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

Authors: Borja Balparda; Guglielmo Maria Caporale; Luis A. Gil-Alana

Addresses: Department of Economics, University of Navarra, Spain ' Department of Economics and Finance, Brunel University London, UB8 3PH, UK ' Department of Economics, University of Navarra, Spain

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.

Keywords: market efficiency; Kenyan stock market; long memory; Kenya; market inefficiency; persistence; anomalies; day-of-the-week effect.

DOI: 10.1504/AJESD.2015.071911

African Journal of Economic and Sustainable Development, 2015 Vol.4 No.3, pp.254 - 277

Received: 25 Apr 2015
Accepted: 27 Apr 2015

Published online: 23 Sep 2015 *

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