Accès ouvert

Testing the efficient market hypothesis on the Nairobi Securities Exchange

Article scientifique 2016 Anglais

Résumé

This paper tests the weak-form of the efficient market hypothesis (EMH) of the Nairobi Securities Exchange (NSE) using daily and weekly index data from the NSE 20 share index over the period, January 2001 to January 2015 and the NSE All Share Index (ASI) from its initiation, in February 2008 to January 2015. To test weak-form efficiency in this market, this study uses the serial correlation test, unit root tests (ADF and Phillips-Perron) and runs test. Results indicate that we cannot accept the EMH for the NSE using the serial correlation test, unit root tests and the runs test. Overall, the Kenyan market is found to not be weak-form efficient

Citer ce document

Njuguna, J. (2016). Testing the efficient market hypothesis on the Nairobi Securities Exchange. https://doi.org/10.21511/imfi.13(3).2016.06

Accès au document

Ce lien n'est plus accessible actuellement. Contactez l'institution d'origine.

Auteur(s)

Josephine M. Njuguna

Statistiques

Consultations : 2

Téléchargements : 0