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

  1. Balparda, Borja 1
  2. Caporale, Guglielmo Maria 2
  3. Gil-Alana, Luis A. 1
  1. 1 Universidad de Navarra
    info

    Universidad de Navarra

    Pamplona, España

    ROR https://ror.org/02rxc7m23

  2. 2 Brunel University London
    info

    Brunel University London

    Uxbridge, Reino Unido

    ROR https://ror.org/00dn4t376

Revista:
African Journal of Economic and Sustainable Development

ISSN: 2046-4770,  2046-4789

Año de publicación: 2015

Volumen: 4

Número: 3

Páginas: 254 - 277

Tipo: Artículo

DOI: 10.1504/AJESD.2015.071911 GOOGLE SCHOLAR lock_openAcceso abierto editor

Otras publicaciones en: African Journal of Economic and Sustainable Development

Resumen

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.