dc.relation.ispartofseries8(1)
dc.subjectStock returns
dc.subjecttrading volume
dc.subjectvolatility
dc.subjectheteroscedasticity
dc.subjectGARCH models
dc.titleOn Stock Returns Volatility and Trading Volume of the Nairobi Securities Exchange Index
dc.typeArticle

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
On stock returns volatility and trading volume of the nairobi securities exchange index.pdf
Size:
1.19 MB
Format:
Adobe Portable Document Format
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Journal Articles

We collect and process your personal information for the following purposes: Authentication, Preferences, Acknowledgement and Statistics.
To learn more, please read our privacy policy.

Customize